Sanctions Country Basket Short
In plain terms
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.
How it works
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.
Live results
0 times picked on its own · 1 times inside a blend (1 beat the stock) · updated 2026-07-06Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Ofac sdn
A data feed this strategy reads, refreshed on its normal schedule.
- Ofac corporate exposure
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 150-300 bps over 20-60d (modeled)
- Tested over
- 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 adds new country/entity to sanctions list → US firms with disclosed business there underperform 1-3 weeks.
When a country a company sources inputs from gets sanctioned, the supply-chain disruption tends to weigh on the downstream company. The academic basis (Carvalho et al 2021) shows this kind of supplier shock lowers firms' sales growth; the specific stock-holding window here is our own modeled choice, not a finding from the paper.
GDELT scans millions of news stories. Sharply negative US-China headlines → short China-exposed chip stocks for 5 days.
Explore Sanctions Country Basket Short on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.