US Bank Assets: Securities in Custody for Foreign and International Accounts (Algorand)

Custody Holdings: Securities in Custody for Foreign and International Accounts (source: FED)

Predictive Strength

Negligible

Algorand historically had ▶ 2.53% 30 days returns when US Bank Assets: Securities in Custody for Foreign and International Accounts was▆ Low (0.2 - 0.4). It indicates average expected returns.

Unravel

unravel

ALGO Price with US Bank Assets: Securities in Custody for Foreign and International Accounts

Factor Plot

Unravel

unravel

Unravel

unravel

▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

Get Access

Our Methodology

Predictive Strength

Negligible

Get Access

Custody Holdings: Securities in Custody for Foreign and International Accounts (source: FED)

Potential Edge

Cross-Border Capital Flow Signal

Foreign custody holdings correlate with:

USD liquidity conditions impacting crypto valuations (see Fed rate decisions' historical BTC sensitivity)
Geopolitical hedging behavior (e.g., dollar alternatives via crypto in emerging markets)
Institutional rebalancing between traditional securities and crypto (Galaxy Digital's 91% tokenization demand survey)

Data Collection Methodology

The data originates from the Treasury International Capital (TIC) survey, which collects security-level holdings from U.S. institutions via Form SHCA. The Federal Reserve Bank of New York aggregates these holdings as part of its custodial services for foreign central banks and international organizations. The results are published weekly in the Federal Reserve's H.4.1 report.

Backtest (Strategy Performance) - Strategy

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

81.04%

To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):

Long when the predictive factor is above 0, with a position size equivalent to the predictive factor value.
Short when the predictive factor is below 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.

Get Access