Eurodollar Bank Predictor Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
adaptation: Adrian-Etula-Muir 2014 JF uses broker-dealer leverage from the Flow of Funds, not SOFR-IORB; the funding-spread proxy is internal. Coverage begins 2021-07-29 (IORB inception)
Data dependencies
- Alfred series vintages
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
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Watch the corporate-bond credit spread — when it compresses sharply, high-beta names rip; when it widens sharply, they get hammered. We trade the regime change.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Steep curve → favor cyclicals (XLY/XLF/XLI); flattening → favor defensives (XLU/XLP/XLV).
Explore Eurodollar Bank Predictor Alfred Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.