The hike landed, and the week split in two
This edition reports that the emerging-market sleeve “is now held through VWO rather than EEM”. That was accurate when this note was published on 20 September; it no longer describes the model. On 21 September the model’s reference instruments were pinned to SPY, GLD and EEM, and the emerging-market weight reverts with them — from the 9% shown here to about 12.8%. The fall was caused by the substitution itself, not by the regime read: the sleeve’s momentum tilt measures each holding against its own twelve-month history, so exchanging one emerging-market fund for another re-priced the sleeve on its own. A reader who took the four-point fall in emerging markets as a macro signal should discard that reading.
Separately, the “why” column beside the sleeve table in this edition was drawn from the retired model’s arithmetic — it cites a risk step of 0.55 against this book’s 0.80 — and the summary card carries a fixed sentence about growth, inflation and liquidity that was not recomputed for this week. The weights and every other figure in this edition were correct as published; only those explanations were not.
Third, a figure. This edition says oil gave its move back “down to $99.53 for the October contract by Friday” and then, two sentences later, that “October settled at $100.30”. The second is correct. The $99.53 was a real October price but not a closing one: a quote captured at 16:59 New York time, in the electronic session that runs on after the exchange strikes its settlement at 14:30. It came from the daily monitor’s WTI curve line, which quotes several contracts at the same moment because it measures the shape of the curve rather than the close, and it was read as though it answered a different question. The daily monitor of 18 September published the same figure and has been corrected; the curve line now labels itself as quotes rather than settles, so the misreading cannot be made from the page again. Nothing in the model moved: the inflation composite takes the most recent print and reads +0.09 either way, and the series now holds $100.30 for that date. All three items are addressed in edition No. 5, which carries the full disclosure.
The regime read — bottom line first
Macro Tide, fourth 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. Three $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 edition covers the week ending September 18, the week in which the Federal Reserve raised its policy rate to 3.75–4.00% and the Bank of Japan followed to 1.25%, its highest since 1995. The reading is unchanged in state and almost unchanged in conviction, which is the point worth dwelling on: a hawkish central bank on each side of the Pacific, a week of contradictory growth surveys, and a gauge that finished where it began. Two figures did change, and both are reported here for the first time: published performance is now shown net of a 0.75% annual advisory fee, and the emerging-market sleeve is held through VWO rather than EEM.
The week that was
The week the Federal Reserve raised rates, and the week the data refused to agree with itself. The committee voted unanimously, 12–0, on Wednesday to lift the target range to 3.75–4.00%, the first increase of this cycle, and Chairman Warsh framed it as the removal of accommodation rather than a response to weakening growth: he would be "hard-pressed to describe broad financial conditions as restrictive". The Summary of Economic Projections put sixteen of eighteen officials at one further increase this year and four at two. Markets had priced the move at about 87%, and the tape still fell: the S&P 500 reversed a 0.4% post-decision advance to close down 0.44%, the curve bear-flattened with the ten-year back at 5.01%, and the dollar firmed against everything. By Friday the index had recovered to 7,650.50, up 0.17% on the day, on a notably narrow advance.
The growth data split down the middle in the space of two days. Tuesday's Empire State survey collapsed thirteen points to 7.6 against 14.75 expected, the weakest first look at September. Thursday's Philadelphia Fed reading came in at 37.8 against 30.5, a beat of 7.3 and the mirror image, with new orders at 29.2. Between them, initial claims fell to 196,000, the lowest of the cycle, and continuing claims to 1.730 million. Retail sales rebounded 1.2% in nominal terms after July's decline, and industrial production was flat against 0.3% expected. Housing stayed weak in every line: starts 1.275 million (−2.6%), permits −2.7%, pending sales up 0.3% against 2% expected and −4.7% on the year. The composite ends the week firmer, at growth +0.45 from +0.42, but the dispersion behind that figure is the widest of the four editions to date. The regional surveys are the component to watch: two months of divergence between Empire and Philadelphia usually resolves toward the national data, and the next national reading lands this week.
Oil ran into the meeting and came back out of it. WTI reached $105.83 on Tuesday, up 5.8% in three sessions on the Saudi infrastructure disruption and Strait of Hormuz shipping risk, with Brent near $109 and diesel above $6.20. It then gave the move back: −3.6% on Wednesday and down to $99.53 for the October contract by Friday. A technical note on that figure matters for anyone reconciling this note against a screen. The October contract approaches its last trade date, and both of our price sources rolled to November early: Friday's quoted "WTI" of $96.08 was the November contract, while October settled at $100.30. Rather than type a replacement, the inflation composite holds Thursday's settle. The same substitution reached last week's daily monitor and was corrected there; the rule now is to compare the series against the named contract before it is used.
The Bank of Japan moved for the first time in the same week as the Fed. The vote was 7–2 to 1.25%, effective 24 September, the highest policy rate since 1995. The yen weakened anyway, to 156.85, and is 2.2% lower over five days — a tightening that the currency read as insufficient against a Fed that had just tightened too. The carry trade is the transmission channel the book watches here; nothing in it has broken, but a yen that falls on a Japanese rate rise is the configuration that preceded the August 2024 unwind.
The plumbing absorbed the hike cleanly, which is the week's most reassuring detail. Interest on reserve balances re-based to 3.90% on Thursday. The first SOFR fix afterwards printed 3.85%, meaning repo followed the policy rate by 23 of the 25 basis points. SOFR less interest on reserves sits at −1.0bp on the 21-session average against the +5bp that arms the funding trigger. Fed net liquidity improved on the week, its thirteen-week momentum at −0.8% from −1.5%, and the global measure at −1.7% from −2.0%. Both remain in drain; both are draining more slowly.
The reading is unchanged and the conviction score is flat. Growth +0.45 (+0.03), inflation +0.13 (−0.01), monetary −0.94 (−0.15, on a two-year yield that rose nine basis points to 4.76% after the hike), positioning −0.30, credit calm with high yield at 2.70%, and conviction +0.00. The regime stays Goldilocks, the fast-cut is clear on all three legs, and the closest leg is credit. The S&P 500 sits 5.9% above its ten-month trend. The one allocation change is a four-point reduction in emerging markets, the product of the relative-momentum tilt rather than of any view about the asset class; each book held within its drift bands.
Two housekeeping changes are disclosed here. The emerging-market sleeve is now held through VWO rather than EEM, at 7 basis points of expense rather than 70, for the same exposure; the substitution was measured over both samples and changed no rule. And every performance figure the firm publishes is now shown net of a 0.75% annual advisory fee, deducted monthly, with the market comparison carrying no fee. On the 2007–26 sample that takes Core from 13.7% to 12.8% a year, and its ten-year win rate against the index from 58% to 48%. The gross figures are retained in the study file; they are no longer what is published.
What changed this week
- Allocation shifts (>3pt): Emerging mkts -4pt.
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% | 45% | 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% | 13% | risk step 0.55 plus the relative-momentum tilt (changelog §11): 12-mo return vs SPY z +1.6 → ×1.24 |
| Emerging mkts (VWO) | 13% | 9% | risk step 0.55 plus the momentum tilt: z +1.5 → ×1.23; the liquidity-gated tilt stays off (tide ebbing) |
| Diversified commodities (PDBC) | 14% | 14% | risk step 0.55 plus the momentum tilt: z +1.7 → ×1.26 — commodities have led SPY for 12 months |
| Gold (GLD) | 15% | 16% | 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% | 2% | momentum tilt trims (z −0.7 → ×0.89) — bitcoin has lagged SPY for 12 months; liquidity-gated tilt off |
| Managed futures (DBMF) | 0% | 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% | 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% | 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 |
Bold = moved ≥ 0.5pp. 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 | +0.42 | +0.45 | +0.03 | accelerating · tape: mixed → |
| Inflation | +0.14 | +0.13 | -0.01 | cooling · tape: mixed → |
| Liquidity (Fed) | -1.5% | -0.8% | +0.7pp | risk-off |
| Liquidity (Global) | -2.0% | -1.7% | +0.3pp | risk-off · Fed+ECB+BoJ (PBoC pending) |
| Treasury liq | — | +0.80 | — | injecting — Bessent's bridge |
| Monetary | -0.79 | -0.94 | -0.15 | tight |
| Positioning | -0.28 | -0.30 | -0.02 | neutral |
| Dollar | weak | weak | — | debasement on |
| Credit (veto) | HY 2.70% | HY 2.70% | +0.00 | off |
Native readings (under the hood): Growth = 7/11 indicators above trend · Inflation = 5/8 up (broad underlying ~2.8%) · Liquidity = net $5.9T · Monetary = 2y 4.76%, real 2.61% · Positioning = VIX 15 · Dollar = -1.6% 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), -1.6% 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 $5.87T, 13-week momentum -0.8% as of 2026-09-16 — vs the trailing monthly composite's -0.8%. The drain is steady (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 $4.2T = $17.8T), 13-week momentum -1.7% (as of 2026-09-11; global CB data lags ~1 week) — draining faster than the Fed-only read (-0.8%) 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 2026-09-18.
Nowcast — Inflation mixed →, Growth mixed →. The six-cycle inflation reading is recomputed weekly (now +0.13) and its momentum state still reads cooling; the cross-asset tape (5-day) agrees (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 2026-09-18 (WTD from the 2026-09-11 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) | +1.26 | +1.18 | -11.69 | +11.99 | +0.46 |
| Value (IWD/SPY) | -0.32 | -1.18 | +1.82 | +7.96 | -1.27 |
| Small-cap value (IWN/SPY) | -0.41 | -1.53 | -4.54 | +7.27 | -1.00 |
| Small-cap (IJR/SPY) | -0.31 | -1.97 | -8.34 | +3.88 | -1.16 |
| High dividend (VYM/SPY) | -0.71 | -1.91 | -1.22 | -0.73 | -1.45 |
| Low-vol (USMV/SPY) | -0.34 | -0.88 | +0.00 | -7.21 | -0.47 |
| Growth (IWF/SPY) | +0.71 | +1.14 | -2.74 | -7.54 | +1.37 |
S&P 500 itself: 1D -0.12% · WTD -0.34% · QTD +2.00% · YTD +11.70%.
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) | -0.12% | -0.34% | +2.00% | +11.70% | +0.00 | +0.00 | +0.00 |
| Mega-cap growth (MAGS) | -0.45% | +0.82% | +9.58% | +6.82% | +1.16 | +7.58 | -4.88 |
| Momentum (MTUM) | +1.14% | +0.84% | -9.69% | +23.69% | +1.18 | -11.69 | +11.99 |
| Intl developed (VEA) | -1.07% | -1.80% | +0.18% | +14.26% | -1.46 | -1.82 | +2.56 |
| Emerging (VWO) | +0.17% | -0.56% | +0.54% | +11.63% | -0.22 | -1.46 | -0.07 |
| Commodities (PDBC) | -0.25% | -0.66% | +23.80% | +48.38% | -0.32 | +21.80 | +36.68 |
| Gold (GLD) | +0.71% | +0.60% | +8.90% | +1.23% | +0.94 | +6.90 | -10.47 |
| Bitcoin (IBIT) | +6.28% | +5.14% | +38.24% | -7.31% | +5.48 | +36.24 | -19.01 |
| Managed futures (DBMF) | +0.66% | +0.75% | +5.29% | +14.86% | +1.09 | +3.29 | +3.16 |
| Long bonds (TLT) | -0.65% | +0.47% | -5.98% | -6.78% | +0.81 | -7.98 | -18.48 |
| Cash (USFR) | +0.02% | +0.06% | +0.28% | +0.34% | +0.40 | -1.72 | -11.36 |
Styles. Year-to-date momentum leads (+12.0pp vs the S&P) and growth lags (-7.5pp); quarter-to-date value leads (+1.8pp) and momentum lags (-11.7pp); this week momentum (+1.2pp) over small-cap (-2.0pp). The leader changes with the horizon — rotation inside the market rather than one persistent bet.
Value vs growth. Value is 15.5pp 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 -7.2pp YTD — a market paying for beta, not safety (risk-ON), which matches the positioning cycle's 'neutral, not fearful' read. Small caps +3.9pp YTD — breadth is real, the rally is not just the top ten.
Momentum. +12.0pp YTD but -11.7pp 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 +1.2% (-10.5pp vs SPY); commodities +48.4% (+36.7pp vs SPY); EM +11.6% (-0.1pp vs SPY); intl developed +14.3% (+2.6pp vs SPY); mega-cap growth +6.8% (-4.9pp vs SPY); managed futures +14.9% (+3.2pp vs SPY); long bonds -6.8% (-18.5pp vs SPY); bitcoin -7.3% (-19.0pp 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; 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 +1.17pp · Cyclicals vs defensives -1.01pp · Small vs large -1.32pp. Read: Momentum is the leading style (+1.18pp vs the S&P); growth ahead of value by 2.44pp; 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 3.52% + 7-yr avg nominal GDP growth 6.11%) ÷ 2 | 4.82% vs actual 5.01% | average of the two; R² 0.93 since 1986 | the 10-year is +19bp above the model — rich to the model, not stretched (Bund as of 2026-09-18; GDP y/y last 6.6%, 2026-04) |
| 2-year vs fed funds | 2Y 4.76% − FF 3.88% = +88bp | 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 · +5.1% 3-mo · +10.7% 12-mo · 16th pct since 2018 | moves with the 10-year; ratio up = yields up | copper leading gold — supports higher yields |
| Shiller CAPE | 40.9 (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, 2026-09-20) |
| Import / export prices, y/y (his "purest" inflation) | imports +6.8% · exports +8.8% (2026-08) | 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 | +0.00 | +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 | +0.42 | +0.45 | hard data firm (payrolls, ISM services); the soft data flinched — Michigan 47.8 |
| Inflation | +0.14 | +0.13 | 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 | -1.5% | -0.8% | H.4.1: TGA drained $85bn — better, still ebbing; state stays risk-off (flips above +1%) |
| Monetary | -0.79 | -0.94 | −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 | -0.28 | -0.30 | −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 | +0.19pp | 10-yr 5.01% vs fair value 4.82%; TLT at 0% of its regime weight (scales in from +0.25pp) |
| Commodity gate | OFF | OFF | liquidity z -0.05, monetary z -0.46 vs −1 |
| Tape | Mon 9/14 | Tue 9/15 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Wed 9/16 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Thu 9/17 | Fri 9/18 | Fri 9/18 | Fri 9/18 | Fri 9/18 | Fri 9/18 | Fri 9/18 | Read |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-year (close) | 4.97% | 5.00% | 5.01% | 5.00% | 5.00% | 5.00% | 5.00% | 5.01% | 5.01% | 5.01% | 5.01% | 5.01% | 5.01% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% | 4.94% | 5.01% | 5.01% | 5.01% | 5.01% | 5.01% | 4.94% | 4.94% | 4.94% | 5.01% | 4.94% | 4.94% | 4.94% | 5.01% | 5.01% | repricing the policy path; 30-yr at its 2007 high |
| 2-year (close) | 4.65% | 4.67% | 4.74% | 4.67% | 4.67% | 4.67% | 4.67% | 4.74% | 4.74% | 4.74% | 4.74% | 4.74% | 4.74% | 4.67% | 4.67% | 4.67% | 4.67% | 4.67% | 4.67% | 4.67% | 4.67% | 4.67% | 4.74% | 4.74% | 4.74% | 4.74% | 4.74% | 4.67% | 4.67% | 4.67% | 4.76% | 4.67% | 4.67% | 4.67% | 4.76% | 4.76% | leads the Fed |
| USD/JPY | 154.9 | 155.3 | 156.2 | 155.2 | 155.8 | 155.7 | 155.7 | 156.2 | 156.2 | 156.2 | 156.2 | 156.2 | 156.2 | 155.2 | 155.2 | 155.2 | 155.1 | 155.1 | 155.1 | 155.5 | 155.8 | 157.1 | 155.8 | 155.8 | 155.8 | 155.8 | 155.9 | 155.9 | 155.9 | 157.1 | 156.8 | 157.0 | 156.9 | 156.8 | 156.8 | 156.8 | quiet — carry-unwind flag by history only |
| SOFR − IORB (spot) | -3bp | -3bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -1bp | -3bp | -3bp | -3bp | -3bp | -3bp | -3bp | -3bp | -3bp | -3bp | -5bp | -5bp | -5bp | -5bp | -5bp | -5bp | funding leg clear (21-day avg vs +5bp) |
| ON RRP | $5.3bn | $0.7bn | $5.4bn | $0.7bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $0.7bn | $0.7bn | $0.7bn | $0.7bn | $0.7bn | $0.7bn | $5.4bn | $5.4bn | $0.3bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $5.4bn | $0.3bn | $0.3bn | $0.3bn | $0.6bn | $0.3bn | $0.3bn | $0.3bn | $0.6bn | $0.6bn | drained |
| Fast-cut | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | HOLD | 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`.
• The copper signal reads a mining equity, and this week showed what that costs (Wed): prompted by an outside call that copper was topping on a record commercial net short, we pulled the whole CFTC series (1,848 weekly reports to 1989) and tested it. The record is real in contracts but only the 9th percentile as a share of open interest, and it does not predict — rank correlation with forward copper and S&P returns is ≈0 at 3, 6 and 12 months. What the test surfaced was about our signal: the engine reads copper through COPX, a levered equity claim on the metal, and the twelve-month miners-minus-metal spread had reached +49.5pp in July, the 92nd percentile. Historically that gap closes from the miners' side — and it did, within three weeks: COPX −9.3% in the first half of September against −3.5% for the copper ETF (CPER) — 2.7 times the metal's fall — taking copper's standardised reading from +1.29 to +0.33 and removing 0.098 from a growth composite that fell 0.203. Copper was 48% of the net fall; the larger mover was the regional-Fed survey composite (−0.138), which is real economic news. Three haircut candidates were pre-registered and all three failed — the remedy absorbs 0.044 of the fall but leaves quadrant, growth state, conviction and targets identical, and on the backtest it changes the monthly return in two months out of 236. Learned twice over: the growth read is noisier than it looks when the miners detach from the metal, we now know exactly how much, and the fix is not worth a gauge parameter. Also learned the hard way: the metal's free series lags two months, and a spread figure published from it described July while reading as though it described today — corrected the same evening across four documents. Changelog §2026-09-16; spec `data/copper_haircut_spec.md`; signal watch 2026-09-16.
Inflation cross-check · COVID-robustour standard read (+0.13) 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 |
|---|---|---|---|---|---|
| Housing | Growth | -0.25 | ▲ +0.84 | headwind | homebuilding picking up |
Net: Growth +0.03 → +0.45 · Inflation -0.01 → +0.13 · nothing flipped a cycle.
The week ahead
The week ahead: the national data arrives to settle the argument between the regional surveys. September's flash purchasing managers' indices, the national manufacturing reading and the personal consumption expenditure price index are the prints that matter after a week in which Empire State and the Philadelphia Fed pointed in opposite directions. The gauge will take the national figure over either survey.
Three things to watch.
- The first post-hike prints. The core PCE index is the Federal Reserve's preferred measure, and the market's pricing of an October increase, which Goldman Sachs now expects, rests on it. A firm reading takes the two-year yield higher and the monetary cycle tighter still.
- The Bank of Japan's rate takes effect on 24 September, and the yen is the instrument to watch rather than the rate. Continued weakness after the move would signal that the carry trade is re-establishing rather than unwinding.
- The October WTI contract expires this week. Both of our price sources have already rolled to November. Until the pipeline handles the roll itself, the oil input is checked against the named contract before it is used, and held rather than replaced when the two disagree.
Nothing in the model changes this week. The reading stays Goldilocks, the fast-cut is clear on all three legs, and the only allocation move is the four-point reduction in emerging markets produced by the relative-momentum tilt. The research thread's open question, whether the 1996 sample's early years rest on index proxies that carry no fund expense, is being checked before any figure is described as all-in.
Scheduled releases that could move the gauge — consensus where available.
| Date | Release | Feeds | Consensus | Prior |
|---|---|---|---|---|
| Tue 9/22 | Flash PMIs (Sep, manufacturing and services) | Growth | — | — |
| Wed 9/23 | New home sales (Aug) | Growth | — | — |
| Thu 9/24 | BoJ policy rate takes effect (1.25%) | Monetary | — | 1.00% until 24 Sep |
| Thu 9/24 | Durable goods orders (Aug) | Growth | — | — |
| Fri 9/25 | Q2 GDP (third estimate) | Growth | — | — |
| Fri 9/25 | Initial jobless claims | Growth | — | 196K (12 Sep week) |
| Sat 9/26 | Core PCE price index (Aug) | Inflation | the Fed's preferred measure; an October hike is priced off it | — |
| Sat 9/26 | UMich sentiment (final Sep) | Growth | — | 47.8 (Sep prelim) |
Real-world check
Real-world check: where the desks agree with the reading, and the one place they do not. BlackRock's Global Weekly (14 September) stays pro-risk and keeps its overweights in US equities and the AI capital-spending theme, arguing that when higher yields reflect stronger investment, the resulting earnings can offset a higher cost of capital. That is the same growth-is-real judgment the gauge makes, and it is the model's stated blind spot read back from the other side. The disagreement is emerging markets: BlackRock upgraded EM equities to overweight in the same commentary, and the model cut its EM sleeve by four points this week. The cut is mechanical, the output of a relative-momentum tilt measured against the S&P 500, not a view on the asset class. If EM is where the desks are moving, the tilt will pick it up with a lag rather than lead it; that is what a rules-based sleeve does, and it is the cost of not overriding the rule. On the Fed, the Street moved further than the model did. Goldman Sachs told clients on 15 September that it expected the hike but not a successor; within a day of Wednesday's decision it moved to a second 25bp increase in October, citing the committee's push for a timelier return to target. The SEP supports that reading: sixteen of eighteen officials see at least one more increase this year. The gauge does not forecast the path; it reads the price of it. The monetary cycle tightened to −0.94 on a two-year yield at 4.76%, which is the market's own version of the Goldman revision. The hike passed through the funding market almost perfectly, which is what keeps the stop unarmed. Interest on reserves re-based to 3.90% and SOFR printed 3.85%: 23 of 25 basis points transmitted, no reserve scarcity. Fed net liquidity improved to −0.8% on thirteen-week momentum and the global tide to −1.7%. Both agree, so global liquidity enters the conviction score this week; both are still draining. The single reading that would change the assessment is a SOFR fix that holds above the rate on reserves, and nothing in this week's prints points to it. The counterarguments worth holding. First, the regional surveys: Empire at 7.6 and Philadelphia at 37.8 cannot both describe September, and the composite currently sides with the stronger of the two. Second, the yen: a currency that weakens on a Bank of Japan rate rise is the configuration that preceded the 2024 carry unwind, and neither the gauge nor the fast-cut watches the carry trade directly. Third, the narrowness of Thursday's rally — megacaps up 1.81% and momentum up 2.10% against an equal-weighted index that lagged badly — is the concentration the model holds twice, through the growth cycle and through the mega-cap sleeve. Fourth, oil: the October contract fell back to $99.53 while the source series rolled early to November, and the inflation composite is holding Thursday's settle rather than a rolled figure. Goldman Sachs, on the desk's own channel, published twice into the weekend: "The Opportunities for Investors amid Higher-for-Longer Interest Rates" (18 September) and "Can Stocks Rally With a Hawkish Fed?" (19 September). Neither clip carries captions, so neither is summarised here beyond its title and date; the substance cited above is the firm's published revision to its rate path. The titles are themselves the week's question, and the gauge answers it mechanically rather than directionally: equities can rally against a tightening central bank for as long as credit stays calm and the trend holds, which is precisely what the fast-cut measures. Both legs are clear this week, and credit is the closer of the two. Mark Meldrum's weekly review (19 September) supplies the sharpest challenge to the decision itself, on two grounds. The first is internal: the Summary of Economic Projections holds unemployment at 4.1%, shows real growth easing rather than rising, has inflation drifting back to target, and still implies roughly 90 basis points of easing later — a set of paths he argues cannot describe the same economy, and which sits oddly beside a decision to tighten now. The second is what the press conference omitted. Asked why the long end keeps rising, Chairman Warsh offered economic strength, competition for capital and geopolitics, and did not mention the fiscal position: interest expense of about $1.4 trillion this year, above 4% of GDP and close to a quarter of federal receipts, rising further after this week's increase. Two of the three explanations also point the wrong way — first-half growth ran at 1.8%, below the committee's own long-run range, and a riskier world usually bids for Treasuries rather than away from them. The model does not price the fiscal path, and no cycle in the gauge would capture a term-premium repricing driven by supply; that gap is stated here rather than solved. His market read corroborates the tape: the thirty-year set a cycle high at 5.37% on 10 September and the twenty-year at 5.40% on 15 September, while the long-duration equity proxies fell with bonds (utilities −3.0%, real estate −2.7%) and the dollar rose on the rate differential.
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 | 45% | 45% | 41% |
| SPY (S&P 500) | 15.1% | 15.1% | 13.6% |
| MTUM (momentum, on while conviction > 0) | 15.1% | 15.1% | 13.6% |
| MAGS (mega-cap growth) | 15.1% | 15.1% | 13.6% |
| Int'l developed (VEA) | 13% | 13% | 12% |
| Emerging mkts (VWO) | 9% | 9% | 8% |
| Diversified commodities (PDBC) | 14% | 14% | 13% |
| Gold (GLD) | 16% | 16% | 15% |
| 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 +1.4 → ×1.70 · EM z +0.4 → ×1.22 · Commodities z +1.7 → ×1.86 · Gold z -0.1 → ×0.94 · BTC z -0.7 → ×0.65 · Mgd fut z +0.9 → ×1.44 · Long bonds z -0.3 → ×0.85.
Duration gate (Gundlach, allocator 1.18): 10-yr 5.01% vs fair value 4.82% ((Bund + 7-yr nominal GDP growth) ÷ 2; Bund 3.52 (2026-09-18), GDP to 2026-04) → gap +0.19pp → 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 -0.05, monetary z -0.46 → 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 | 20.00 | $761.69 | $15,235 | 15.1% |
| US equity | MTUM | 49.21 | $309.62 | $15,235 | 15.1% |
| US equity | MAGS | 216.22 | $70.46 | $15,235 | 15.1% |
| Int'l developed | VEA | 180.97 | $71.38 | $12,917 | 12.8% |
| Emerging mkts | VWO | 154.64 | $60.01 | $9,280 | 9.2% |
| Commodities | PDBC | 719.57 | $19.66 | $14,147 | 14.0% |
| Gold | GLD | 40.49 | $401.17 | $16,243 | 16.1% |
| Bitcoin | IBIT | 53.42 | $46.02 | $2,459 | 2.4% |
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 | 20.12 | $761.69 | $15,325 | 15.1% |
| US equity | MTUM | 49.49 | $309.62 | $15,325 | 15.1% |
| US equity | MAGS | 217.49 | $70.46 | $15,325 | 15.1% |
| Int'l developed | VEA | 182.03 | $71.38 | $12,994 | 12.8% |
| Emerging mkts | VWO | 155.55 | $60.01 | $9,335 | 9.2% |
| Commodities | PDBC | 723.81 | $19.66 | $14,230 | 14.0% |
| Gold | GLD | 40.73 | $401.17 | $16,338 | 16.1% |
| Bitcoin | IBIT | 53.74 | $46.02 | $2,473 | 2.4% |
| Pair overlay | QQQ | 21.07 | $721.45 | $15,203 | 15.0% |
| Pair overlay | IWM | -53.51 | $284.10 | $-15,203 | -15.0% |
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 | 17.99 | $761.69 | $13,701 | 13.6% |
| US equity | MTUM | 44.25 | $309.62 | $13,701 | 13.6% |
| US equity | MAGS | 194.44 | $70.46 | $13,701 | 13.6% |
| Int'l developed | VEA | 163.69 | $71.38 | $11,684 | 11.6% |
| Emerging mkts | VWO | 138.19 | $60.01 | $8,293 | 8.2% |
| Commodities | PDBC | 642.95 | $19.66 | $12,640 | 12.6% |
| Gold | GLD | 36.48 | $401.17 | $14,633 | 14.5% |
| Bitcoin | IBIT | 48.33 | $46.02 | $2,224 | 2.2% |
| Cash | USFR | 199.33 | $50.49 | $10,064 | 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 | $761.69 | $12,573 | 12.5% |
| US equity | MTUM | 41.17 | $309.62 | $12,746 | 12.7% |
| US equity | MAGS | 179.93 | $70.46 | $12,678 | 12.6% |
| Int'l developed | VEA | 102.15 | $71.38 | $7,291 | 7.3% |
| Emerging mkts | VWO | 120.56 | $60.01 | $7,235 | 7.2% |
| Commodities | PDBC | 382.14 | $19.66 | $7,513 | 7.5% |
| Gold | GLD | 33.42 | $401.17 | $13,406 | 13.4% |
| Bitcoin | IBIT | 59.33 | $46.02 | $2,730 | 2.7% |
| Managed futures | DBMF | 121.25 | $32.23 | $3,908 | 3.9% |
| Cash | USFR | 401.67 | $50.49 | $20,280 | 20.2% |
The books vs SPY
Inception 8/31/2026 · week 4 · $100,000 each · products reconstructed to the 8/31 close on the rules adopted 9/13 · marked to the 9/18/2026 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 | $100,360 | +0.36% | +0.11% | +1.06pp |
| Macro Tide Core | 8/31/2026 | $100,750 | +0.75% | -0.16% | +1.45pp |
| Macro Tide Spring | 8/31/2026 | $101,336 | +1.34% | +0.21% | +2.03pp |
| Macro Tide Harbor | 8/31/2026 | $100,641 | +0.64% | -0.13% | +1.34pp |
| SPY (benchmark) | 8/28/2026 | $99,004 | -1.00% | -0.34% | 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 0bp 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 | 10.8% | 0.65 | -51% | 6.6% | 0.46 | -51% | 15.1% | 0.83 | -24% |
| Static 4-sleeve basket (Part 2) | 10.2% | 0.87 | -23% | 6.3% | 0.61 | -23% | 14.2% | 1.13 | -13% |
| Inverse-vol, 4 sleeves (qtrly) | 9.3% | 0.86 | -21% | 5.2% | 0.55 | -21% | 13.5% | 1.18 | -11% |
| Legacy model, rules to 9/12 (net 0bp) | 10.3% | 1.18 | -7% | 6.3% | 0.89 | -7% | 14.5% | 1.45 | -7% |
| Macro Tide Core (net 0bp) | 13.7% | 1.34 | -8% | 9.4% | 1.04 | -8% | 18.1% | 1.64 | -8% |
| Macro Tide Spring, gross 130% (net 0bp) | 14.2% | 1.38 | -8% | 10.1% | 1.09 | -8% | 18.4% | 1.67 | -6% |
| Macro Tide Harbor, floor 10% (net 0bp) | 12.8% | 1.35 | -8% | 8.8% | 1.06 | -8% | 17.0% | 1.65 | -7% |
Backtest 2026-09-17: 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 glide never spends the cushion: when the model returns idle cash to the risk sleeves after a bottoming signal, it deploys only what sits above the floor, so the 2 years of spending are intact in every month of both test samples. 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%) | 711 | -9% | 217 | 171 | -9% |
| Macro Tide Core, no floor | 842 | -9% | 232 | 178 | -10% | |
| Macro Tide Spring, no floor | 930 | -9% | 251 | 199 | -10% | |
| Legacy model, dial floor | 386 | -10% | 180 | 128 | -11% | |
| SPY, buy and hold | 389 | -54% | 265 | 119 | -54% | |
| 5% | Macro Tide Harbor (floor 10%) | 620 | -9% | 199 | 154 | -10% |
| Macro Tide Core, no floor | 742 | -10% | 212 | 161 | -11% | |
| Macro Tide Spring, no floor | 825 | -9% | 231 | 181 | -10% | |
| Legacy model, dial floor | 312 | -12% | 160 | 114 | -14% | |
| SPY, buy and hold | 299 | -55% | 246 | 100 | -55% | |
| 6% | Macro Tide Harbor (floor 10%) | 529 | -10% | 179 | 138 | -12% |
| Macro Tide Core, no floor | 641 | -10% | 192 | 144 | -12% | |
| Macro Tide Spring, no floor | 719 | -10% | 210 | 163 | -11% | |
| Legacy model, dial floor | 239 | -15% | 139 | 100 | -16% | |
| SPY, buy and hold | 209 | -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 2026-09-17.
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.