multinational usd translation
What it checks
When the dollar weakens, multinationals (Apple, P&G, Coke) get a tailwind. When it strengthens, domestics win.
Mechanism
USD strengthening compresses earnings for FX-exposed firms via translation; proxy via rolling 60d own-return beta to DTWEXBGS.
Signal rule
long multinationals (beta<-0.3) when DXY 30d-change z < -1; long domestics (beta>+0.3) when DXY z > +1; hold 30/60d
Data dependencies
fred_macroWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~2-4% annualized USD-conditional
- Paper window
- T+0 to T+60d
Choi-Prasad 1995 + Bodnar et al 2002: 2-4% annualized USD-conditional premium.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
usd factor betasMacroBeta of stock returns on DXY (USD trade-weighted index); long high-USD-beta on USD strength regime.
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
yield curve sector rotationMacroYield-curve slope (10y - 2y) gates cyclical vs defensive sector longs.
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