fomc hawkish tone short duration
What it checks
When a Fed voter (Powell, Williams, Waller, etc.) delivers an unusually hawkish speech, long-duration assets — long Treasuries, REITs, high-multiple growth tech — get hit. Short the basket for 1-2 weeks.
Mechanism
When FOMC voters (chair, vice-chair, governors, regional-bank presidents) deliver speeches with hawkish tone (LM (pos-neg)/total_tokens z <= -1 vs trailing year of FOMC speeches), long-duration assets (long Treasuries, REITs, high-multiple growth tech) sell off as discount rates lift.
Signal rule
fed_speeches matching FOMC voter pattern list, tone_score z <= -1.0 / -1.5 vs trailing 365d (T+1) -> SHORT duration-sensitive ticker (TLT, VNQ, REITs, ARKK, TSLA, SNOW, NET, etc.) for 5/10 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fed_speechesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- -1 to -2% over 5-10d
- Paper window
- T+1 to T+10d
-1 to -2% over 5-10d on duration-sensitive names post-FOMC hawkish surprise.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
fed speech tone intradayMacroHawkish Fed speeches (LM tone z < -1) → 1-3d index drift down.
fed speech dovish long emMacroWhen Fed officials deliver speeches with dovish tone (LM tone score top decile vs trailing year of Fed-speech distribution), USD weakness expectations and rate-cut bets lift emerging-markets equities by ~1-3% over 5-10 days. Dovish Fed → softer USD path → EM currencies firm → EM corporate earnings translate upward.
pre fomc driftMacroPre-FOMC drift: SPX abnormally returns ~+0.50% in the 24h before each scheduled FOMC announcement (1994-2011 sample, Lucca-Moench 2015 NY Fed SR-512). The 2024 Applied Economics update finds the drift persists post-2011 but concentrates on press-conference meetings (every meeting since 2019). This family extends the basic version by sweeping multiple pre-windows (1d/2d/3d before), a pre+post combo (long ~3d pre, short 1d post the fade), and a press-conference meeting filter.
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