Bond data proxies for market liquidity?

General
1

Wondering if anyone has found any useful data among P123’s bond or interest rate data that might act as a proxy for stock market liquidity? Soros & Druckenmiller have often stated how important liquidity is when determining how much net exposure they have to stocks, and I’m curious whether anyone has had success in creating a liquidity-based buy rule by using the data available here.

2

mm123,

You can try this rule making use of CORPBBBOAS (BofA Merrill Lynch US Corporate BBB Option-Adjusted Spread (daily)) and TEDSpread (TED Spread (daily)).

This is part of my buy rules filter for my Combined ETF system.

Regards
James

(sMA(10,0,##CORPBBBOAS)<(sMA(500,0,##CORPBBBOAS)+sMA(500,500,##CORPBBBOAS))/2 OR Close(0,GetSeries(“qqq”))>1.15* ema(200,0,GetSeries(“qqq”)) or Close(0,GetSeries(“iyt”))>1.05* HighValbar(200,0,GetSeries(“iyt”)) or Close(0,GetSeries(“dia”))>1.05*ema(200,0,GetSeries(“dia”))) &RSI(7,0,$SPALLINT)<85 & Close(0,$VIX)/sMA(10,0,$VIX)<1.2 & eMA(5,0,##TEDSPREAD)/eMA(20,0,##TEDSPREAD)<1.1

3

Thank you. Very helpful!

4

The Ted Spread was discontinued.

5

Miro,

I just checked and still see this is the P123 Factor Reference.

|##TEDSPREAD|Macro - Interest (FRED)|TED Spread (daily)

Corresponding FRED id=TEDRATE Full Description

If it has been discontinued, you can still use the part that contains ##CORPBBBOAS.

The definition from the Fed St Louis is here.

Regards
James

6

Hi p123 team,

  1. Do you have any approach how to handle macro series that has been removed from FRED? e.g., ##TEDSPREAD. One way would be to mark series as NA after the removal date. This would alert us that something is not right.
  2. Is it possible to add new economic series, with reasonable history, from FRED and maybe from other sources (ECB, Eurostat, World Bank)? I would be interested especially in European macroeconomic series.

I often use p123-series from FRED and fundamental aggregate series. I would be grateful to see that p123 enhance these datasets quality and coverage.

Thanks, Piotr

7

Hello Piotr

There are a handful of open issue covering the concerns you’re expressing here. It’s currently in the backlog, but we’re aware that improvements need to be made in this area.

What I can tell you is that you should avoid the following series for the time being:

  • ##ADJMBASE
  • ##GOLD
  • ##MZM
  • ##RMINCOME
  • ##STRESS
  • ##TEDSPREAD
  • ##VELMZM