Swap Spread Z Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
paper-measure trade adaptation 2000-2016 only (Fontaine-Garcia 2012 RFS motivates the swap-spread measure, not this financial-stock short rule); DSWP10 discontinued 2016-10-28 — the legacy AAA10Y fallback measured a DIFFERENT quantity and is REMOVED; modern segment BLOCKED pending an authoritative swap-rate source
Data dependencies
- Alfred series vintages
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
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Watch the corporate-bond credit spread — when it compresses sharply, high-beta names rip; when it widens sharply, they get hammered. We trade the regime change.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Steep curve → favor cyclicals (XLY/XLF/XLI); flattening → favor defensives (XLU/XLP/XLV).
Explore Swap Spread Z Alfred Pit on alphactor.ai
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