Ted Funding Stress 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 pre-2022 (Brunnermeier-Pedersen 2009 RFS motivates funding liquidity; it does not specify this equity rule); TEDRATE discontinued 2022-01-21 — the modern SOFR-DTB3 segment is an ADAPTATION and is labeled per-row
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
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.
The Chicago Fed's NFCI is the most comprehensive single-number measure of financial conditions, combining money market, debt, equity, and shadow-banking signals. When it goes above zero (tight), trim risk; when its adjusted version goes well below zero (loose), lean in.
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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