Economy & PolicyExtended setexperimental liveNew

Ted Funding Stress

Updated dailyData needs: lowlong onlyshort only

2009

Brunnermeier, M., Pedersen, L. H. (2009). "Market Liquidity and Funding Liquidity." Review of Financial Studies 22(6), 2201-2238.

Read the paper →

In plain terms

When the spread between interbank lending rates and Treasury rates widens sharply, it signals funding stress in the banking system. Short high-beta names during such squeezes; go long during equivalent compressions.

How it works

TED spread (3-month LIBOR minus 3-month Treasury, FRED TEDRATE) is the canonical proxy for interbank funding stress. Widening TED forces funding-constrained intermediaries to deleverage, creating fire-sale pressure on high-beta and small-cap names.

Live results

96 times picked on its own · 170 times inside a blend (146 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 170 such blended picks (146 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

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

Expected edge

Reported return: -3% over 21d high-beta
Tested over: T+1 to T+21d

Brunnermeier-Pedersen 2009; ~-3% over 21d in high-beta basket during widening regimes.

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Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

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