Financial Conditions Regime 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
measure-faithful trade adaptation: Brave-Butters 2011 define the Chicago-Fed NFCI/ANFCI and study financial stability/economic forecasts; they do not specify the per-ticker long/short thresholds or fixed holds
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Related families
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
When the spread between interbank lending rates and Treasury rates widens sharply, it signals funding stress in the banking system. Short high-beta names during such squeezes; go long during equivalent compressions.
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.
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