Macro Regime Tracker: 3-13-2025 - ES Strategy Update
Macro regime and risk assets qualified clearly
Macro Regime Tracker (Daily Systematic Strategies & Models)
The Macro Regime Tracker offers a daily lens on how shifts in growth, inflation, and liquidity affect short-term risk and reward. Leveraging machine learning and cross-asset data, it identifies macro changes and their impact on market positioning.
The launch video for the Macro Regime Tracker is here: Link
Macro Regime Tracker Index:
Macro Regime Context
Macro Tear Sheets: Equities, Fixed Income, FX, Crypto, and Commodities
Macro Regime Dashboard: Excel spreadsheet for economic data and interest rates
Growth and Inflation Regime Tracker
Fixed Income and Credit Model
Equity Sector Model
Machine Learning Strategies and Models
Macro Regime Context:
While implied volatility ended marginally higher today, we are below the 30 level as bonds are in a range post the CPI print.
We are likely to see bonds marginally lower as we move into FOMC next week. Positioning is already preparing for Powell:
As bonds are in their range and the VIX closed below 30 today, the carry trade closed HIGHER. This was one of the main drivers for the sell-off in equities.
The ES strategies at the end of this report continue to show the incremental skew that is taking place and is dynamically updating every day. More on this at the end of the report.
We are now seeing government officials openly talk about recession and a lower stock market. While these news releases have minimal impact on weekly returns for equities and bonds, it illustrates where the narrative is beginning to diverge from reality. At the beginning of this year, the narrative was that the Trump economy would be the best in history in spite of higher rates and high valuations in equities. We are now seeing the opposite as the standard deviation of price away from analyst expectations has gone to a short-term extreme.
Remember, these politicians are feeding the market a narrative for their purposes, NOT to help you!
*MNUCHIN: A 5%-10% CORRECTION IN STOCKS 'MAKES SENSE,' NATURAL
*MNUCHIN: MARKETS ARE ADJUSTING TO TRUMP TRADE NEGOTIATING
*MNUCHIN: I DON'T SEE US AT ALL GOING INTO A RECESSION
*TRUMP ON GREENLAND: I THINK IT'LL HAPPEN
*TRUMP: WE DON'T NEED CANADA'S CARS, ENERGY OR LUMBER
*TRUMP: WANT CEASEFIRE FROM RUSSIA
*EUROPE GAS DROPS AS MUCH AS 4.5% AFTER PUTIN COMMENTS
*PUTIN: DEAL W/US MAY HELP TO RESUME RUSSIA GAS FLOWS TO EUROPE
*PUTIN SAYS TRUCE SHOULD LEAD TO LONG-TERM PEACE
*BESSENT: WE'VE HAD A BIG UNWIND IN MARKETS
*BESSENT: NOT CONCERNED ABOUT A LITTLE BIT OF VOLATILITY
*LUTNICK: TRUMP POLICIES WILL WILL BE REFLECTED IN Q4, MAYBE Q3
*LUTNICK: TRUMP WILL ALWAYS RESPOND BIGGER, STRONGER
*TRUMP: US TO RETALIATE IF EU TARIFFS NOT REMOVED IMMEDIATELY
The video and Twitter spaces I recorded today can be found here:
Macro Alpha Primers are here:
Macro Alpha Primer: Credit Risk and Duration Risk and Macro Podcast: Macro Alpha Primer
Macro Alpha Primer: Correlations and Macro Podcast: Macro Alpha Primer
Macro Alpha Primer: Macro Catalysts, Hedging Pressure, and Positioning and Macro Podcast: Macro Alpha Primer
Macro Alpha Primer: Positioning Premiums and Macro Podcast: Macro Alpha Primer
Macro Tear Sheets: Equities, Fixed Income, FX, Crypto, and Commodities
Macro Regime Dashboard: Excel spreadsheet for economic data and interest rates
Growth and Inflation Regime Tracker:
The Macro Regime Model first provides a real-time view of growth and inflation dynamics, then directly connects these insights to upcoming catalysts and the statistical measures that gauge their impact on asset prices.
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