Economy & PolicyCore researchResearchNew
Yield Curve Sector Rotation Alfred Pit
Updated dailyData needs: mediumlong onlylong short
paper
Source
Estrella, A., Hardouvelis, G. A. (1991). The Term Structure as a Predictor of Real Economic Activity. Journal of Finance 46(2), 555-576.
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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: Estrella-Hardouvelis 1991 document growth prediction; the sector-tilt rule is internal (Erb-Harvey 1994 motivates, does not specify)
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
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
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