sanctions country basket short
What it checks
When OFAC sanctions hit multiple countries that a US-listed company discloses exposure to within a month, we expect the stock to keep drifting down for weeks.
Mechanism
Multi-country OFAC sanctions in a short window impose compounding negative repricing on US-listed firms with 10-K-disclosed exposure (Caldara-Iacoviello 2022 GPR channel). Basket-level shock magnifies single-country effect.
Signal rule
Count OFAC SDN actions in trailing 30 trading days against any of a ticker's exposed countries; >= 2 distinct countries -> SHORT; hold 20/60d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
ofac_sdnWorker data table — see services/worker schema.
ofac_corporate_exposureWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 150-300 bps over 20-60d (modeled)
- Paper window
- T+1 to T+60d
Draca/Caldara-Iacoviello multi-country GPR channel; internal target 150-300 bps over 20-60d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
ofac sdn sanctions eventGeopoliticalNew OFAC SDN action against country C imposes step-change cost on US firms with disclosed segment exposure to C.
sanctions supply chain passthroughGeopoliticalSupply-chain disruptions in upstream suppliers transmit to downstream firms with 1-3 month lag and ~3x amplification when supplier is critical. Sanctions on a supplier country are the cleanest exogenous shock - Carvalho-Nirei-Saito-Tahbaz-Salehi 2021 network channel.
gdelt event tone country exposureGeopoliticalGDELT bilateral negative-tone shocks on USA-CHN/TWN dyads precede tighter export-control pricing on country-exposed US equities.
Explore sanctions country basket short on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.