algorithmic-trading-anthology-july-2026-la-nina-atlantic-hurricanes-and-insurer-returns

Conclusion: Null

No effect at any horizon tested, across 12 tests.

Every test, against the significance threshold

persistence-robust p · left is stronger evidence

Filled markers fall below the 0.05 threshold before multiple-testing correction; hollow markers do not. Correction is applied across the whole batch, so an individual marker clearing the line is not a result on its own.

Tests

ticker × horizon

p < 0.05

uncorrected

Best q

1.00

BH-FDR

Survived

q ≤ 0.10

Method

Hypothesis

La Niña reduces Caribbean vertical wind shear and reliably raises Atlantic hurricane counts. Property-cat reinsurers carry that risk.

Rule

signal = soi_3m # 3-month mean SOI

prior = -1 # lower SOI -> higher returns

function test(instrument, horizon h):

y = sum(returns[instrument], t+1 .. t+h) # strictly forward

x = signal[t] # known at t

beta, t_stat = OLS(y ~ x) with Newey-West HAC, lag = h + 1

# null: slide x against y by every admissible offset, so

# persistence appears identically under the null

null = [slope(y, roll(x, k)) for k in all offsets]

p = (count(abs(null) >= abs(beta)) + 1) / (len(null) + 1)

return beta, t_stat, p

reject if Benjamini-Hochberg q <= 0.10 across the whole study

Evaluation

Table 1 · Every test in this hypothesis

forward return regressed on the SOI signal

Instrument	Horizon	n	β	HAC t	Shift p	Sign as predicted
RNR	3m	90	-0.0018	-1.27	0.221	yes
RNR	5m	90	+0.0036	+1.63	0.794	no
EG	3m	90	+0.0008	+0.55	0.588	no
EG	5m	90	+0.0037	+2.08	0.824	no
TRV	3m	150	+0.0000	+0.00	0.516	no
TRV	5m	150	+0.0010	+0.58	0.703	no
CB	3m	99	-0.0015	-0.88	0.195	yes
CB	5m	99	-0.0004	-0.16	0.416	yes
ALL	3m	97	-0.0004	-0.32	0.360	yes
ALL	5m	97	-0.0014	-0.79	0.253	yes
AIG	3m	159	-0.0024	-1.48	0.277	yes
AIG	5m	159	-0.0015	-0.53	0.416	yes

+ 8 more rows− fewer rows

Shift p is the persistence-robust p-value and is the one that decides. HAC t is shown to demonstrate how far conventional inference overstates the evidence.

Reference

Instruments

last price and one-month change, live from Yahoo Finance

Symbol	Notes
AIG	American International Group — listed on NYSE, in USD.
ALL	Allstate Corporation — listed on NYSE, in USD.
CB	Chubb Limited — listed on NYSE, in USD.
EG	Everest Group Ltd. — listed on NYSE, in USD.
RNR	RenaissanceRe Holdings Ltd. — listed on NYSE, in USD.
TRV	The Travelers Companies Inc. — listed on NYSE, in USD.

Sample

1970–2026 monthly

Sources

Queensland Department of Agriculture and Fisheries. Southern Oscillation Index. The Long Paddock. Monthly, 1876–. www.longpaddock.qld.gov.au/soi/soi-data-files

Yahoo Finance. Historical market prices. Adjusted close, month-end. Retrieved with yfinance. finance.yahoo.com

Revision history

Rev	Stage	Status	Change
01	Draft	—	Direction and criteria fixed before the experiment ran
02	Tested	Null	12 tests; 0 below p=0.05, none surviving FDR