Geopolitical#232tier 2experimentalNew

`gdelt geopolitical tone short`

cadence: Dailydata: mediumshort only

2022

Extends: Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review 112(4). Also Engle, R.F., Giglio, S., Kelly, B., Lee, H., Stroebel, J. (2020). "Hedging climate change news." Review of Financial Studies 33(3). GDELT-single-country exposure is novel (alphactor 2026-05-20).

Read the paper →

What it checks

When the tone of news about a country tanks (z below -1.5), short the US-listed multinationals with revenue exposure to that country.

Mechanism

A material negative tone-shock in a country where a US-listed multinational has significant revenue exposure → the equity sells off over the next 1-10 trading days. Extends Caldara-Iacoviello 2022's GPR index by tightening the link to a specific equity's country footprint (v1 uses a curated map; v2 plugs into firm_country_exposure_quarterly).

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

5d avg of country tone, z over 90d baseline. z<=-1.5 → SHORT exposed multinational. Hold 1/3/5d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
gdelt_country_tone
Worker data table — see services/worker schema.

Expected edge

Paper alpha: -0.5% to -1.5% over 5d
Paper window: T+0 to T+5d

Target -50 to -150 bps over 5d on qualifying fires.

Example tickers where this is likely to fire

AAPL QCOM WMT KO TM SONY PM MCD

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

Related families

gdelt event tone country exposureGeopolitical

GDELT bilateral negative-tone shocks on USA-CHN/TWN dyads precede tighter export-control pricing on country-exposed US equities.

gpr geopolitical riskGeopolitical

Text-based newspaper-archive index of geopolitical risk; spikes precede defense/oil/gold outperformance.

gdelt event density volatilityGeopolitical

GDELT global event density (events/day, world-aggregate) is a high-frequency proxy for macro uncertainty. Bloom 2009 + Bali-Brown-Tang 2017 show that macro-uncertainty z-scores predict near-term realized-vol. We use GDELT density as a vol-forecast gate: elevated global event density predicts elevated realized vol → short-bias risk-off position on the cyclical / high-beta basket; serves as a position-sizing gate for other families.

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gdelt geopolitical tone short