Inflation Beta Rotation Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
paper-construct adaptation: Boons-Duarte-de Roon-Szymanowska 2020 JFE estimate time-varying inflation risk premia and sign changes, but do not specify this rolling-beta z-score, acceleration gate, direction, or fixed holds; CPIAUCSL is THE vintage-critical series (2wk lag + annual seasonal revisions) — the PIT panel is the entire point of this repair
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Fred macro (CPIAUCSL)
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
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 Alfred Pit on alphactor.ai
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