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Eurodollar Bank Predictor

Updated weeklyData needs: mediumlong onlyshort onlylong short

2014

Adrian, T., Etula, E., Muir, T. (2014). "Financial Intermediaries and the Cross-Section of Asset Returns." Journal of Finance, 69(6), 2557-2596.

Read the paper →

In plain terms

When short-term dollar funding stresses, banks underperform 1-3 months.

How it works

Funding-spread stress (SOFR-IORB; fallback TEDRATE/BAA10Y) predicts negative 1-3mo bank returns.

Live results

0 times picked on its own · 109 times inside a blend (109 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 109 such blended picks (109 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~5-10%/yr conditional
Tested over: T+0 to T+60d

Adrian-Etula-Muir 2014: ~5-10% annualized conditional.

Example tickers where this is likely to fire

XLF KRE JPM BAC WFC

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

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