Economy & PolicyExtended setlive in productionNew

Gpr Threats Acts

Updated dailyData needs: lowlong only

2022

Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review, 112(4), 1194-1225. (GPRT/GPRA sub-components)

Read the paper →

In plain terms

GPR-Threats predicts 1-2 month moves; GPR-Acts predicts 1-2 week moves.

How it works

Threats (forward-looking, slow-decay) 30-60d; Acts (realized, fast-decay) 5-10d.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Gpr index
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: Threats 30-60d; Acts 5-10d
Tested over: T+0 to T+60d

Caldara-Iacoviello 2022.

Example tickers where this is likely to fire

LMT RTX XOM NEM GLD

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

Related families

Gpr Geopolitical RiskEconomy & Policy

GPR spikes → long defense/oil/gold over 1-3 months.

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Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

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