Milliman Pfi Macro Signal
In plain terms
Once a month Milliman publishes the funded ratio for the 100 biggest US corporate pensions. When that ratio drops sharply (often because interest rates fell), pension-heavy companies face bigger cash contributions and EPS drag. Short the basket for a few months.
How it works
Milliman publishes a monthly aggregate funded ratio for the 100 largest US corporate DB plans. Sharp monthly funded-ratio deteriorations (driven by rate moves making liabilities expand faster than assets) precede contribution acceleration and EPS drag for the legacy-DB basket — autos, airlines, defense, industrials, legacy tech. The 10-K-parsed per-ticker pension_funding signal (#203) catches the firm-level dispersion; this macro layer catches the system-wide shocks the per-firm series under-samples between annual filings.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Milliman pension funding
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~3-5% over 1-3mo
- Tested over
- T+5 to T+63d
~3-5% over 1-3mo on the pension-heavy short basket during PFI deterioration shocks (analog to Franzoni-Marin 2006 per-firm 12mo drift).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Underfunded pension plans drag earnings — underperform for ~1 year.
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.
A 5-ratio score that flags bankruptcy risk. High score = safe (long); low score = distressed (short). The market-cap version of the original 1968 formula.
Steep curve → favor cyclicals (XLY/XLF/XLI); flattening → favor defensives (XLU/XLP/XLV).
Explore Milliman Pfi Macro Signal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.