gpr sector defense long
What it checks
When geopolitical risk spikes (Caldara-Iacoviello GPR index, daily), defense stocks (Lockheed, Raytheon, Northrop, etc.) outperform on expected procurement budget increases. Go long the defense basket for 1-3 months.
Mechanism
When the Caldara-Iacoviello Geopolitical Risk index spikes (z > 1.5 vs trailing year), defense-industry equities outperform — the market prices in expected step-ups in defense procurement budgets. CI 2022 document +2-3% LONG-side abnormal return over 20-60 days post-shock.
Signal rule
gpr_index 252d z >= 1.5 / 2.0 (T+1) -> LONG defense ticker (LMT, RTX, NOC, GD, GE, BA, LHX, HII, TXT, etc.) for 20/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
gpr_indexWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +2-3% over 20-60d
- Paper window
- T+1 to T+60d
+2-3% over 20-60d on defense basket post-GPR shock (CI 2022).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
gpr geopolitical riskGeopoliticalText-based newspaper-archive index of geopolitical risk; spikes precede defense/oil/gold outperformance.
sipri defense spendingGeopoliticalTop-quintile global YoY defense-spend growth → US primes outperform 90-180d.
acled conflict onset defenseGeopoliticalLarge rise in conflict fatalities (rolling 30d global) → 5-30d outperformance of US defense primes + downstream suppliers.
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