inflation beta rotation
What it checks
Boons, Duarte, de Roon & Szymanowska (2020): a stock's inflation beta (rolling covariance of returns with CPI growth) is priced and the sign of the inflation risk premium flips across regimes.
Mechanism
Boons, Duarte, de Roon & Szymanowska (2020): a stock's inflation beta (rolling covariance of returns with CPI growth) is priced and the sign of the inflation risk premium flips across regimes. Estimate rolling 36m inflation beta from daily_prices vs FRED CPIAUCSL MoM, condition long/short direction on the current accelerating/decelerating inflation state, tilt to high-inflation-beta names when CPI
Signal rule
Boons, Duarte, de Roon & Szymanowska (2020): a stock's inflation beta (rolling covariance of returns with CPI growth) is priced and the sign of the inflation risk premium flips across regimes. Estimate rolling 36m inflat
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
fred_macro (CPIAUCSL)Worker data table, see services/worker schema.
Expected edge
- Paper window
- Modern daily equity data
risk-premium premium; decay risk 2/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore inflation beta rotation on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.