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Swap Spread Z

Updated dailyData needs: mediumshort onlylong only

paper

2012

Source

Fontaine, J.-S., Garcia, R. (2012). "Bond Liquidity Premia." Review of Financial Studies, 25(4), 1207-1254.

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In plain terms

Swap-Treasury spread blowout → short financials 1-3 months.

How it works

10y swap-vs-Treasury captures bank-funding stress; widening z>+2 → financials lose spread.

Live results

0 times picked on its own · 72 times inside a blend (69 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 72 such blended picks (69 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Fred macro
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: R² ~8%
Tested over: 1986-2010

Fontaine-Garcia 2012: R² ~8% on 1-3mo XLF returns.

Example tickers where this is likely to fire

XLF BAC JPM C WFC

Illustrative only, the signal fires based on the live data, not a fixed list.

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