eurodollar bank predictor
What it checks
When short-term dollar funding stresses, banks underperform 1-3 months.
Mechanism
Funding-spread stress (SOFR-IORB; fallback TEDRATE/BAA10Y) predicts negative 1-3mo bank returns.
Signal rule
short XLF/KRE/banks when SOFR-IORB 252d z > +2 with 60d downtrend; long when z < -1 with uptrend; hold 20/60d
Data dependencies
fred_macroWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~5-10%/yr conditional
- Paper window
- T+0 to T+60d
Adrian-Etula-Muir 2014: ~5-10% annualized conditional.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
yield curve sector rotationMacroYield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.
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