Tpu Shock Trade Exposed Short
In plain terms
When Trade Policy Uncertainty spikes more than 1.5 standard deviations above its yearly average, multinationals with heavy foreign revenue exposure (Apple, Nike, Boeing, Caterpillar) underperform. Short the basket for 1-3 months.
How it works
Trade Policy Uncertainty shocks (z > 1.5 vs trailing year) compress equity returns of multinationals with >40% foreign revenue exposure — tariff and supply-chain risk premia widen. Caldara et al document ~-3% short-leg return over 30-60 days post-shock.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Tpu index
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~-3% over 30-60d
- Tested over
- T+1 to T+60d
~-3% over 30-60d on trade-exposed names post-TPU shock (CIMPR 2020).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Tariff news spikes TPU; China-exposed semis underperform 1-2 months.
When the dollar weakens, multinationals (Apple, P&G, Coke) get a tailwind. When it strengthens, domestics win.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore Tpu Shock Trade Exposed Short on alphactor.ai
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