Economy & PolicyExtended setexperimental liveNew
Term Structure Curvature
Updated dailyData needs: mediumlong onlyshort only
paper
2005
Source
Cochrane, J. H. & Piazzesi, M. (2005). "Bond Risk Premia." American Economic Review 95(1), 138-160.
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In plain terms
Tent-shaped curvature in the yield curve signals macro regime change — when it spikes, defensives outperform cyclicals.
How it works
Yield-curve curvature spikes signal macro-regime change; routes flows from cyclicals to defensives (or reverse on the flip).
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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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
- ~0.5%/month
- Tested over
- 21/63/126d
Cochrane-Piazzesi 2005; ~0.5% per month on curvature signal.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Term Structure Curvature on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.