Macro Regime Tracker: Interest Rate Curve
Macro regime and risk assets qualified clear
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, AI, and cross-asset data, it identifies macro changes and their impact on market positioning.
Macro Regime Tracker Index:
I laid out my view for how to think about the NFP print as we put the labor market data behind us and look to the Sept FOMC meeting:
I continue to believe we are in a credit cycle upturn. I explained on August 28 that due to the changes we are seeing in rates across the curve, I went neutral on bonds:
Its clear post the NFP print that the rally in ZT, ZF, ZN, ZB, and UB was incredibly aggressive. This is really where positioning and marginal cyclical impulses are coming in contact with the larger structural reality. We are in a period of higher nominal GDP and the PATH forward creates significant headwinds for bonds. However, this doesn’t mean we can’t see marginal rallies against the structural regime.
The interest rate sensitivity model (these are linked below) is showing that downward movements in yields are creating an upward skew for equities. In other words, we are between a reflation and Goldilocks regime. We are NOT in a period of time where higher rates are dragging on equities OR a fall in rates is a response to a recession. As we operate in the interium, interest rate risk will define EVERYTHING. The more Goldilocks type pricing we see, the greater the upside for Gold and Equities as the DXY is at risk of moving to 96.
This will be something I cover further in the next report. Thanks
As always, all the systematic models and strategies are updated below.
Main Developments In Macro
Markets & Equities
S&P 500 CLOSES 0.3% LOWER, NASDAQ 100 UP 0.1%
NASDAQ 100 TURNS NEGATIVE AFTER ERASING NEARLY 1% GAIN
NASDAQ 100 FUTURES REBOUND TO 0.7% GAIN
S&P 500 INDEX FUTURES ERASE GAINS AFTER PAYROLLS DATA
Rates & Yields
US TREASURIES SURGE AFTER WEAK AUGUST EMPLOYMENT DATA
US 2- TO 7-YEAR YIELDS FALL AT LEAST 10 BASIS POINTS ON DAY
TREASURY 2-YEAR YIELD FALLS 10 BASIS POINTS ON DAY TO 3.48%
TREASURY 2-YEAR YIELD FALLS TO 3.55%, LOWEST SINCE APRIL 7
TRADERS ADD TO BETS ON FED INTEREST-RATE CUT IN SEPTEMBER
TRADERS PRICE IN CHANCE OF HALF-POINT FED RATE CUT THIS MONTH
BANK OF AMERICA SEES TWO 2025 FED RATE CUTS VS NONE PREVIOUSLY
Fed & Policy Commentary
TRUMP: POWELL SHOULD HAVE LOWERED RATES LONG AGO
BESSENT BLAMES FED FOR REGULATORY OVERREACH
BESSENT: UNCONVENTIONAL POLICIES SHOULD BE COORDINATED W/ GOVT
BESSENT: FED MUST SCALE BACK DISTORTIONS IT CAUSES IN ECONOMY
BESSENT: FED CREDIBILITY JEOPARDIZED BY EXPANSION BEYOND MANDATE
BESSENT SAYS FED FORECASTS RELIED ON 'FLAWED MODELS': WSJ
BESSENT SAYS FED FORECASTS TOO PESSIMISTIC: WSJ
BESSENT SAYS FED TOOL KIT 'TOO COMPLEX TO MANAGE': WSJ
BESSENT WRITES OP-ED ON FED'S MONETARY POLICY IN WSJ
BESSENT SAYS FED MUST CHANGE COURSE: WSJ
BESSENT SAYS 'MISSION CREEP' THREATENS FED INDEPENDENCE: WSJ
GOOLSBEE: THERE'S A LONG HISTORY OF CEA FOLKS COMING TO FED
HASSETT: JOBS NUMBER LITTLE BIT OF A DISAPPOINTMENT RIGHT NOW
HASSETT: INFLATION IS LOW, ECONOMIC GROWTH IS SOLID
HASSETT: US ECONOMY IS PREPARED FOR TARIFFS
HASSETT: NOT CONCERNED ABOUT BENCHMARK REVISIONS
Trade & Tariffs
TRUMP: EU MUST STOP FINES AGAINST US TECH IMMEDIATELY
TRUMP POSTS ON TRUTH SOCIAL ABOUT EUROPEAN FINE ON GOOGLE
TRUMP ON GOOGLE FINE: WON'T ALLOW DISCRIMINATORY ACTIONS
TRUMP THREATENS 301 PROBE OVER TECH FINES
TRUMP THREATENS SECTION 301 TO NULLIFY PENALTIES ON US FIRMS
TRUMP: EUROPE HIT GOOGLE WITH FINE
Energy & Commodities
POSSIBLE BOOST TO OPEC+ SUPPLY MIGHT COME AFTER SUNDAY MEETING
SAUDI ARABIA WANTS OPEC+ TO SPEED UP NEXT OIL PRODUCTION BOOST
Macro Tear Sheets: Equities, Stock/Bond Correlation, Fixed Income, FX, Crypto, and Commodities
Macro Regime Dashboard: Excel spreadsheet for economic data, interest rates, and real estate.
Momentum and Mean Reversion Models: Equities, Commodities, Fixed Income, and Currencies
You can find the educational primer and video explanation of these models here: LINK
Growth, Inflation, Fixed Income, Credit, and Equities Regime Tracker
The Macro Regime Model offers a real-time view of growth, inflation, and yield curve dynamics, integrating these with credit market shifts, equity risk premiums, and positioning data. It connects upcoming catalysts to statistical drivers of asset prices, creating a unified framework that quantifies skew and clarifies risk-reward across asset classes.
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