Upcoming FRED series maintenance

Announcements
1

A few series from FRED have become defunct over time. Changes to accommodate them are detailed below.

##ADJMBASE was recently switched from BOGMBASEW (Weekly), discontinued 2020-09-09, to BOGMBASE (Monthly). Any existing usage will need to be updated to account for this change in frequency.

##GOLD (GOLDAMGBD228NLBM), ##MZM (MZM), ##VELMZM (MZMV), and ##TEDSPREAD (TEDRATE) have been discontinued and, since they have no replacement, will be removed by the end of May. Any remaining references after that point will start producing errors.

As a replacement for ##GOLD, GLD:USA will have its prices extended further into the past and will be added as an option to Macro Charts.

If you've used any of the above series, you are advised to review your systems and adjust them accordingly.

2

Is it possible to "redirect" ##GOLD to GLD:USA? It seems like a lot of unnecessary time and training expense/cost for those like myself who have loads of AI factors that would need retraining. Thanks

3

We'll be sure to define a constant for ##GOLD to avoid breaking formulas and rules using it.

1 Like
4

While you are at it could you also make Gold ETF (GLD) a benchmark series.
SP 1500 Gold is useless because it consists of only 2 stocks RGLD and NEM with NEM having a multiple of the weight of RGLD, so it is really just NEM. What are we supposed to do with it?

2 Likes
5

I can't currently run AI factor strategy rebalances due to a "Could not find series for ##GOLD" error message. Please can this be fixed as discussed? Thanks very much!

6

Some internal changes were recently made which are preventing me from deploying the build. I was planning on rolling out the change today without user interruption like this. Hopefully I can have it resolved for you tomorrow.

1 Like
7

I am getting : Invalid command '##TEDSPREAD' on some rebalances today as well..

8

Will there be any replacement for the ##TEDSPREAD, it is essential to many of my ETF timers?

9

We can add SOFR30DAYAVG so TED spread could be computed as Close(0, ##SOFR3MO) - Close(0, ##UST3MO).

10

The redirect for ##GOLD is now in place.

1 Like
11

Still getting this when trying to rebalance or load an AI factor with it: Could not find series for ##GOLD

12

Thanks Aaron, I would appreciate having SOFR30DAYAVG etc. I have many ETF portfolios using the TED spread in a timing capacity..

13

So I've noticed specifically that if the system has a feature like:
Correl(5,250,GetSeries("##GOLD")) it remains broken, but anything that has exclusively Gold Price Series (Series) features/factors is fixed.

14

A fix is underway. There's a constant defined for ##GOLD which works fine, but uses that are done as GetSeries("##GOLD") don't work. The features should be using the constant, (e.g., Correl(5, 250, ##GOLD),) but we need to support GetSeries references.

1 Like
15

Another Idea- is it possible to keep the series data for these discontinued data up until the last available day, then zero fill, or use replacement series (or whatever stub makes sense) for future dates? Then produce a warning message versus the current " fatal error and abort?"
The fatal error and abort makes it difficult for users to transition their sims to the new data series..

16

In other words, freeze the obsolete series data for access while users rebuild and transition to replacement series.

17

Important: All users simulations relying on these series should not be auto rebalanced this weekend, or equity curves will be lost!

18

This is working now.

1 Like
19

We exhausted all possibilities for replacement of ##TEDSPREAD. We tried several "TED spread replacement" suggestions and they are just too different.

We are a backtest engine to build strategies that work in the future. Any strategy that relies on TED spread only works in the past. Therefore we feel that giving an error is the best course of action.

We can of course reinstate the series that stopped in 2022 for another week or so, so you have more time to change your system.

Let us know.

20

I appreciate the extra week but it may take me more time to assess the impact and find alternatives. (I have 5 ETF Portfolios and 1 Stock Portfolio using a Market Timing Macro involving TED Spread.) They are important to my real world core allocation. I spent a few hours last night guessing at random short term bond functions to replace TED without any luck. I asked Grok about alternatives and it responded:

"Yes, the TED spread, as traditionally calculated, has been discontinued. It was based on the difference between the 3-month LIBOR (London Interbank Offered Rate) and the 3-month U.S. Treasury bill rate. The discontinuation stems from the phase-out of LIBOR, which was halted for most tenors by the end of 2021 and fully ceased for U.S. dollar contracts by June 30, 2023. The Federal Reserve Bank of St. Louis stopped updating its TED spread series (TEDRATE) as of January 31, 2022, due to the removal of 3-month LIBOR data.

However, alternatives exist to measure similar credit risk. The Secured Overnight Financing Rate (SOFR) has been recommended as a replacement for LIBOR in financial contracts, and some analysts use the spread between SOFR and the 3-month Treasury bill rate to construct a similar indicator. Another option is AMERIBOR, though its 3-month tenor was reportedly discontinued, and overnight rates may not fully replicate the TED spread’s utility. These alternatives, particularly SOFR-based spreads, are less direct because SOFR reflects secured lending, whereas LIBOR captured unsecured interbank lending, which included a credit risk premium."

So, are SOFR or AMERIBOR viable options for a replacement series?

Thanks