Liquidity Composite Short 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
adaptation: Brunnermeier-Pedersen 2009 / ABG 2019 motivate the stress composite; the equal-weight IG+HY+funding z composite is in-house
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Alfred series vintages
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
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 Alfred Pit on alphactor.ai
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