pension funding status drift
What it checks
Underfunded pension plans drag earnings — underperform for ~1 year.
Mechanism
Underfunded pensions (<80%) → 12m underperformance via earnings drag from contributions.
Signal rule
funded_pct < 80% → short for 12m; universe: S&P 500 (where pensions matter)
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
pension_fundingWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~5%
- Paper window
- T+0 to T+365d
~5% over 12m.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
altman z scoreQualityAltman's Z-score combines five accounting ratios (working-capital/TA, retained-earnings/TA, EBIT/TA, market-cap-equity/total-liab, sales/TA) into a discriminant score that separates safe (Z>2.99) from distressed (Z<1.81) firms. The market-cap-equity X4 variant (vs Altman's original book-equity) is a stronger forward predictor and is the modern usage. Hilscher-Wilson 2017 J. Banking confirm the score still discriminates default risk in 2000s data.
ohlson o scoreQualityOhlson 1980 JAR built a 9-variable logit-style index orthogonal to Altman Z. Out-of-sample beats Z for 1-2 year bankruptcy prediction. Hilscher-Wilson 2017 confirm Z and O are both alive in 2000s data and diversify each other. Variables: size, leverage, working capital, current ratio, ROA, CFO/total-liab, two-year-negative-NI flag, technical-insolvency flag, Δ NI scaled.
credit spread shockMacroGilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).
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