Macro Tide · No. 7Proprietary

The concentration unwound, and the model bought momentum on the way down

The regime read — bottom line first

The week that was

What changed this week

• Allocation shifts (>3pt, a sleeve entering or leaving, or the US vehicle split): US equity vehicles SPY 70% / MAGS 30% → SPY 33% / MTUM 33% / MAGS 33% (the momentum leg is held only while conviction is positive; it crossed from -0.002 to +0.039).

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. Tilt figures are computed from this edition's z and this product's own tilt strength. The withdrawal dial (below the allocation table) sits on top of these and never changes them.

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.

Native readings (under the hood): Growth = 9/11 indicators above trend · Inflation = 5/8 up (broad underlying ~2.8%) · Liquidity = net $5.9T · Monetary = 2y 4.74%, real 2.74% · Positioning = VIX 20 · Dollar = +0.0% y/y (broad TWI).

How to read the scores. The z column counts standard deviations from that cycle's own ten-year average, so it says how UNUSUAL a reading is rather than what it is. Zero is normal, half a point is mildly above average, one point is unusual and two is rare. Leading indicators carry the most weight in the average. Growth, Inflation, Monetary and Positioning all lean on monthly data, so the tape flag beside Growth and Inflation is the fresher read: it comes from five days of market moves across asset classes and can run a month or two ahead of the slower score it either confirms or contradicts. Two rows work differently — Liquidity is thirteen-week momentum, not a z-score, and Credit is simply the 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), +0.0% 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 -1.3% as of 2026-10-14 — vs the trailing monthly composite's -1.3%. 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). We add up the big central banks' balance sheets in dollars — Fed $6.7T, ECB $6.7T, BoJ $3.9T, $17.4T in all — and track whether that total is growing or shrinking over thirteen weeks. It is running at -1.5% (as of 2026-10-09; the global figures lag about a week), against -1.3% for the Fed on its own, because the ECB and BoJ are shrinking too. This feeds conviction alongside the Fed read, and the two agree this week. On our data it leads the S&P's next-quarter return by about thirteen weeks (roughly 0.6 correlation), so a shrinking tide is a headwind ahead rather than today — which is Howell's “liquidity peaked around the end of 2025” call. Note this is the slow, leading read: the fast-cut's funding test watches US money-market plumbing directly instead (SOFR against IORB). China's central bank, which Howell ties to gold, would be a fourth leg; there is no clean free data series for it yet.

Cross-asset tape

The market's leading edge vs the monthly composite — 5-day moves as of 2026-10-16.

Nowcast — Inflation cooling ↓, Growth mixed →. The six-cycle inflation reading is recomputed weekly (now +0.16) 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 2026-10-16 (WTD from the 2026-10-09 close, QTD from 2026-09-30, YTD from 2025-12-31). z = this week's 5-day excess vs its own 1-year distribution. Shown, not wired into the sleeves.

S&P 500 itself: 1D -1.11% · WTD -1.97% · QTD +0.08% · YTD +11.93%.

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.

Styles. Year-to-date value leads (+9.7pp vs the S&P) and growth lags (-9.3pp); quarter-to-date low-vol leads (+3.8pp) and momentum lags (-7.7pp); this week high dividend (+2.9pp) over momentum (-6.4pp). The leader changes with the horizon — rotation inside the market rather than one persistent bet.

Value vs growth. Value is 18.9pp 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 -4.4pp YTD — a market paying for beta, not safety (risk-ON), which matches the positioning cycle's 'neutral, not fearful' read.

Momentum. +5.2pp YTD but -7.7pp 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 -3.6% (-15.5pp vs SPY); commodities +51.8% (+39.8pp vs SPY); EM +14.9% (+3.0pp vs SPY); intl developed +11.2% (-0.7pp vs SPY); mega-cap growth +8.1% (-3.9pp vs SPY); managed futures +16.6% (+4.6pp vs SPY); long bonds -8.2% (-20.1pp vs SPY); bitcoin -7.0% (-19.0pp vs SPY).

What it tells the model. Commodities are well ahead of the S&P while long bonds lag — the pattern an inflation tape makes. The real-asset sleeve is positioned for it. Long bonds are the exception: the tape says avoid them, while the fair-value rule has bought 1.1% of the book because the ten-year yields more than the rule says it should. Tape and valuation disagree here, and we are following valuation. Bitcoin is far behind gold. Both are meant to gain when money is being debased, but bitcoin also needs plentiful liquidity, and it is not confirming the move. The tilt keeps the position small.

5-day risk pairs: High-beta vs low-vol -12.88pp · Cyclicals vs defensives -5.37pp · Small vs large -1.08pp. Read: Low-vol is the leading style (+2.70pp vs the S&P); value ahead of growth by 1.39pp; factors lean risk-OFF; with a defensive bid (low-vol + quality bid up).

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.

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.

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.

• A conviction move of 0.038 moved fifteen points of the book (model). Conviction went −0.002 to +0.036. The momentum leg is held only while conviction is positive, so crossing zero took the US sleeve from SPY 70 / megacap 30 to a third each in SPY, momentum and megacap. This page flagged the same threshold on 12 October, when it fired the other way and took momentum out. It is a step at exactly the level the reading spends its time, and the question of whether that is the right shape is with research as a pre-registered candidate. Nothing has been changed.

• The narrowing reversed, and it reversed hard. A fortnight ago the S&P made a record on the thinnest participation since 1990. This week the index fell 1.97% while the average stock rose 0.49% and megacaps fell 3.38%. The concentration that drove the year unwound in five sessions, and it unwound downward rather than by the laggards catching up.

• Long bonds were the best asset in the hottest inflation week of the cycle, up 2.65%. The ten-year fell about 14 basis points through a 3.7% CPI and a 6.3% PPI. A bond market that rallies into inflation like that is not disputing the inflation; it is pricing what must be done about it.

• The whole move was in real yields. Ten-year breakevens rose two basis points to 2.35% while the real yield fell thirteen. The market revised down what it expects to be paid for lending, not what it expects prices to do.

• Credit widened sixteen basis points, and only at the weak end. High yield went 3.15% to 3.31%; the investment-grade Baa spread fell a basis point. The same split this letter has described for three weeks, sharper: the stress is in the weakest borrowers and nowhere else.

• The gauge's inflation level and its momentum now disagree, and both are right. The level crossed above its ten-year average for the first time this cycle, to +0.16. The momentum term that sets the quadrant is −0.32 and still well inside the −0.15 band that reads as cooling. The level is where inflation is; the momentum is a six-month change in a three-month average against a base that was itself hot.

• The October reading is not finished. Three of the four inflation inputs are September — core CPI, median CPI, sticky CPI. Core PCE does not publish until 29 October. Any conclusion about the month is provisional until then, and this page would rather say so than imply a completeness it does not have.

• A figure we published was revised under us, and the check caught it (model). This note first wrote the high-yield baseline as 3.11%, which is what the Federal Reserve's database holds for 9 October today. Edition 6 published 3.15% for that date, because 3.15% is what the series said at the time. The number was revised after we printed it. The note uses the published figure, because a letter that quietly adopts a revised past makes its own delta column wrong — and the automated check that compares our prose to our register is what stopped the two from diverging. Sixteen basis points, not twenty.

Inflation cross-check · COVID-robustour standard read (+0.16) measures inflation against a decade whose average was inflated by the 2021–23 spike. On a COVID-robust basis (median/MAD) it reads +0.49, 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).

Net: Growth +0.07 → +0.55 · Inflation +0.22 → +0.16 · nothing flipped a cycle.

The week ahead

Scheduled releases that could move the gauge — consensus where available.

Real-world check

Prediction markets this week

Monetary · Financial conditions · Dollar — where the crowd is pricing the macro.

Target allocation

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 +0.04 > 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 2026-10-31 close: Int'l z +1.1 → ×1.53 · EM z +0.7 → ×1.34 · Commodities z +1.9 → ×1.93 · Gold z -0.5 → ×0.77 · BTC z -0.7 → ×0.67 · Mgd fut z +0.7 → ×1.35 · Long bonds z -0.3 → ×0.84.

Duration gate (Gundlach, allocator 1.18): 10-yr 5.10% vs fair value 4.80% ((Bund + 7-yr nominal GDP growth) ÷ 2; Bund 3.46 (2026-10-19), GDP to 2026-04) → gap +0.30pp → TLT at 10% 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 -0.38 → 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 share-by-share ledger started at the 8/31/2026 closes. It trades only when a sleeve drifts more than 3 points off target, or once a month, and every trade is dated in the rebalance log. A hypothetical track record, not advice.

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 share-by-share ledger started at the 8/31/2026 closes. It trades only when a sleeve drifts more than 3 points off target, or once a month, and every trade is dated in the rebalance log. A hypothetical track record, not advice.

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 share-by-share ledger started at the 8/31/2026 closes. It trades only when a sleeve drifts more than 3 points off target, or once a month, and every trade is dated in the rebalance log. A hypothetical track record, not advice.

The books vs SPY

Inception 8/31/2026 · week 7 · $100,000 each · products reconstructed to the 8/31 close on the rules adopted 9/13 · marked to the 10/16/2026 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). 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. Max drawdown is the realised peak-to-trough of daily closes over the live window, not the 2007–26 backtested figure; those are in Four ways to hold the same risk. Sharpe and beta are withheld until 52 weekly marks (week 5 of 52): annualised from fewer, they would be a confident number about nothing. 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).

Correction, 21 October 2026. The Max DD column above was restated on 21 October. It previously read −2.42%, −2.30%, −2.18% and −1.97%, taken from the weekly marks — the days the model happened to be run, eight of them between 31 August and 16 October with gaps of one to eighteen days. Any trough between two marks was invisible to it, so the figures were drawdowns of the sampled path rather than of the realised one. Measured on daily closes they are −2.51%, −2.57%, −2.26% and −2.47%. The benchmark was the most affected, by 50 basis points: SPY's true trough, 16 September, is not a mark at all — the ledger steps from 11 to 18 September straight over it. This matters for the comparison, not just the number. As first published the table showed Core drawing down 45 basis points more than SPY; on daily closes the two are 4 basis points apart. The books are marked on the days the model runs and the benchmark's worst days are not those days, so the benchmark was systematically flattered. No return, value or allocation figure in this note changes. perf.py 1.13.0; method and acceptance bars in data/drawdown_sampling_spec.md.

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.

Backtest 2026-10-11: 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. 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).

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 2026-10-11.

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.

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