Liquidity Composite Short
In plain terms
When credit spreads and bank funding stress all spike together, high-beta risk-on stocks tend to crack 1-3 weeks later.
How it works
Systemic-liquidity stress regimes (TED + IG + HY spreads composite) precede sustained risk-off equity drawdowns by 5-20 trading days.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- -3 to -8% over 42d
- Tested over
- 21/42/63d
Adrian et al 2019; -3 to -8% over 42d on regime-shift signal.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Watch the corporate-bond credit spread — when it compresses sharply, high-beta names rip; when it widens sharply, they get hammered. We trade the regime change.
When the market's 'fear gauge' (VIX) is itself swinging wildly -- high vol-of-vol -- that uncertainty-about-risk predicts weak forward returns, so the strategy leans short; when VIX is calm and steady, it leans long. It applies the academic vol-of-vol effect (high vol-of-vol underperforms) to single stocks using VIX as a live stand-in for per-stock options data.
Explore Liquidity Composite Short on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.