Predictive Strength
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Predictive Strength
Measures the number of new unemployment benefits claims (Insured Unemployment).
The Federal Reserve's dual mandate ties interest rates directly to labor market health. Sustained highs in continued claims:
Continuing claims data is sourced from weekly reports submitted by state unemployment agencies to the U.S. Department of Labor (DOL), which aggregates and seasonally adjusts the figures using models developed by the Bureau of Labor Statistics (BLS). States initially report claims based on where benefits are paid, then revise them to reflect claimants' residency. The DOL distinguishes "continued claims" as those from individuals already receiving benefits, excluding new applicants.
To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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Predictive Strength
Predictive Strength
Predictive Strength