Macro Regime Tracker: Melt Up Mode In ES
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:
We are seeing ES rally in lockstep with the risk reward I previously laid out (see report linked below):
This is starting off the month of September to show that the uninformed narratives around bearish seasonality are misplaced:
As I laid out in the macro report, the flows of capital are systematically moving out the risk curve as the Fed is taking its stance. A cut for Sept is fuctionally a done deal and completely priced now. The entire question from here will be if we get 25bps or 50bps of additional cuts before the end of the year.
Macro Report: The Contagion Effect: Volatility’s Hidden Path Through the Economy
Macro Report: The Contagion Effect: Volatility’s Hidden Path Through the Economy
As always, the systematic strategies and models are laid out below.
Main Developments In Macro
US Macro / Fed Policy
FED DISCOUNT-WINDOW LOANS $4.37B IN WEEK ENDED SEPT. 3 AFTER $4.19B
TRUMP SIGNED AN ORDER IMPLEMENTING US-JAPAN TRADE AGREEMENT: WH
TRUMP ASKS SUPREME COURT TO LET HIM FIRE FTC COMMISSIONER
NY FED'S JOHN WILLIAMS TALKS TO REPORTERS AFTER NEW YORK SPEECH
FED'S WILLIAMS: MARKETS COMING TO OWN CONCLUSION ON SEPT. MOVE
WILLIAMS: MARKETS ARE FOCUSED ON FUNDAMENTALS OF THE ECONOMY
WILLIAMS: NOTHING IN YIELD CURVE IS ACTING THAT ABNORMALLY
WILLIAMS: FED IS FULL OF DEDICATED PEOPLE WHO AREN'T PARTISAN
WILLIAMS: NOT EXPECTING PERSISTENT INFLATION FROM TARIFFS
WILLIAMS: MY CONCERN IS JOB MARKET COOLS FURTHER THAN DESIRABLE
WILLIAMS: CLEARLY THE CASE DOWNSIDE EMPLOYMENT RISKS INCREASED
FED'S WILLIAMS: WILL BECOME APPROPRIATE TO CUT RATES OVER TIME
WILLIAMS: TOO RESTRICTIVE POLICY TOO LONG COULD RISK EMPLOYMENT
WILLIAMS: RESERVES TO DECLINE MORE MEANINGFULLY GOING FORWARD
WILLIAMS: FED'S BALANCE SHEET WIND-DOWN IS GOING VERY SMOOTHLY
Fed Independence / Miran Nomination
MIRAN IS ASKED IF PRESIDENT CAN FIRE GOVERNOR OVER RATE VIEWS
MIRAN DECLINES ANSWER ON VIEW OF TRUMP THREATS TO FIRE POWELL
MIRAN: WHAT I RECOMMENDED WAS A PACKAGE OF CHECKS, BALANCES
MIRAN: I DIDN'T RECOMMEND GIVING PRESIDENT CONTROL OF THE FED
MIRAN: MY INFLATION VIEW ISN'T JUST INFORMED BY MONETARY POLICY
MIRAN: CHANGE TO BORDER POLICY 'ACTUALLY QUITE DEFLATIONARY'
MIRAN: US GOODS INFLATION HAVEN'T DIVERGED FROM GLOBAL PATTERN
MIRAN: NO EVIDENCE TARIFFS HAD INFLATIONARY EFFECT ON PRICES
MIRAN: DON'T ANTICIPATE BOND MARKET WORRY ON FED INDEPENDENCE
MIRAN: BLS DATA ALSO DETERIORATED BECAUSE OF RESPONSE-RATE DROP
MIRAN: BLS DATA DETERIORATION IN PART DUE TO FAILURE TO CORRECT
MIRAN: UNWISE FOR FED TO ADVOCATE ONE FISCAL PLAN OVER ANOTHER
MIRAN: NO MATERIAL EVIDENCE SMALL BUSINESS WALLOPED BY TARIFFS
MIRAN: IN LONG RUN, EXPORTING NATIONS BEAR TARIFF BURDEN
MIRAN: IN SHORT RUN, CAN BE VOLATILITY IN BURDEN OF TARIFFS
MIRAN SUGGESTS BORDER POLICY CAN RELIEVE PRESSURE ON RENTS
MIRAN: TRUMP'S VARIETY OF POLICIES IS 'QUITE DISINFLATIONARY'
MIRAN SAYS NOBODY ASKED HIM TO PLEDGE TO VOTE FOR RATE CUTS
MIRAN DECLINES TO SAY HE'D ADVISE TRUMP NOT TO FIRE FED MEMBERS
MIRAN: FED'S ACTIONS ON CLIMATE CHANGE WERE HIGHLY POLITICAL
MIRAN: PRESIDENT IS ENTITLED TO A VIEW ON MONETARY POLICY
MIRAN: NO DETECTABLE INCREASE IN AGGREGATE PRICES FROM TARIFFS
MIRAN: I BELIEVE BLS WAS COMPLACENT IN LETTING DATA DETERIORATE
MIRAN: IF CONFIRMED FOR THIS ROLE, I WILL ACT INDEPENDENTLY
MIRAN: PRESIDENT NOMINATED ME BECAUSE HE LIKES MY POLICY VIEWS
MIRAN: FED INDEPENDENCE IS OF PARAMOUNT IMPORTANCE FOR ECONOMY
FED NOMINEE MIRAN ANSWERS QUESTIONS AT SENATE BANKING HEARING
Energy / Commodities
CUSHING CRUDE OIL INVENTORIES ROSE 1.59 MLN BBL, EIA SAYS
DISTILLATE INVENTORIES ROSE 1.68 MLN BARRELS, EIA SAYS
US REFINERY UTILIZATION FELL 0.30% LAST WEEK, EIA SAYS
GASOLINE INVENTORIES FELL 3.80 MLN BARRELS, EIA SAYS
CRUDE OIL INVENTORIES ROSE 2.42 MLN BARRELS, EIA SAYS
EIA SAYS US NATURAL-GAS STOCKPILES ROSE 55 BCF LAST WEEK
Trade / Geopolitics
US 15% TARIFF ON JAPANESE AUTOS GOES INTO EFFECT WITHIN 7 DAYS
US, TAIWANESE DEFENSE OFFICIALS HELD SECRET TALKS IN ALASKA: FT
TRUMP TELLS EUROPE MUST PLACE ECONOMIC PRESSURE ON CHINA: RTRS
TRUMP TELLS EUROPEAN LEADERS MUST STOP BUYING RUSSIAN OIL: RTRS
Legal / Oversight
DOJ OPENED CRIMINAL INVESTIGATION INTO FED'S COOK: WSJ
DOJ ISSUES SUBPOENAS IN PROBE INTO FED'S LISA COOK: WSJ
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.
Keep reading with a 7-day free trial
Subscribe to Capital Flows to keep reading this post and get 7 days of free access to the full post archives.