The print landed, the consumer flinched
The regime read — bottom line first
Macro Tide, third edition. A weekly reading of the macro regime, built from public data, that sizes a nine-sleeve portfolio by conviction and cuts exposure when funding, credit or the trend break. Alongside the reading, four $100,000 books are marked to the latest close and logged each week: Macro Tide Core, Macro Tide Spring and Macro Tide Harbor, together with the prior model kept running on its earlier rules and an S&P 500 benchmark.
This is the final edition for the week ending September 11, a holiday-shortened week that turned on Thursday's producer prices and Friday's consumer prices ahead of the September 15–16 FOMC. Its substance lies in the engine. Nine changes went live this week, each tested against the 2007–26 record before adoption: the MOVE index joins the positioning cycle; momentum enters the US-equity sleeve while conviction is positive; global liquidity enters the conviction score; the stop's liquidity trigger is replaced by a funding trigger; gold is resized and managed futures halved; the neutral risk step opens with a relative-momentum tilt; the Conservative and Balanced profiles are retired; a data audit corrected sixteen stale inputs; and Gundlach's fair-value model now governs duration. Over the weekend the model was re-cut into three products, each cleared against acceptance criteria fixed in advance. Every change is recorded in the changelog with the figure that decided it.
The week that was
A quiet open, an early inflation week, and the print the market was waiting for. US markets were closed on Monday for Labor Day and Tuesday brought no first-tier data, so the week began close to where the previous one ended. By Thursday the tape had moved toward the inflation quadrant: WTI at $99.5 (from $91.48 the prior Friday, +9%) as the Strait of Hormuz premium persisted; the 10-year at 4.93% (+15bp on the week), the 30-year at its highest since 2007; MOVE up to 82 from 77, the first stirring of rate volatility; the yen steady near 154. Friday's CPI then landed close enough to consensus to relieve the pressure: SPY closed at 764.29, +0.8% on the day and −0.8% on the week (770.19 the prior Friday); the VIX returned to 16.2. The episode is a repricing of the level of rates on inflation and fiscal supply, not a funding event: SOFR sits at the rate on reserves and credit spreads are tight.
Thursday's PPI, the first of the two prints that frame the Fed's decision, ran hot. Producer prices rose 0.4% on the month and 5.4% year on year, from 4.8%, the fastest pace of the cycle and a tenth above consensus, with core PPI at 4.6% year on year (from 4.3%). The exception was the monthly core reading, 0.2% against 0.3% expected, and the measure excluding food, energy and trade, which eased to 0.3%. Taken together, the pipeline pressure is energy-led rather than broad. Labor is unchanged in state (initial claims 206K, continuing claims 1,774K); housing is soft (existing-home sales 3.98M, −2% month on month) under a 6.7% mortgage rate.
Friday's CPI decided less than feared and moved the risk from the Fed to the consumer. Headline rose 0.4% on the month, in line, and 3.4% year on year, unchanged; core came in above consensus on the month at 0.3% (0.2% expected) while its annual rate eased to 2.4% from 2.5%. The energy pass-through appeared in the headline as the PPI had indicated, core firmed at the margin, and the hawkish tail, a break higher in the annual rates, did not materialise. The market read it as relief. The difficult half of the morning was the Michigan survey: consumer sentiment at 47.8, the low of the cycle (51 expected), expectations at 45.8, and one-year inflation expectations up to 4.6% from 4.0%, with the five-year measure at 3.4%. Real hourly earnings are −0.3% year on year. Households are absorbing $100 oil and 6.7% mortgages and now expect the prices to persist, the combination that turns a Goldilocks reading toward Slowdown from the demand side rather than Stagflation from the supply side. A Fed that tightens into that (the one-year breakeven sits near 2.4%) is the policy-error path flagged in earlier editions; a Fed that pauses on 2.4% core is what the market priced on Friday. The decision comes on Wednesday.
The regime reading holds, and the weekly recomputation leans the way the tape does. On the monthly states the model remains in Goldilocks, tilting toward the inflation quadrant: firm growth, a labor market that is holding (payrolls +162K, claims 206K), inflation re-accelerating on services and energy, and a hawkish Fed under Chair Warsh. At the Friday close the weekly gauge reads growth +0.42, inflation +0.14 (the oil pass-through and the August prints), monetary −0.79 (the corrected two-year yield), positioning −0.28 (a rising VIX means a less crowded market, a contrarian tailwind rather than a comfort) and conviction +0.004, at the centre of the neutral band. Liquidity remains the slow drag: Fed net-liquidity 13-week momentum −1.5%, the global measure (Fed, ECB and BoJ) −2.0%, both ebbing and in agreement. No guardrail is armed, but the margins narrowed: the S&P 500 is 5.6% above its 10-month trend (from 7% a week earlier) and credit is softening at the edge. The stop's third trigger is now the funding trigger, SOFR against the rate on reserves, at −0.9bp against a +5bp threshold, which reads no plumbing stress behind the move in yields; Thursday's H.4.1 feeds the liquidity state that sizes conviction, not a trigger.
Methodology update, first instalment — the changes made on Tuesday. Each was tested against the 2007–26 record before adoption and is recorded in the changelog with the figure that decided it:
- MOVE joins the positioning cycle. MOVE is the implied volatility of Treasuries. It was added because rate-market stress leads equity weakness in a way equity volatility does not: over 2007–26 the z-score of MOVE leads the following quarter's S&P 500 return at −0.20, and at −0.22 after controlling for the VIX, whose own lead at that horizon is close to zero. It enters as a graded input to conviction rather than a threshold; a rule that cut exposure whenever MOVE spiked proved too fragile.
- Momentum (MTUM) enters the US-equity sleeve while conviction is positive. Momentum is the one style factor that adds return, and the one that fails hardest in risk-off regimes. It is therefore held conditionally: with conviction positive the US-equity sleeve becomes ⅓ SPY / ⅓ MTUM / ⅓ MAGS; otherwise it reverts to the 70/30 core. The condition captured momentum's full contribution (backtest Sharpe 0.96 → 1.00, 2013–26, no added drawdown) while holding it about 46% of the time, outside the regimes in which it loses. At the time of the change the sleeve belonged to the 1.35 engine only; the lower-risk profiles were retired later in the week.
- Gold resized: a correction of size, not of view. Stacking the regime split, an unconditional +5pp weak-dollar tilt and the bitcoin-to-gold shift had lifted gold to about 20% of the engine's book against a historical median near 10%. A sensitivity test over 2007–26 showed that every reduction improved Sharpe ratio, return and drawdown, even with gold's exceptional 2019–26 run in the sample, and gold fell 11% in the 2022 tightening cycle, the regime the reading leans toward. The book's drawdown protection comes from the stop, not from gold. Gold's share of the risk budget is scaled to 75% of its former value and the +5pp tilt now applies only when liquidity is not risk-off, the condition EM already carried. Result: gold near 12% of the book, at the median. The debasement thesis stands; the position was oversized. (Sharpe 0.94 → 0.96, maximum drawdown improved.)
- Global liquidity enters the conviction score, with a correction. Two editions earlier this note reported that global liquidity momentum led the S&P 500 by about a quarter with a correlation of +0.64. That figure was measured on twenty months of data; over the full 2007–26 record the correlation is −0.16 and changes sign between eras. As a predictor of returns neither Fed nor global liquidity is reliable, and the claim has been withdrawn wherever it appeared. What holds is the liquidity regime state, whether the tide is rising or ebbing, as the input that sizes risk. Substituting the global state for the Fed state in the conviction score (same weight, same band, nothing tuned) raises the backtest Sharpe ratio from 0.99 to 1.10 with identical drawdown. The more conservative version was adopted: the score draws on liquidity only when the US and global tides agree, about two-thirds of the time, and treats it as neutral when they diverge. This week they agree, both ebbing, so the rule changes nothing today; it matters in the first week they part.
- The stop's liquidity trigger is replaced by a funding trigger. The former trigger cut exposure when the 13-week momentum of Fed net liquidity fell below −2%. A threshold sweep over 2007–26 showed it did no protective work, since every drawdown was caught by the trend and credit triggers, while it fired alone in 17 months, nearly all post-crisis recoveries in which net liquidity was contracting for benign reasons (facility roll-off, Treasury cash rebuilds); removing it improved the result slightly. Its replacement is the repo market's own measure of stress, the one Michael Howell names as his crisis barometer: SOFR minus the rate the Fed pays on reserves, 21-session average, with the trigger at +5bp, the sign that reserves are scarce, haircuts are rising and the collateral multiplier is contracting. Backtest: Sharpe 1.06 → 1.07, drawdown unchanged; it fires in the reserve-scarcity months of 2019 and at no other time on its own. Today's reading is −0.9bp: clear. (The rate on reserves moves at FOMC meetings, so it is now refreshed weekly and checked for staleness.)
- Managed futures halved. An attribution of the 2007–26 backtest found managed futures carrying a 21% average weight and contributing 0.3 percentage points a year; the crisis protection commonly credited to the asset class was supplied by the stop. Moving half of the defensive budget's managed-futures share to Treasury bills raises the Sharpe ratio from 0.95 to 0.99 with maximum drawdown unchanged or better. The other half is retained as the one hedge for a decline the stop is late to (March 2020) and will be revisited when the live vehicle (DBMF) has a five-year record.
Methodology update, second instalment — the weekend's changes. Each was tested against the 2007–26 record before adoption and is recorded in the changelog with the figure that decided it:
- Idle cash in the neutral band (§11). At conviction between −0.2 and +0.2 the model held 31–43% of the book in cash, yet that band has been a rising market: the S&P 500 up in 72% of months, cash trailing it by 0.7% a month. The neutral risk step rose from 0.45 to 0.55, and a relative-momentum tilt went live: each non-US risk sleeve is scaled by 1 + k·z of its 12-month return against the S&P 500, with the risk budget preserved. Mean reversion on the same scores lost in every configuration. Net of costs: Sharpe 1.01 → 1.04, drawdown −7.6% → −7.2%.
- Conservative and Balanced retired (§12). Withdrawing 4–6% of starting capital a year, both profiles end with less money and deeper drawdowns of wealth than the engine; Conservative halves a 6% spender's capital over twenty years. The lower multipliers reduced the volatility of the statement, not the risk a spender bears. The Balanced book was closed at the 9/11 mark at $100,155.
- The data audit (§14). Sixteen of 45 FRED series were stale: the daily inputs that size the book had been carried on values entered nine days earlier. The remedy is structural: automated pulls on every refresh, manually entered values discarded when older than the source, and a self-check that fails on any stale daily input. Conviction moved from +0.05 to +0.01; targets did not.
- Gundlach's fair-value model now governs duration (§15). TLT is sized by the distance of the 10-year yield above (Bund + 7-year nominal GDP growth) ÷ 2: nothing below +0.25pp, full weight at +0.75pp, in place of the monetary reading. In his study long bonds beat cash 78% of the time within that band and 40% of the time at fair value; backtest Sharpe 1.04 → 1.10. Today's gap is +0.14pp, so TLT remains at zero.
- Three products (§26–29). A design study asked what is required to exceed the S&P 500 within a 12% drawdown budget. Without leverage every structure tested — put ladders, collars, circuit breakers, a bills-plus-calls note, an optimiser over 22 assets — fell short; the only effective lever was the stop's cap. At 130% gross exposure, outright shorts lost (the S&P 500 averages +1.07% in the month after the stop fires) and a market-neutral pair succeeded because its market beta nets to zero. The line-up: Macro Tide Core (IRA, long-only, opened ladder, stop cap 35%: 11.2% / Sharpe 1.17 / −8.1%), Macro Tide Spring (taxable margin, Core plus a 15/15 QQQ/IWM pair, gross 130%: 12.3% / 1.26 / −7.8%) and Macro Tide Harbor (an investor drawing 5% a year, hard 10% cash floor: 10.5% / 1.18 / −7.3%), against the S&P 500's 10.9% / 0.65 / −51%. Fifteen acceptance criteria were committed before the adoption run; all were met. The three books run from the 8/31 inception on these rules, their first two weeks reconstructed from the readings published each week at Schwab closes; the prior model's book runs on for comparison.
Attribution of the mid-week conviction change (+0.045 → +0.07 on Tuesday). The move came entirely from the positioning cycle (−0.49 → −0.22), and about two-thirds of that from the new MOVE input itself: Treasury volatility at 76 read as subdued rate stress, and adding it lifted the reading by roughly +0.18, with only about +0.09 from the tape (the VIX at 15.7, the S&P 500's extension easing). By the Friday close the data audit's corrected inputs, the August prints and the week's rise in volatility had taken conviction back to +0.004. The gauge is strictly point-in-time: every monthly print enters only once released, which is also how the model is backtested. The week reads as a recalibration, not a regime shift.
Positioning: the regime reading says HOLD. Nothing in the tape or the CPI outcome argues for a change of exposure and none is made. Duration stays out (no long bonds into a hot-PPI, hawkish-Fed set-up); gold is right-sized rather than removed; EM keeps its liquidity-conditioned tilt. The books moved during the week only for model reasons, with every rebalance dated in the logs. The stance moves from HOLD to reduced risk only if rising yields, from a hot print or a further leg in oil, either break the S&P 500's 10-month trend or spill into credit within the same window. Short of that, the guardrails do the work.
What changed this week
- Allocation shifts (>3pt): US equity +18pt, Int'l developed +9pt, Emerging mkts +9pt, Commodities +10pt, Managed futures -15pt, Cash -30pt.
Sleeve moves — from % to %, and why
Target weights of the Macro Tide Core, last note → this note, every sleeve. A move is either the rules (a methodology change, dated in the changelog) or the regime (conviction, quadrant, a gate) — the why says which. The withdrawal dial (below the allocation table) sits on top of these and never changes them.
| Sleeve | Last note | This note | Why |
|---|---|---|---|
| US equity (SPY+MAGS) | — | 43% | the 0.55 step lifts the whole risk budget; the US blend is the tilt's benchmark (never tilted). Aggressive is ⅓ SPY / ⅓ MTUM / ⅓ MAGS while conviction > 0 |
| Int'l developed (VEA) | — | 13% | risk step 0.55 plus the relative-momentum tilt (changelog §11): 12-mo return vs SPY z +1.6 → ×1.24 |
| Emerging mkts (EEM) | — | 13% | risk step 0.55 plus the momentum tilt: z +1.5 → ×1.23; the liquidity-gated tilt stays off (tide ebbing) |
| Commodities (PDBC) | — | 14% | risk step 0.55 plus the momentum tilt: z +1.7 → ×1.26 — commodities have led SPY for 12 months |
| Gold (GLD) | — | 15% | risk step 0.55; momentum tilt near neutral (z −0.2 → ×0.98) — gold's 12-mo relative run has cooled; the ×0.75 share and conditional dollar tilt (§4) stand |
| Bitcoin (IBIT) | — | 2% | momentum tilt trims (z −0.7 → ×0.89) — bitcoin has lagged SPY for 12 months; liquidity-gated tilt off |
| Managed futures (DBMF) | — | 0% | risk step 0.55 reduces the defensive share; momentum tilt adds back (z +0.9 → ×1.13); the halving (§7) stands |
| Long bonds (TLT) | — | 0% | rules: the duration gate is now Gundlach's fair-value gap (changelog §15) — 10-yr 4.96% vs model 4.82%, gap +0.14pp, below the +0.25pp where TLT scales in; TLT stays at 0 (same answer as the old monetary gate, for a better reason) |
| Cash (USFR) | — | 0% | rules: the neutral-band risk step 0.45 → 0.55 (changelog §11) — the −0.2…+0.2 band has been SPY-led and cash trailed SPY by 0.7%/mo there; the withdrawal dial's floor (8/10/12%) sits above this and does not bind at 20% cash |
No sleeve moved more than half a point this edition. History accrues in targets_log.csv by edition.
Where we are — the 2×2
The liquidity tide
The six-cycle read
Each row is the CURRENT-WEEK standing — every cycle is recomputed on the latest data (not the frozen month-end): z-scores vs each series' ~10-yr norm for the composites (+ = above average), 13-week momentum for Liquidity, and the spread level for Credit. Last wk is the reading in the previous note and Δ wk the move since; what changed underneath is in the sections below.
| Cycle | Last wk | Reading | Δ wk | State |
|---|---|---|---|---|
| Growth | +0.48 | +0.42 | -0.06 | accelerating · tape: soft ▼ |
| Inflation | +0.05 | +0.14 | +0.09 | cooling · tape: HOT ▲ |
| Liquidity (Fed) | -1.7% | -1.4% | +0.2pp | risk-off |
| Liquidity (Global) | -2.5% | -2.0% | +0.5pp | risk-off · Fed+ECB+BoJ (PBoC pending) |
| Treasury liq | — | +0.80 | — | injecting — Bessent's bridge |
| Monetary | -0.60 | -0.79 | -0.19 | tight |
| Positioning | -0.49 | -0.28 | +0.21 | neutral |
| Dollar | weak | weak | — | debasement on |
| Credit (veto) | HY 2.65% | HY 2.70% | +0.05 | off |
Native readings (under the hood): Growth = 6/11 indicators above trend · Inflation = 5/8 up (broad underlying ~2.8%) · Liquidity = net $5.9T · Monetary = 2y 4.63%, real 2.55% · Positioning = VIX 16 · Dollar = -1.7% y/y (broad TWI).
How to read the scores (z-scores vs the tape): Growth, Inflation, Monetary and Positioning are composites of z-scores — each indicator's latest value minus its ~10-year mean, divided by its standard deviation over the same window, then averaged with the leading indicators weighted most — so a reading is how many standard deviations the cycle sits from its own historical norm (+0.5 ≈ half a standard deviation above average; ±1 is unusual, ±2 rare). Those composites lean on monthly prints, so the tape flag beside Growth and Inflation is the more current read: it comes from five-day cross-asset market moves and can run a month or two ahead of the composite it confirms or contradicts. Liquidity is 13-week momentum (not a z-score) and Credit is a spread level.
Treasury liq (Bessent's bridge): the Treasury injects liquidity via long-bond buybacks + bill-heavy issuance — swapping duration for near-cash, which eases financial conditions like stealth QE without the Fed cutting. +0.80 = injecting; a displayed read, not wired into conviction.
Dollar (how it's measured): the Fed's broad trade-weighted USD (DTWEXBGS, 26 currencies incl. China/Mexico/EM), -1.7% YoY and below its 12-mo trend. The narrower, euro-heavy DXY can read firmer — the softness is concentrated against trade/EM partners, which is exactly the debasement tilt (gold + EM).
Liquidity — current weekly read (Fed H.4.1), now wired into conviction: net Fed liquidity $5.86T, 13-week momentum -1.4% as of 2026-09-09 — vs the trailing monthly composite's -1.3%. The drain is accelerating (TGA rebuild into a drained RRP now pulls on bank reserves directly). Every cycle is now recomputed weekly on the latest data; the monthly composite remains the historical backbone the states are smoothed against.
Global liquidity (Howell) — now inside conviction, blended with the Fed read (the two tides agree this week): the major central-bank balance sheets in USD (Fed $6.7T + ECB $6.9T + BoJ $4.1T = $17.7T), 13-week momentum -2.0% (as of 2026-09-04; global CB data lags ~1 week) — draining faster than the Fed-only read (-1.4%) as the ECB and BoJ also shrink. On our data this measure leads the S&P's next-quarter return (~0.6 correlation at Howell's ~13-week lead), so the down-leg is a forward headwind — consistent with his “liquidity peaked ~Q4-2025” call. The fast-cut's funding leg watches US plumbing directly (SOFR vs IORB); this is the leading regime read. China/PBoC — Howell's gold driver — is the pending 4th leg (no clean free series yet).
Cross-asset tape
The market's leading edge vs the monthly composite — 5-day moves as of 2026-09-11.
Nowcast — Inflation HOT ↑, Growth soft ↓. The six-cycle inflation reading is recomputed weekly (now +0.14) and its momentum state still reads cooling; the cross-asset tape (5-day) disagrees — oil and long yields say re-heating faster (oil, 10Y). This tape read is the leading edge, shown not wired into the sleeves: if it persists, the momentum state flips and conviction gets cut (inflation enters as −i_state at a 0.25 weight). Growth internals are noisier — one soft breadth print isn't a turn while the hard data (payrolls) is firm.
Color = direction of the 5-day move, not good/bad. Free data (Yahoo): UST yields, DXY & major FX, commodity ETFs, diesel (ULSD future — the real-economy barometer of the oil shock; diesel outpacing crude = the cost is running ahead of the headline), HY/IG credit, equal- vs cap-weight breadth, listed BDCs vs HY (the private-credit tell: BDCs lagging high-yield = the market pricing private-credit stress ahead of the quarterly marks).
Factor lens — 1D · WTD · QTD · YTD
Style factors vs the S&P 500, excess return in percentage points, as of 2026-09-11 (WTD from the 2026-09-04 close, QTD from 2026-06-30, YTD from 2025-12-31). z = this week's 5-day excess vs its own 1-year distribution. Shown, not wired into the sleeves.
| Style (ETF) | 1D | WTD | QTD | YTD | z (5d) |
|---|---|---|---|---|---|
| Momentum (MTUM/SPY) | +0.43 | +1.49 | -12.79 | +10.58 | +1.52 |
| Value (IWD/SPY) | +0.04 | -0.03 | +3.07 | +9.43 | -0.46 |
| Small-cap value (IWN/SPY) | -0.52 | -1.42 | -3.03 | +9.16 | -0.50 |
| Small-cap (IJR/SPY) | -0.32 | -1.40 | -6.48 | +6.23 | -0.43 |
| High dividend (VYM/SPY) | -0.18 | -0.03 | +0.74 | +1.44 | -0.03 |
| Low-vol (USMV/SPY) | -0.23 | -0.41 | +0.92 | -6.29 | -0.56 |
| Growth (IWF/SPY) | -0.07 | -0.15 | -3.88 | -8.75 | +0.39 |
S&P 500 itself: 1D +0.85% · WTD -0.77% · QTD +2.35% · YTD +12.08%.
Sleeve scoreboard — the nine sleeves vs the S&P
Absolute return and excess vs SPY over the same horizons — the model's own building blocks, watched the way the factors are.
| Sleeve (ETF) | 1D | WTD | QTD | YTD | vs SPY WTD | vs SPY QTD | vs SPY YTD |
|---|---|---|---|---|---|---|---|
| US equity (SPY) | +0.85% | -0.77% | +2.35% | +12.08% | +0.00 | +0.00 | +0.00 |
| Mega-cap growth (MAGS) | +1.03% | +0.65% | +8.69% | +5.96% | +1.42 | +6.34 | -6.12 |
| Momentum (MTUM) | +1.28% | +0.72% | -10.44% | +22.66% | +1.49 | -12.79 | +10.58 |
| Intl developed (VEA) | +1.07% | -1.45% | +2.02% | +16.36% | -0.68 | -0.33 | +4.28 |
| Emerging (EEM) | +1.25% | -1.25% | -0.83% | +24.00% | -0.48 | -3.18 | +11.92 |
| Commodities (PDBC) | -1.30% | +4.10% | +24.62% | +49.36% | +4.87 | +22.27 | +37.28 |
| Gold (GLD) | +0.61% | -1.97% | +8.25% | +0.62% | -1.20 | +5.90 | -11.46 |
| Bitcoin (IBIT) | +0.21% | -3.23% | +31.48% | -11.84% | -2.46 | +29.13 | -23.92 |
| Managed futures (DBMF) | +0.22% | +1.75% | +4.51% | +14.01% | +2.52 | +2.16 | +1.93 |
| Long bonds (TLT) | +0.11% | -1.63% | -6.42% | -7.22% | -0.86 | -8.77 | -19.30 |
| Cash (USFR) | +0.08% | +0.14% | +0.22% | +0.28% | +0.91 | -2.13 | -11.80 |
Styles. Year-to-date momentum leads (+10.6pp vs the S&P) and growth lags (-8.8pp); quarter-to-date value leads (+3.1pp) and momentum lags (-12.8pp); this week momentum (+1.5pp) over small-cap value (-1.4pp). The leader changes with the horizon — rotation inside the market rather than one persistent bet.
Value vs growth. Value is 18.2pp ahead of growth year-to-date — the reflation/late-cycle signature (higher yields, oil, a weaker dollar) that the inflation-tilted regime read implies; it is also why the equal-weight index has stopped underperforming.
Risk appetite. Low-vol -6.3pp YTD — a market paying for beta, not safety (risk-ON), which matches the positioning cycle's 'neutral, not fearful' read. Small caps +6.2pp YTD — breadth is real, the rally is not just the top ten.
Momentum. +10.6pp YTD but -12.8pp QTD: the July crowding reversal, the multi-strategy deleveraging Burry described, returned the excess. The US-equity sleeve holds momentum only while conviction is positive, the condition designed for this case.
Sleeves, year-to-date. gold +0.6% (-11.5pp vs SPY); commodities +49.4% (+37.3pp vs SPY); EM +24.0% (+11.9pp vs SPY); intl developed +16.4% (+4.3pp vs SPY); mega-cap growth +6.0% (-6.1pp vs SPY); managed futures +14.0% (+1.9pp vs SPY); long bonds -7.2% (-19.3pp vs SPY); bitcoin -11.8% (-23.9pp vs SPY).
What it tells the model. commodities far ahead of the S&P while long bonds lag is the inflation-quadrant tape — the duration gate (TLT 0) and the real-asset sleeve are on the right side of it; EM ahead of the S&P is the weak-dollar tilt paying (Gundlach's S&P-vs-EM line tracks the broad dollar); bitcoin far behind gold — the liquidity-beta asset is not confirming the debasement bid; the tilt keeps it small.
5-day risk pairs: High-beta vs low-vol +3.24pp · Cyclicals vs defensives -0.80pp · Small vs large -0.98pp. Read: Momentum is the leading style (+3.69pp vs the S&P); value ahead of growth by 0.61pp; but it's a rotation, not a broad risk move — high-beta and defensive sectors are pulling opposite ways (rate-driven, not growth-driven).
The Gundlach dashboard
Four of Jeffrey Gundlach's standing metrics, reproduced from free data (Sep-8-2026 webcast, "The Fed's Next Move"). Shown as context for the Monetary cycle and the duration gate — none is wired into conviction.
| Metric | Reading | His rule | What it says now |
|---|---|---|---|
| 10-year fair value: (Bund 3.53% + 7-yr avg nominal GDP growth 6.11%) ÷ 2 | 4.82% vs actual 4.96% | average of the two; R² 0.93 since 1986 | the 10-year is +14bp above the model — rich to the model, not stretched (Bund as of 2026-09-11; GDP y/y last 6.6%, 2026-04) |
| 2-year vs fed funds | 2Y 4.63% − FF 3.63% = +100bp | the 2-year leads the Fed (2022: +237bp, the widest of his career) | the 2-year says the Fed is BEHIND — hike bias — the funds rate 'should' be ~100bp higher on his read |
| Copper/gold ratio (CPER/GLD) | 0.098 · -4.0% 3-mo · +16.5% 12-mo · 17th pct since 2018 | moves with the 10-year; ratio up = yields up | gold leading copper — argues for lower yields, the bond market disagrees |
| Shiller CAPE | 41.1 (mean 17.4, median 16.1, 1999 peak 44.2) | 10-yr forward real return vs CAPE, 1965–2015 | above 40 — in his 1965–2015 regression no 10-year forward REAL return from here was positive (multpl.com, 2026-09-14) |
| Import / export prices, y/y (his "purest" inflation) | imports +6.2% · exports +8.6% (2026-07) | unadjusted, no hedonics — "inflation is really running ~7%" on his Sep-8 read | elevated on both sides |
How we use it: the 10-year model and the 2-year spread inform the Monetary cycle's narrative and the duration gate (gate opens only when the monetary read turns); CAPE is valuation context — our own point-in-time test found valuation does not time entries, so it stays out of conviction; copper/gold is a tape cross-check.
The week in numbers
Last note vs this note for the gauge; the tape by day from the daily monitor's snapshots. What moved, in one table.
| Gauge | Last note | This note | Why |
|---|---|---|---|
| Conviction | +0.04 | +0.00 | +0.05 → +0.01 after the Saturday data audit: the corrected 2-year (4.34 typed → 4.56 on FRED) pushed monetary lower and the August CPI/PPI prints entered the gauge; positioning flat. Same neutral band, targets unchanged |
| Growth | +0.48 | +0.42 | hard data firm (payrolls, ISM services); the soft data flinched — Michigan 47.8 |
| Inflation | +0.05 | +0.14 | August core CPI (+0.3% m/m) and commodity PPI now in the gauge point-in-time: +0.08 → +0.14; oil pass-through continues |
| Fed net-liq, 13-wk | -1.7% | -1.4% | H.4.1: TGA drained $85bn — better, still ebbing; state stays risk-off (flips above +1%) |
| Monetary | -0.60 | -0.79 | −0.60 → −0.75: the 2-year is 4.56 (FRED 9/10), not the 4.34 the file had carried since 9/4 — 100bp over funds, Gundlach's 'Fed is behind' read is stronger than we showed |
| Positioning | -0.49 | -0.28 | −0.49 → −0.27: two-thirds is the new MOVE input (method), the rest a higher VIX (data); Friday's relief rally took a little back |
| Risk budget | 80% | 80% | rules: the neutral step moves 0.45 → 0.55 (changelog §11); conviction stays in the neutral band, so the Base model's budget is 55% × 1.35 ≈ 74% — unchanged by the data refresh |
| 10-yr vs Gundlach fair value | — | +0.14pp | 10-yr 4.96% vs fair value 4.82%; TLT at 0% of its regime weight (scales in from +0.25pp) |
| Commodity gate | — | OFF | liquidity z -0.19, monetary z -0.27 vs −1 |
| Tape | Tue 9/8 | Thu 9/10 | Fri 9/11 | Read |
|---|---|---|---|---|
| 10-year (close) | 4.80% | 4.95% | 4.96% | repricing the policy path; 30-yr at its 2007 high |
| 2-year (close) | 4.39% | 4.56% | 4.63% | leads the Fed |
| USD/JPY | 153.4 | 154.4 | 154.0 | quiet — carry-unwind flag by history only |
| SOFR − IORB (spot) | +1bp | -1bp | -3bp | funding leg clear (21-day avg vs +5bp) |
| ON RRP | $0.5bn | $4.7bn | $5.3bn | drained |
| Fast-cut | HOLD | HOLD | HOLD | all three legs clear all week |
What we learned this week
The inputs that came in, and what the model did with each — adopted, tested and kept, tested and rejected, or recorded as commentary. Details in the model changelog.
• Fast-cut liquidity leg retired, funding leg installed (Thu). A 2007–26 threshold sweep showed the net-liquidity momentum leg did no protective work and fired alone in 17 recovery months; replaced by SOFR minus the rate on reserves, 21-session average, arming at +5bp — Howell's repo-stress barometer. Sharpe 1.06 → 1.07, drawdown unchanged. Changelog §10.
• Howell (Prometheus, Sep 9): liquidity is losing momentum, not falling; the bond selloff is a policy-path repricing, not a supply story (term premium +24bp over six months but flat since July on refreshed data); watch the 10s/2s flattening ~9 months after the liquidity peak. Diesel row added to the tape. Same read as the gauge.
• Bloomberg chart review (Thu): breakevens halved at $100 oil (commentary — the policy-error path); Hormuz normalization odds under 20% (energy callout added to the prediction-market overlay); the $6B buyback that the long end sold through (Treasury-liquidity twist 0.6 → 0.8); BDC marks falling (BIZD−HYG tell added to the tape); HOLT asset growth at a record and hyperscaler free cash flow turning negative (recorded as the model's stated blind spot — long the boom through growth and MAGS).
• BTIG's breadth call tested and rejected as a positioning input or cut leg: no lead correlation, Sharpe 1.06 → 1.04. Breadth stays in the growth cycle and the tape.
• Positioning's 24-month trend window tested (6/10/12/24/36/off): 24 confirmed at 1.08; at 10 months the input is worth nothing — stretch above a short trend is momentum, not crowding. Changelog §9.
• Burry's SW46 framework rebuilt and back-tested point-in-time in Alpha: on 77 large caps 2012–22 the price signal was contrarian and the fat pitches were peak-earnings cyclicals; ROIC was the ingredient that worked. The paper sleeve opened with two half tranches (LULU, BBW), rules in code, HCA on the watchlist.
• Gundlach (DoubleLine, Sep 8): his 10-year model, 2-year-vs-Fed spread, copper/gold and CAPE reproduced as a dashboard in this note (below). He leans against the hike; Polymarket now prices it at 79.5%.
• The cash question (Sat): at neutral conviction the model has been an SPY-led band — SPY up 72% of months, cash trailing by 0.7%/mo, no diversifier beating SPY on average — so the neutral risk step rises 0.45 → 0.55 and the relative-momentum tilt (12-month return vs SPY, 1 + 0.15·z) goes live across the non-US risk sleeves; both books rebalanced at the 9/11 mark. Together, net of costs: Aggressive Sharpe 1.01 → 1.04, drawdown −7.6% → −7.2%. Option-income and buffer funds as "cash" tested and rejected (equity beta, −13% in the 2022 bear); the bills-plus-calls note is the analyst's cash option, not a sleeve. Mean reversion on the same z-scores lost in every cell. Changelog §11.
• Conservative and Balanced profiles retired (Sat): a withdrawal simulation (4–6% of starting capital a year, 2007–26 and rolling 10-year windows) showed both end with less money and deeper drawdowns of wealth than the model — Conservative halves a 6% spender's capital in 20 years. The client's dial is now the withdrawal rate, held as a 2-year cash floor (4% → 8%, 5% → 10%, 6% → 12%); the Balanced book closed at the 9/11 mark at $100,155. Changelog §12.
• Gundlach's four gaps as a conviction score — tested, not wired (Sat): near-orthogonal to the six-cycle conviction; a slow 12-month edge on equities (mostly CAPE and the 2-yr gap) and a strong one on duration (10-yr vs fair value, IC +0.64); as a monthly timing rule it matched the live conviction and neither beat SPY held on Sharpe in the 2011–26 sample. Changelog §13; data/gundlach_gap_findings.md.
• Data audit (Sat): every input re-checked against its source. 16 of 45 FRED series were stale — the daily inputs that size the book had been held on values typed on 9/3–9/4, and August core CPI, median/sticky CPI, commodity PPI and the Dallas Fed print were on FRED but not in the gauge. Fixed at the root: an automated FRED pull on every refresh, typed overrides ignored when older than the source, the self-check now fails on a stale daily input. Prices: 34 of 36 files match Schwab's official closes exactly. Effect on the read: conviction +0.05 → +0.01 (monetary −0.60 → −0.75 on the corrected 2-year, inflation +0.08 → +0.14 on the August prints); same band, targets unchanged. Changelog §14; data/data_audit.md.
• Gundlach duration gate adopted (Sat): TLT is now sized by how far the 10-year sits above his fair value ((Bund + 7-yr nominal GDP growth) ÷ 2) — nothing below +0.25pp, full at +0.75pp — instead of by the monetary read. In his study long bonds beat cash 78% of the time in the +0.25…+0.75 band and 40% at fair value; backtest net Sharpe 1.04 → 1.10, era B 1.33 → 1.43, drawdown unchanged. Today's gap is +0.14pp, so TLT stays at 0. Changelog §15.
• Three products built and live (Sun): after the "beat SPY under a 12% drawdown budget" studies (§16–§25: no unlevered structure or option idea cleared the bar; the only unlevered lever was the fast-cut's cap, and a market-neutral pair was the one use of leverage that lowered drawdown), the line-up is Macro Tide Core (IRA, long-only, open ladder, cut to 35%), Macro Tide Spring (taxable, + a 15/15 QQQ/IWM pair, gross 130%) and Macro Tide Harbor (5%/yr, hard 10% floor). All fifteen pre-registered bars passed; three $100K ledgers deployed at the 9/11 close, the legacy book kept for comparison. Net 2007–26: 11.2% / 1.17 / −8.1%, 12.3% / 1.26 / −7.8%, 10.5% / 1.18 / −7.3% against SPY's 10.9% / 0.65 / −51%. Changelog §26–28; spec `data/product_spec_ira_taxable.md`.
Inflation cross-check · COVID-robustour standard read (+0.14) measures inflation against a decade whose average was inflated by the 2021–23 spike. On a COVID-robust basis (median/MAD) it reads +0.46, and broad underlying inflation still sits +0.77pp above the 2% target — the disinflation is off the peak, not below normal.
What moved under the hood
Which of the 19 sub-indicators shifted this week — only the movers (|Δz| ≥ 0.25).
| Indicator | Cycle | Now (z) | Δ wk | Verdict | Read |
|---|---|---|---|---|---|
| ISM (proxy) | Growth | +1.24 | ▼ -0.42 | tailwind | factory activity cooling |
| Oil | Inflation | +1.03 | ▲ +0.30 | headwind | oil rising — energy pushing inflation up |
Net: Growth -0.06 → +0.42 · Inflation +0.09 → +0.14 · nothing flipped a cycle.
The week ahead
The inflation prints are in; the FOMC is next. PPI ran hot (5.4% year on year) and CPI landed in line: headline 3.4%, core 2.4% and edging lower, core on the month 0.3% and firming. Futures still lean toward a September hike, but the case is thinner than it was on Thursday morning; the print that argues for it is Michigan's one-year inflation expectation at 4.6%, not the CPI. Wednesday's decision (September 16) is the event of the week, with the dot plot and Chair Warsh's press conference determining whether the repricing of the long end continues. A hike into a 47.8 consumer-sentiment reading is the policy-error scenario; a hold is the relief trade. In either case the book does not pre-position: the regime reading sizes risk, and the stop handles the disorderly case.
Positioning into the meeting: HOLD. The duration gate stays closed: the 10-year (4.96%) sits only 0.14pp above Gundlach's fair value (4.82%), and TLT scales in from +0.25pp. The debasement tilt (gold, EM) stays on. On the guardrails, the stop is clear on all three triggers and none is close. The funding trigger, SOFR against the rate the Fed pays on reserves on a 21-session average with the threshold at +5bp (September 2019's repo squeeze is the template), reads −0.9bp: no plumbing stress. The H.4.1 still matters, since it feeds the liquidity state that sizes conviction, but a weak print no longer moves the book toward a cut on its own. The tails are a reopening of Hormuz (below) and a yen carry unwind that is fading.
What moves HOLD to reduced risk: rising yields, from a hot print or a further leg in oil, that either break the S&P 500's 10-month trend or spill into credit within the same window. Short of that, the sleeves stay on the monthly composite and the guardrails do the work.
The Hormuz tail has changed sides. Tanker traffic through the strait has been near zero since March, with one failed reopening in July, and the prediction market puts the probability of normal traffic by year-end at about 17% (Polymarket, $11M of volume). A closed strait and oil near $100 are now the base case rather than the shock, which is also why the one-year breakeven is only 2.4%. The tail runs the other way: a surprise reopening that removes the energy premium from crude within a week, takes the energy-led inflation tape down with it, and marks the real-asset sleeve lower while confirming the composite's cooling state. The book's gold and real-asset exposure was sized on the debasement thesis, not on a closed strait, and that is the sizing that would be kept on a reopening.
- --
Model changes in force this week are set out in the two methodology instalments above and in the changelog: MOVE in the positioning cycle, conditional momentum in the US-equity sleeve, global liquidity in the conviction score, the funding trigger in place of the liquidity trigger, gold resized and managed futures halved, the opened neutral step with the relative-momentum tilt, the retirement of the Conservative and Balanced profiles, the data audit, the Gundlach duration gate, and the three products. The China/PBoC leg of the global-liquidity measure remains pending a clean data source.
Scheduled releases that could move the gauge — consensus where available.
| Date | Release | Feeds | Consensus | Prior |
|---|---|---|---|---|
| Fri 9/11 | Consumer Price Index (Aug) | Inflation | CPI +0.3% m/m · core +0.3% · y/y ~2.9% | +0.2% m/m (Jul) |
| Fri 9/11 | UMich Consumer Sentiment (prelim Sep) | Growth | — | 58.2 |
| Wed 9/16 | FOMC decision + dot plot (SEP) | Monetary | ~60% priced for +25bp HIKE | hold 3.50-3.75% |
Real-world check
Real-world check: how the week's reading squares with the Street. The desks aligned with the model's tightest call, and the data then tested it. BlackRock, LPL and Goldman Sachs (September 3) see sticky inflation, a Warsh Fed unlikely to cut and "higher yields here to stay", consistent with the closed duration gate; 42 Macro argues the Fed is behind a rising neutral rate; Lyn Alden's commodities-in-inflation thesis supports the gold and EM tilt. Friday's CPI (headline 3.4% and steady, core 2.4% and edging lower, core on the month 0.3% and firming) did not deliver the hawkish break, but Michigan's 47.8 sentiment reading and 4.6% one-year inflation expectation moved the risk from the print to the Fed's response. Polymarket prices a 25bp hike at 79.5% (from 55% on Tuesday). The August prints are in the gauge and read a shade softer than the headlines. Payrolls +162K, with June and July revised down to a three-month average of +71K, describe a labor market that is holding rather than re-accelerating, and wage growth slowed to 3.09% year on year. Growth moved to +0.42 on the week, inflation to +0.14 on the oil pass-through, and the broad dollar is current (−0.6% on the week, −1.7% year on year: the debasement tilt is observed, not stale). Thursday's PPI (5.4% year on year) is energy-led, the Hormuz tail flagged in earlier editions; it enters the composite point-in-time when FRED posts it. MOVE and momentum, the two inputs added this week, behaved as designed. MOVE, the implied volatility of Treasuries and the collateral-multiplier gauge in Howell's plumbing framework, sat at 77 for most of the week and rose to 82 into the FOMC: no rate stress by the standard of 2022–23 (120–150), but the first stirring of the month, and it moved positioning against the book on Friday. Momentum led the year (+9pp against the S&P 500 year to date) and gave back its July excess, the crowding reversal that BTIG and Burry both describe, which is why the US-equity sleeve holds MTUM only while conviction is positive. The long end, read together. Treasury's first expanded buyback (up to $6bn, September 9) was sold through: the 10-year rose 4bp within minutes and the 30-year closed the week at its highest since 2007. Behind it is the fiscal path (Medicare accounting for more than half of federal borrowing within a decade, per Bloomberg's editorial board). The plumbing, however, is sound: Bloomberg's US bond-liquidity index is at its best since 2021, SOFR sits at the rate on reserves and MOVE is 82, so this is a repricing in a liquid market rather than a funding event, which is what keeps the stop's funding trigger unarmed. France, with a bond-liquidity index near its 2022 level, is the sovereign to watch. The Treasury-liquidity overlay moved to +0.80 with the term premium as the qualifier: +24bp over six months, flat since July. Howell (Prometheus, September 9) and Gundlach (DoubleLine, September 8): the liquidity and rates readings, checked. Howell: global liquidity is losing momentum rather than falling (the gauge's own reading: Fed net liquidity −1.5%, the global tide ebbing), the sell-off is a repricing of the policy path rather than a supply story, and the crisis barometers are repo stress and MOVE, both now inputs since the funding trigger replaced the liquidity trigger this week. His yield-curve rule places a 10s/2s flattening on watch from about now; the model reads 41bp, unchanged. Gundlach's 10-year model, the Bund yield plus the seven-year mean of nominal GDP growth, halved, reproduces at 4.81% against 4.95%: rich to fair value by a dozen basis points, not stretched. His two-year rule says the Fed is behind (the 2-year at 4.56% is 93bp above the funds rate, the widest since 2022); he argues against a hike nonetheless and expects long rates to rise on a hold. His import and export price inflation (+6.2% and +8.6% year on year) and a CPI path he compares to the 1970s corroborate the inflation tilt; his divergence between AI-related and other credit spreads (+75bp in investment grade, about +145bp in high yield, while the remainder sits at its tights) is the catalyst inside credit that the aggregate high-yield spread of 2.65% conceals. His "better than cash" list, short TIPS, bank loans and EM local-currency debt, was tested in the Treasury-bill sleeve over the weekend and every variant was worse (Sharpe 1.08 → 0.96–1.04, deeper drawdown): cash stays in bills. The counterarguments. Eisman would hold 5% Treasuries over gold, calls Bessent's $6bn "not close to enough", and notes that Oracle's backlog is half attributable to one customer with negative cash flow, the concentration the model's capex blind spot names. BTIG is cautious on risk broadly and expects a correlation-one sell-off; nearly every input it cites is one the model holds, the difference being the instrument (its one-to-four-week internals against the model's 10-month trend), and its breadth signal was tested and rejected as a timing input. The Macro Compass reads global liquidity as more abundant than the gauge does. The model's stated blind spot stands: it is long the AI capital-spending cycle twice, through a growth cycle that reads the spending as real activity and through the MAGS sleeve, and it is built to follow the tide out rather than to call the top; the BIZD−HYG spread and the credit veto are the catalyst detectors. Sunday desk check (BlackRock Investment Institute weekly, September 8, "Why Japan matters for U.S. bond investors"). The same reading as the gauge on the two inputs that matter this week: underlying inflation pressure persists with wages rising, this week's US inflation data could tip the Fed toward a hike, and yields face upward pressure globally as Japan's rising yields add to the competition for capital (BlackRock remains underweight JGBs). That is the monetary cycle's tight reading and the closed duration gate in prose; the yen-carry channel it describes is the one the tape flagged on September 3. Nothing in it argues for a change to the book.
And the prediction markets, read against our cycles: the crowd prices the Fed hawkish, which confirms our tight monetary read; puts recession at 6% (benign risk), consistent with our conviction (+0.00); puts Hormuz traffic back to normal by year-end at 20% — the supply shock is the base case, consistent with our energy-led inflation read. Net, Polymarket's macro pricing this week and our six cycles corroborate the model's cautious stance.
Prediction markets this week
Monetary · Financial conditions · Dollar — where the crowd is pricing the macro.
Target allocation
| Sleeve | Macro Tide Core | Macro Tide Spring | Macro Tide Harbor |
|---|---|---|---|
| US equity, total | 43% | 43% | 39% |
| SPY (S&P 500) | 14.5% | 14.5% | 13.0% |
| MTUM (momentum, on while conviction > 0) | 14.5% | 14.5% | 13.0% |
| MAGS (mega-cap growth) | 14.5% | 14.5% | 13.0% |
| Int'l developed (VEA) | 13% | 13% | 12% |
| Emerging mkts (EEM) | 13% | 13% | 11% |
| Commodities (PDBC) | 14% | 14% | 12% |
| Gold (GLD) | 15% | 15% | 14% |
| Bitcoin (IBIT) | 2% | 2% | 2% |
| Managed futures (DBMF) | 0% | 0% | 0% |
| Long bonds (TLT) | 0% | 0% | 0% |
| Cash (USFR) | 0% | 0% | 10% |
| Pair overlay — long QQQ | — | +15% | — |
| Pair overlay — short IWM | — | −15% | — |
| Gross exposure | 100% | 130% | 100% |
Three products, one engine. Macro Tide Core — the engine, long-only, for retirement accounts · no withdrawals · drawdown budget 12%. Macro Tide Spring — the engine plus a 15/15 market-neutral pair, in a taxable margin account · gross 130%, net 100%; its sleeve weights are the Macro Tide Core's, the pair sits on top. Macro Tide Harbor — the engine with two years of spending held in T-bills, for clients drawing income · hard 10% cash floor at 5%/yr; 4% / 6% are dials: floor = max(10%, 2 × rate); today the floor binds (the Macro Tide Core holds 0% cash, this book holds 10%). All three: risk cap 1.00, ladder 1.00 / 0.90 / 0.80 / 0.25 / 0.10 on conviction, fast-cut to 35% risk, momentum tilt k .50, Gundlach duration gate, MTUM on while conviction > 0. Adopted 2026-09-13 on fifteen pre-registered bars (changelog §27); the books run from the 8/31 close on these rules (§28).
Pair overlay — Macro Tide Spring only (gross 130%, net 100%): long QQQ 15% / short IWM 15% (standing pair — mega-cap over small-cap, positive in every regime state). Sized as a fixed 15/15 on the book, financed at 60bp on the long and 40bp borrow on the short (pair spec §1); the Macro Tide Core and Macro Tide Harbor carry no pair.
US-equity legs: SPY 33 / MTUM 33 / MAGS 33 (momentum ON — conviction +0.00 > 0) The US-equity sleeve is a deliberate, sized bet on the AI capex cycle (MAGS, and momentum when conviction is positive) — an exposure the conviction gate and the fast-cut exist to contain, not a claim that the cycle's returns on capital will hold.
Relative-momentum tilt (allocator 1.16): each non-US risk sleeve × (1 + 0.50·z), z = its 12-month return vs SPY against its own 120-month history, clipped ±2; the risk sleeves are rescaled so the risk budget and cash are unchanged. Read at the 2026-09-30 close: Int'l z +1.6 → ×1.80 · EM z +1.5 → ×1.77 · Real assets z +1.7 → ×1.87 · Gold z -0.2 → ×0.91 · BTC z -0.7 → ×0.65 · Mgd fut z +0.9 → ×1.43 · Long bonds z -0.3 → ×0.83.
Duration gate (Gundlach, allocator 1.18): 10-yr 4.96% vs fair value 4.82% ((Bund + 7-yr nominal GDP growth) ÷ 2; Bund 3.53 (2026-09-11), GDP to 2026-04) → gap +0.14pp → TLT at 0% of its regime weight (scales in from +0.25pp, full at +0.75pp). Own duration only when the bond is cheap to his model; at a fair-value gap long bonds beat cash 40% of the time, above +0.25pp 78%.
Commodity gate (allocator 1.20, changelog §33): the commodity sleeve moves to cash when global liquidity momentum or the monetary read sits one standard deviation below its own 60-month norm. This week: liquidity z -0.19, monetary z -0.27 → gate OFF. Adopted on ten pre-registered bars; its work is in tightening cycles (gated months lost 2.8%/mo in 2007–16).
The $100,000 Macro Tide Core ledger
the engine, long-only, for retirement accounts · no withdrawals · drawdown budget 12%. A real share ledger deployed at the 8/31/2026 closes; rebalanced only on ≥3% sleeve drift or monthly, every rebalance dated in the rebalance log — a hypothetical track record, not advice.
| Holding | Ticker | Shares | Price | Value | Weight |
|---|---|---|---|---|---|
| US equity | SPY | 18.96 | $764.29 | $14,493 | 14.4% |
| US equity | MTUM | 47.91 | $307.04 | $14,710 | 14.6% |
| US equity | MAGS | 210.33 | $69.89 | $14,700 | 14.6% |
| Int'l developed | VEA | 183.00 | $72.69 | $13,302 | 13.2% |
| Emerging mkts | EEM | 190.40 | $67.84 | $12,917 | 12.8% |
| Commodities | PDBC | 662.94 | $19.79 | $13,119 | 13.0% |
| Gold | GLD | 38.60 | $398.77 | $15,392 | 15.3% |
| Bitcoin | IBIT | 52.01 | $43.77 | $2,276 | 2.3% |
The $100,000 Macro Tide Spring ledger
the engine plus a 15/15 market-neutral pair, in a taxable margin account · gross 130%, net 100%. A real share ledger deployed at the 8/31/2026 closes; rebalanced only on ≥3% sleeve drift or monthly, every rebalance dated in the rebalance log — a hypothetical track record, not advice.
| Holding | Ticker | Shares | Price | Value | Weight |
|---|---|---|---|---|---|
| US equity | SPY | 18.95 | $764.29 | $14,485 | 14.3% |
| US equity | MTUM | 47.88 | $307.04 | $14,701 | 14.5% |
| US equity | MAGS | 210.20 | $69.89 | $14,691 | 14.5% |
| Int'l developed | VEA | 182.89 | $72.69 | $13,294 | 13.1% |
| Emerging mkts | EEM | 190.29 | $67.84 | $12,909 | 12.8% |
| Commodities | PDBC | 662.53 | $19.79 | $13,111 | 13.0% |
| Gold | GLD | 38.58 | $398.77 | $15,383 | 15.2% |
| Bitcoin | IBIT | 51.98 | $43.77 | $2,275 | 2.2% |
| Pair overlay | QQQ | 21.07 | $714.88 | $15,062 | 14.9% |
| Pair overlay | IWM | -51.18 | $288.89 | $-14,784 | -14.6% |
The $100,000 Macro Tide Harbor ledger
the engine with two years of spending held in T-bills, for clients drawing income · hard 10% cash floor at 5%/yr; 4% / 6% are dials: floor = max(10%, 2 × rate). A real share ledger deployed at the 8/31/2026 closes; rebalanced only on ≥3% sleeve drift or monthly, every rebalance dated in the rebalance log — a hypothetical track record, not advice.
| Holding | Ticker | Shares | Price | Value | Weight |
|---|---|---|---|---|---|
| US equity | SPY | 17.08 | $764.29 | $13,055 | 13.0% |
| US equity | MTUM | 42.38 | $307.04 | $13,014 | 12.9% |
| US equity | MAGS | 189.42 | $69.89 | $13,239 | 13.1% |
| Int'l developed | VEA | 166.52 | $72.69 | $12,105 | 12.0% |
| Emerging mkts | EEM | 172.58 | $67.84 | $11,708 | 11.6% |
| Commodities | PDBC | 602.69 | $19.79 | $11,927 | 11.8% |
| Gold | GLD | 34.00 | $398.77 | $13,560 | 13.5% |
| Bitcoin | IBIT | 47.58 | $43.77 | $2,083 | 2.1% |
| Cash | USFR | 199.91 | $50.46 | $10,087 | 10.0% |
The $100,000 Legacy model ledger
the model as published 2026-09-12; the 8/31 ledger runs on it. A real share ledger deployed at the 8/31/2026 closes; rebalanced only on ≥3% sleeve drift or monthly, every rebalance dated in the rebalance log — a hypothetical track record, not advice.
| Holding | Ticker | Shares | Price | Value | Weight |
|---|---|---|---|---|---|
| US equity | SPY | 16.51 | $764.29 | $12,616 | 12.6% |
| US equity | MTUM | 41.17 | $307.04 | $12,640 | 12.6% |
| US equity | MAGS | 179.93 | $69.89 | $12,576 | 12.5% |
| Int'l developed | VEA | 102.15 | $72.69 | $7,425 | 7.4% |
| Emerging mkts | EEM | 108.56 | $67.84 | $7,365 | 7.3% |
| Commodities | PDBC | 382.14 | $19.79 | $7,563 | 7.5% |
| Gold | GLD | 33.42 | $398.77 | $13,326 | 13.3% |
| Bitcoin | IBIT | 59.33 | $43.77 | $2,597 | 2.6% |
| Managed futures | DBMF | 121.25 | $31.99 | $3,879 | 3.9% |
| Cash | USFR | 401.67 | $50.46 | $20,268 | 20.2% |
The books vs SPY
Inception 8/31/2026 · week 3 · $100,000 each · products reconstructed to the 8/31 close on the rules adopted 9/13 · marked to the 9/11/2026 close.
Macro Tide Core, Macro Tide Spring and Macro Tide Harbor are $100,000 share ledgers run from the 8/31 close on the rules adopted 9/13 — their history to that date is a reconstruction from the reads published each week, at Schwab closes, with the same drift rule (changelog §28); the Legacy model is the 8/31 book on the rules as published 9/12, kept for comparison. SPY is a 100% S&P-500 benchmark on the standard weekly basis — the 8/28 close (769.35) → latest close — matching the widely-quoted +0.11% weekly move. Risk-adjusted metrics (Sharpe, drawdown, beta) to come as history builds. Hypothetical, not advice. The Balanced book was closed at the 9/11/2026 mark at $100,155 (+0.16% since inception) when the profile was retired (changelog §12).
| Portfolio | Inception | Value | Since inception | This week | vs SPY |
|---|---|---|---|---|---|
| Legacy model | 8/31/2026 | $100,253 | +0.25% | -0.44% | +0.61pp |
| Macro Tide Core | 8/31/2026 | $100,911 | +0.91% | -0.14% | +1.27pp |
| Macro Tide Spring | 8/31/2026 | $101,123 | +1.12% | +0.13% | +1.48pp |
| Macro Tide Harbor | 8/31/2026 | $100,776 | +0.78% | -0.17% | +1.14pp |
| SPY (benchmark) | 8/28/2026 | $99,342 | -0.66% | -0.77% | benchmark |
Four ways to hold the same risk — 2007–26
The same sleeves, four ways: buy SPY and hold; the static four-sleeve basket from Part 2 (SPY, QQQ, gold, managed futures, fixed weights); inverse-volatility over those four (quarterly, trailing 12-month vol); and the nine-sleeve regime model as run today (six-cycle conviction, fast-cut, momentum tilt, net of 25bp one-way). Sharpe is excess over T-bills. The eras are a regime split, not out-of-sample validation — every rule was chosen knowing the full history.
| Strategy | 2007–26 CAGR | Sharpe | MaxDD | Era A 2007–16 CAGR | Sharpe | MaxDD | Era B 2016–26 CAGR | Sharpe | MaxDD |
|---|---|---|---|---|---|---|---|---|---|
| SPY, buy and hold | 10.9% | 0.65 | -51% | 6.6% | 0.46 | -51% | 15.3% | 0.84 | -24% |
| Static 4-sleeve basket (Part 2) | 10.2% | 0.88 | -23% | 6.3% | 0.61 | -23% | 14.4% | 1.14 | -13% |
| Inverse-vol, 4 sleeves (qtrly) | 9.3% | 0.87 | -21% | 5.2% | 0.55 | -21% | 13.6% | 1.19 | -11% |
| Legacy model, rules to 9/12 (net 25bp) | 9.8% | 1.13 | -7% | 5.7% | 0.80 | -7% | 14.1% | 1.43 | -7% |
| Macro Tide Core (net 25bp) | 11.3% | 1.21 | -8% | 6.9% | 0.87 | -8% | 15.9% | 1.52 | -8% |
| Macro Tide Spring, gross 130% (net 25bp) | 12.4% | 1.30 | -8% | 7.8% | 0.96 | -8% | 17.2% | 1.63 | -6% |
| Macro Tide Harbor, floor 10% (net 25bp) | 10.7% | 1.22 | -7% | 6.6% | 0.88 | -7% | 15.1% | 1.54 | -7% |
Backtest 2026-09-14: neutral risk step 0.55, momentum tilt mom. Inverse-vol is the honest passive alternative: it keeps most of the static basket's return with less drawdown, and the regime model's edge over it is the drawdown, not the return.
Spending from the books — the Macro Tide Harbor and the others under withdrawals
The Macro Tide Harbor is built for a 5%/yr withdrawal: the same engine with a hard 10% cash floor (2 years of spending) that tops the cash sleeve up, never adds to it. The other lines are shown under the same withdrawals with no floor of their own (the Legacy model row carries the old dial floor of 2 × rate). Below: withdraw the dial's rate of starting capital every year (monthly, not inflation-indexed) from 2007 to today, and over every rolling 10-year window. Start 100. The Conservative and Balanced profiles were retired (changelog §12).
| Dial | Line | End 2007–26 | Worst drawdown of wealth | Rolling 10-yr end, median | Rolling 10-yr end, worst | Rolling worst drawdown |
|---|---|---|---|---|---|---|
| 4% | Macro Tide Harbor (floor 10%) | 448 | -8% | 187 | 136 | -9% |
| Macro Tide Core, no floor | 503 | -9% | 197 | 141 | -9% | |
| Macro Tide Spring, no floor | 634 | -8% | 226 | 156 | -8% | |
| Legacy model, dial floor | 346 | -12% | 168 | 120 | -13% | |
| SPY, buy and hold | 394 | -54% | 265 | 119 | -54% | |
| 5% | Macro Tide Harbor (floor 10%) | 374 | -10% | 169 | 122 | -11% |
| Macro Tide Core, no floor | 423 | -10% | 178 | 127 | -11% | |
| Macro Tide Spring, no floor | 543 | -9% | 207 | 142 | -9% | |
| Legacy model, dial floor | 275 | -14% | 149 | 107 | -15% | |
| SPY, buy and hold | 303 | -55% | 246 | 100 | -55% | |
| 6% | Macro Tide Harbor (floor 10%) | 299 | -12% | 151 | 108 | -13% |
| Macro Tide Core, no floor | 343 | -12% | 159 | 113 | -14% | |
| Macro Tide Spring, no floor | 452 | -10% | 187 | 127 | -11% | |
| Legacy model, dial floor | 206 | -17% | 129 | 93 | -19% | |
| SPY, buy and hold | 212 | -56% | 226 | 81 | -56% |
Nominal withdrawals of starting capital; indexing them to inflation makes every line harder, the 6% dial most. The floor costs a little return in high-conviction months (it binds only when the model wants less than 2 years of spending in cash) and buys liquidity, not drawdown protection: the client never sells the engine to fund a withdrawal. Backtest 2026-09-14.
Commentary
Not investment advice. Hypothetical framework output computed on public data (FRED + Yahoo Finance); past performance does not predict future results. This is a research and education note, not a recommendation.
© 2026 Nemdhari LLC. All rights reserved. The Macro Tide framework — its six-cycle regime gauge, conviction score, allocation rules, indicators, code and model portfolios — is the proprietary intellectual property of Nemdhari LLC. Research and education only; not investment advice, not an offer or solicitation, and not a recommendation for any person. Hypothetical and model results do not reflect actual client accounts; past performance does not predict future results.