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Enso Pc Insurance Short

Updated monthlyData needs: lowshort only
paper
2017
Source
Cashin, P., Mohaddes, K., Raissi, M. (2017). "Fair weather or foul? The macroeconomic effects of El Niño." Journal of International Economics, 106, 37-54. Combined with Born-Viscusi (1994) JRI.
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In plain terms

When El Niño or La Niña intensify (|ONI| >= 1.5), US severe weather (tornadoes, hurricanes, typhoons) tends to be more active. Property & casualty insurers (AIG, Travelers, Allstate, Progressive) face higher catastrophe losses. Short the basket for 3-6 months.

How it works

Strong ENSO oscillation (|ONI| >= 1.5) — either El Niño or La Niña — historically correlates with elevated US severe-weather loss patterns: tornadoes (Niña), Atlantic hurricane season amplitude, Pacific typhoons. The US P&C insurer basket (AIG, ALL, TRV, PGR, CB) takes on elevated cat-loss probability over the subsequent 90-180 days, depressing equity prices.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies

  • Daily prices

    Adjusted-close OHLCV for every US-listed ticker; primary price feed.

  • Noaa oni

    A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return
-2 to -5% over 90-180d
Tested over
T+14d to T+180d

-2 to -5% over 90-180d on P&C basket during strong ENSO regimes.

Example tickers where this is likely to fire

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

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For informational and educational purposes only. Not financial advice. Learn more