Economy & PolicyExtended setResearchNew
Term Structure Curvature Alfred Pit
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.
Read the paper →
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
adaptation: Cochrane-Piazzesi 2005 build the tent factor from Fama-Bliss forwards; the (2y-2*5y+10y) butterfly is an internal proxy
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.
Loading substrate evidence…
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.
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 Alfred Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.