Macro Regime Tracker: Positioning Into Economic Prints
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:
You can find the most recent reports breaking down all the macro views here:
As always, all the systematic models and strategies are laid out below.
Main Developments In Macro
US Politics & Government Shutdown
VANCE: WE HAVE TO KEEP CENTRAL SERVICES FUNCTIONING IN SHUTDOWN
VANCE: DEMOCRATS HAD A FEW IDEAS TRUMP AND I THOUGHT REASONABLE
VANCE: NOT REASONABLE FOR DEMS TO HOLD GOOD IDEAS AS LEVERAGE
THUNE: REPUBLICANS, TRUMP ARE UNITED BEHIND FUNDING BILL
VANCE: THINK WE’RE HEADED FOR SHUTDOWN BECAUSE OF DEMOCRATS
JOHNSON: TRUMP IS OPERATING IN GOOD FAITH IN SHUTDOWN TALKS
JEFFRIES: HAD A FRANK AND DIRECT TALK WITH TRUMP
SCHUMER: TRUMP CAN AVOID A SHUTDOWN, BUT DIFFERENCES REMAIN
SCHUMER: WE MADE PROPOSALS, ULTIMATELY TRUMP IS DECISION MAKER
SCHUMER: I THINK FOR THE FIRST TIME TRUMP HEARD OUR OBJECTIONS
SCHUMER: WE MET WITH TRUMP, WE HAVE LARGE DIFFERENCES
TRUMP, CONGRESSIONAL LEADERS MEETING UNDERWAY: US OFFICIAL
Liz Elkind: House GOP call: Mike Johnson says it’s a “good bet” that there will be a government shu
US LABOR DEPARTMENT ISSUES SHUTDOWN CONTINGENCY PLAN
BLS PLANS NOT TO RELEASE ECONOMIC DATA DURING GOVT SHUTDOWN
BLS TO SUSPEND ALL OPERATIONS IN CASE OF GOVERNMENT SHUTDOWN
Federal Reserve & Monetary Policy
FED’S MUSALEM: RESERVE BANKS ARE ‘CORNERSTONE’ OF INDEPENDENCE
FED’S MUSALEM: ECONOMIC DATA INTEGRITY IS CRITICAL
WILLIAMS: MY MODEL’S ESTIMATE FOR REAL NEUTRAL RATE IS 0.75%
FED’S MUSALEM: MOST INFLATION NOT TARIFF DRIVEN
MUSALEM: RATES ARE BETWEEN MODESTLY RESTRICTIVE AND NEUTRAL
MUSALEM: LABOR CONTINUES TO SOFTEN, BUT NEAR FULL EMPLOYMENT
WILLIAMS: VERY HARD TO KNOW EXACTLY HOW TARIFFS AFFECT PRICES
FED’S MUSALEM: LONG-TERM INFLATION EXPECTATIONS ANCHORED
FED’S MUSALEM: EXPECT INFLATION ABOVE TARGET FOR 2-3 QUARTERS
WILLIAMS: TARIFFS ASIDE, INFLATION HAS BEEN COMING DOWN
WILLIAMS: SOME OF THE UPSIDE RISK TO INFLATION HAS COME DOWN
WILLIAMS: RISKS TO EMPLOYMENT GOAL ARE GETTING A LITTLE HIGHER
WILLIAMS: LABOR MARKET HAS BEEN REMARKABLY RESILIENT
WILLIAMS: TARIFFS HAVE HAD MODEST OR MODERATE INFLATION IMPACT
WILLIAMS: I THINK UNDERLYING INFLATION CONTINUES TO MOVE DOWN
FED’S WILLIAMS: MONETARY POLICY CONTINUES TO BE RESTRICTIVE
HAMMACK: NEED TO MAINTAIN RESTRICTIVE POLICY
HAMMACK: INFLATION EXPECTATIONS CONCERN ME MOST NOW
HAMMACK: OTHER LABOR MARKET MEASURES REASONABLY STABLE
FED’S HAMMACK SAYS INFLATION TOO HIGH, TREND IN WRONG DIRECTION
NY FED’S REMACHE SAYS AMPLE RESERVES FRAMEWORK `SERVED US WELL’
MONEY MARKET VOLATILITY `NORMAL, NOT CONCERNING’: REMACHE
DEPUTY SOMA MANAGER REMACHE ADDRESSES PRIMARY DEALERS IN NY
Trade, Tariffs & Geopolitics
TRUMP POSTS ON TRUTH SOCIAL ABOUT NEW FURNITURE RELATED TARIFFS
TRUMP: NORTH CAROLINA HAS LOST FURNITURE BUSINESS TO CHINA
TRUMP: IMPOSING A 100% TARIFF ON MOVIES MADE OUTSIDE US
CHINA SAYS US UNDERMINES STABILITY OF GLOBAL INDUSTRIAL CHAIN
CHINA ISSUES STATEMENT ON US EXPORT CONTROL PENETRATIVE RULES
CHINA URGES JAPAN TO STOP PUT CHINA COS ON EXPORT CONTROL LIST
US, SWISS RECONFIRM NOT TARGETING FX RATE FOR COMPETITIVE GOALS
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.
Key Points To Set The Context:
US Market Wrap: Defensive Tilt, Energy Lags; Shutdown Risk Clouds Data (S&P –0.10%)
The S&P 500 slipped 0.10% as sector leadership rotated toward defensives while cyclicals, especially Energy and Communications dragged. The tone was one of “wait-and-see” ahead of labor prints, with added uncertainty that a government shutdown could delay BLS releases. Treasury yields eased and gold hit a record as investors hedged policy and data-risk.
Sector Attribution
Weighted Return Contribution to Index
Biggest drags: Communication Services (–0.08%), Energy (–0.04%), Industrials (–0.04%), Info Tech (–0.04%).
Offsets: Health Care (+0.04%), Financials (+0.02%), Staples (+0.01%), Utilities (+0.01%).
Net: S&P 500 (–0.10%). (from image 1)
Sector Performance (Unweighted Breadth)
Losers: Energy (–1.41%), Communication Services (–0.77%), Industrials (–0.45%), Info Tech (–0.11%).
Winners: Utilities (+0.53%), Health Care (+0.41%), Staples (+0.20%), Financials (+0.18%), Materials (+0.12%), Real Estate (+0.06%); Discretionary (0.00%).
S&P 500: –0.10%. (from image 2)
Macro Overlay
Shutdown & Data Risk
Markets are bracing for a potential US government shutdown that could delay key releases (JOLTS, NFP) a notable source of policy uncertainty given the Fed’s data dependence.
Fed Speak
Williams (NY Fed): Inflation risks have receded while employment risks have risen; tariffs’ effects have been “modest to moderate.” Policy remains restrictive, with r* ~0.75% real, keeping rate-cut optionality alive but measured.
Remache (NY Fed SOMA): Quarter-end money-market volatility is “normal” within an ample-reserves framework; balance-sheet growth resumes once reserves approach the minimum ample level.
Net: The bar for aggressive easing remains high, but softer labor momentum keeps a gradual-cuts path plausible.
Policy Wildcards
Tariff headlines (incl. proposals targeting films/furniture) keep an inflation-pass-through tail risk in play even as most officials downplay broad tariff effects so far.
The Read-Through
Base case: Data-dependent Fed with October cut possible but not pre-signaled; gradual easing bias if labor cools.
Risks: Data blackout from a shutdown, tariff-related sticky prices, quarter-end funding volatility.
Takeaway: Rotation says quality/defensive still carries the near-term baton while Energy weakness and Comm Services drag cap index upside. With yields easing and gold at highs, the market is hedging policy/data uncertainty rather than abandoning risk.
US IG Credit Wrap: Still in the Low-50s; Bonds Bid, Data/Shutdown Fog (IG OAS ~52.2 bp)
IG spreads held the carry lane as macro turned slightly risk-averse but rates rallied. Bloomberg US IG OAS printed ~52.2 bp (chart last: 52.215), a touch tighter vs yesterday’s ~52.6 and comfortably inside the 5-yr average. With Treasuries firmer, gold at a record, and shutdown risks threatening a temporary data blackout, credit traded steady-to-better rather than pro-cyclical.
Credit Context (where we sit)
IG OAS: ~52.2 bp
5-yr avg: ~62.4 bp → ~10 bp inside
Cycle tights: ~43.8 bp → ~8–9 bp away
’22 wides: ~111 bp → ~59 bp tighter
Read: Low-50s regime intact—carry-positive with two-way headline risk.
Credit Context
< 60 bp: Duration-friendly, carry-positive zone for insurers, pensions, and liability-driven buyers.
60–70 bp: Macro noise threshold, where volatility or inflation threats prompt positioning cuts.
> 90 bp: Systemic stress unlikely unless global macro or geopolitical shocks return.
What Changed Today (macro tape)
Fed speak: Williams framed tariffs’ price impact as modest, risks re-balanced toward employment; Remache called quarter-end money-market volatility normal under an ample-reserves operating regime. Net: policy still restrictive, gradual-cuts bias alive but not pre-signaled.
Risks to Watch
Data blackout risk: A shutdown could delay JOLTS/NFP, dulling visibility and elevating event-gap risk when data resume.
Tariff pass-through: Headline noise persists; officials still see limited broad inflation impulse, but discrete sectors (goods importers) remain exposed.
Quarter-end funding: Transient prints in bills/repo; watch for knock-on to IG front-end pricing.
Curve dynamics: A growth-scare bull steepener is more credit-hostile than today’s rates-led grind.
The Read-Through
Base case: Grind-with-noise continues. Low-50s OAS is carry-friendly; dips toward high-40s likely fade without a clear macro inflection.
Mag7 Model:
See the intro published for how to use the Mag7 models here: Link
Capital Flows Interest Rate Sensitivity Model:
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Launch video for these models is here: LINK
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