Macro composite#260tier 3live in productionNew

`geopolitical supply chain risk`

cadence: Dailydata: highshort only

2022

Extends: Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." *American Economic Review*, 112(4), 1194-1225. Carvalho, V. M., Nirei, M., Saito, Y. U., Tahbaz-Salehi, A. (2021). "Supply chain disruptions." *Quarterly Journal of Economics*. Novel multi-source composite (GDELT + ACLED + port + BDI).

Read the paper →

What it checks

When global news tone, conflict fatalities, port throughput drops, and shipping prices all flash supply-chain stress at the same time, we short the cyclical industrials that depend on global trade for two to three weeks.

Mechanism

Geopolitical + supply-chain stress raises CAPEX timing risk and inventory cost for cyclical industrials tied to global trade tonnage. When the composite of GDELT tone, ACLED fatalities, port-throughput shock, and Baltic Dry proxy crosses +1.5σ, the cyclical-industrials basket underperforms over 10-20 days.

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

z_composite = mean(z(-GDELT tone), z(ACLED 30d fatalities), z(port-throughput Δ), z(-BDI proxy)) on a trailing-1y window. Fire SHORT (T+1) when composite_z >= +1.0/+1.5; hold 10/20 days.

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.
acled_events
Worker data table — see services/worker schema.
port_throughput
Worker data table — see services/worker schema.
baltic_dry_proxy
Worker data table — see services/worker schema.

Expected edge

Paper alpha: untested — internal
Paper window: T+0 to T+20d

Untested — internal multi-source composite. Caldara-Iacoviello 2022 GPR index alone explains 1-2% MoM variance in cyclical-industrials returns; combining with supply-chain legs sharpens.

Example tickers where this is likely to fire

CAT DE MMM ETN PH EMR ROK HON

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

Related families

acled conflict onset defenseGeopolitical

Large rise in conflict fatalities (rolling 30d global) → 5-30d outperformance of US defense primes + downstream suppliers.

gdelt geopolitical tone shortGeopolitical

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).

baltic dry ais proxyGeographical

Dry-bulk AIS voyage acceleration leads shippers and miners 20-60d.

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geopolitical supply chain risk