{ "schema_version": "0.7-stock-saturation", "model_version": "0.7-stock-saturation", "generated_at": "2026-05-26T15:29:28.275006+00:00", "data_as_of": "2026-04-30", "data_quality": { "generated_at": "2026-05-26T15:29:28.275006+00:00", "data_as_of": "2026-04-30", "vintage_type": "current_vintage", "stale_series_count": 0, "forward_filled_count": 40, "missing_required_series_count": 0, "series_count": 40 }, "series_metadata": [ { "series_id": "WALCL", "label": "Fed total assets", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL", "frequency": "weekly", "unit": "millions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "WTREGEN", "label": "Treasury General Account", "block": "official_liquidity", "source_url": 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"last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "GDP", "label": "Nominal GDP", "block": "macro_denominator", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=GDP", "frequency": "quarterly", "unit": "billions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "M2SL", "label": "M2 money stock", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=M2SL", "frequency": "monthly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TLAACBW027SBOG", "label": "Bank assets", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TLAACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "DPSACBW027SBOG", "label": "Bank deposits", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DPSACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CASACBW027SBOG", "label": "Bank cash assets", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CASACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TOTBKCR", "label": "Bank credit", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTBKCR", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BUSLOANS", "label": "C&I loans", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BUSLOANS", "frequency": "daily_or_weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TOTALSL", "label": "Consumer credit", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTALSL", "frequency": "daily_or_weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TCMDO", "label": "All-sector debt securities and loans", "block": "broad_credit", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TCMDO", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BOGZ1FL144104005Q", "label": "Nonfinancial business debt securities and loans", "block": "broad_credit", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL144104005Q", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BOGZ1FL663067003Q", "label": "Broker-dealer customer receivables", "block": "broker_customer_leverage", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL663067003Q", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Z.1 broker-dealer customer receivables; used as the long-history bridge for broker-customer financing saturation." }, { "series_id": "DRTSCILM", "label": "SLOOS C&I tightening standards", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DRTSCILM", "frequency": "quarterly", "unit": "percent", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCI", "label": "National Financial Conditions Index", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCI", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "ANFCI", "label": "Adjusted National Financial Conditions Index", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=ANFCI", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCIRISK", "label": "NFCI risk subindex", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCIRISK", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCICREDIT", "label": "NFCI credit subindex", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCICREDIT", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCILEVERAGE", "label": "NFCI leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCILEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCINONFINLEVERAGE", "label": "NFCI nonfinancial leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCINONFINLEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAA10Y", "label": "Moody's Baa minus 10-year Treasury", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAA10Y", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAMLH0A0HYM2", "label": "ICE BofA high-yield OAS", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAMLH0A0HYM2", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "VIXCLS", "label": "VIX", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=VIXCLS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "FEDFUNDS", "label": "Effective federal funds rate", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=FEDFUNDS", "frequency": "monthly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CPIAUCSL", "label": "CPI all urban consumers", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CPIAUCSL", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "T10Y3M", "label": "10-year minus 3-month Treasury spread", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=T10Y3M", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "MORTGAGE30US", "label": "30-year fixed mortgage rate", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=MORTGAGE30US", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "DTWEXBGS", "label": "Nominal broad dollar index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DTWEXBGS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CSUSHPINSA", "label": "S&P CoreLogic Case-Shiller U.S. home price index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CSUSHPINSA", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-02-28", "stale_days": 61, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NASDAQCOM", "label": "Nasdaq Composite", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NASDAQCOM", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "SP500", "label": "S&P 500", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=SP500", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "DJIA", "label": "Dow Jones Industrial Average", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DJIA", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history starts in 2016; merged with long historical close series for validation." }, { "series_id": "USREC", "label": "NBER recession indicator", "block": "validation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=USREC", "frequency": "daily_or_weekly", "unit": "binary", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CAPE", "label": "Multpl monthly Shiller PE table", "block": "valuation", "source_url": "https://www.multpl.com/shiller-pe/table/by-month", "frequency": "monthly", "unit": "ratio", "aggregation": "last", "transform": "monthly table value assigned to month end; not forward-filled past latest completed month", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Benchmark CAPE input uses the current monthly Shiller PE/CAPE table; partial current-month rows are excluded from the model cut." }, { "series_id": "SYNTHETIC_ERP", "label": "Synthetic Damodaran-style ERP backcast", "block": "valuation", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "month_end", "transform": "primary valuation pressure uses -rolling_z(synthetic ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "model_derived", "notes": "Synthetic ERP is model-derived from annual Damodaran ERP anchors, monthly S&P 500 price, and monthly 10-year Treasury rates." }, { "series_id": "SP500_LONG", "label": "S&P 500 merged long/current monthly price series", "block": "asset_response", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md plus https://fred.stlouisfed.org/series/SP500", "frequency": "monthly", "unit": "index", "aggregation": "month-end price", "transform": "long Shiller-style monthly S&P price from the synthetic ERP backcast, overlaid with current FRED SP500 observations where available", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Used as the S&P response target to avoid the shortened public FRED SP500 history." }, { "series_id": "DAMODARAN_ERP", "label": "Damodaran monthly implied ERP workbook", "block": "valuation", "source_url": "https://pages.stern.nyu.edu/~adamodar/pc/implprem/ERPbymonth.xlsx", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "start-of-month workbook row aligned to prior month-end", "transform": "valuation pressure uses -rolling_z(ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Current monthly workbook includes S&P 500, risk-free rate, trailing cash flow, expected growth, expected return, and implied ERP." }, { "series_id": "DOW", "label": "Dow Jones Industrial Average merged long/current series", "block": "asset_response", "source_url": "https://raw.githubusercontent.com/fja05680/dow-sp500-100-years/master/DJA.csv plus https://fred.stlouisfed.org/series/DJIA", "frequency": "monthly", "unit": "index", "aggregation": "month-end close", "transform": "long historical close series through 2019, overlaid with current FRED DJIA monthly closes from the 2016 overlap onward", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Added as a third equity response target; it does not affect the primary four-factor signal." } ], "evidence_balance": { "headline": "Mixed liquidity evidence", "interpretation": "Evidence stack, not a single trading score.", "layers": [ { "id": "liquidity_supply", "label": "Liquidity supply", "state": "mixed", "value": -0.09, "signal": "mixed", "evidence_for": [ "Policy quality 0.41", "Net public liquidity 3m flow -0.07 pp of GDP" ], "evidence_against": [ "Gross Fed expansion is sterilized by TGA/RRP offsets" ], "stale_count": 0 }, { "id": "private_credit", "label": "Private credit impulse", "state": "mixed", "value": -0.18, "signal": "mixed", "evidence_for": [ "Bank credit impulse -0.41 pp of GDP", "C&I loan impulse 0.04 pp of GDP" ], "evidence_against": [ "SLOOS tightening contribution remains in credit-transmission gate" ], "stale_count": 0 }, { "id": "vulnerability", "label": "Vulnerability stock", "state": "medium", "value": 0.07, "signal": "mixed", "evidence_for": [ "Credit stock vulnerability 0.07", "Bank funding stress 0.22" ], "evidence_against": [ "Shock-amplification interaction score 1.0 / 100" ], "stale_count": 0 }, { "id": "market_confirmation", "label": "Market confirmation", "state": "mixed", "value": 0.4, "signal": "supportive", "evidence_for": [ "Transmission breadth 60.0%", "Credit stress -0.45" ], "evidence_against": [ "Market calm can be confirmation or complacency depending on leverage stock" ], "stale_count": 0 }, { "id": "global_dollar", "label": "Global dollar overlay", "state": "not_available_v0.3a", "value": null, "signal": "missing", "evidence_for": [], "evidence_against": [ "BIS GLI/LBS and swaps adapters are planned for a later data-expansion pass" ], "stale_count": 0 } ], "conflicts": [ { "id": "supply_vs_credit", "active": false, "label": "Official/bank supply and private credit impulse disagree" }, { "id": "complacency", "active": false, "label": "Market calm with elevated vulnerability" }, { "id": "stale_data", "active": false, "label": "0 stale source series" } ], "supportive_count": 1, "adverse_count": 0, "missing_count": 1 }, "latest": { "date": "2026-04-30", "summary_label": "Rolling supply drain", "stable_regime": "Rolling supply drain", "raw_regime": "Sterilized policy drag", "evidence_stack": { "impulse": "neutral", "official_supply": "tightening", "bank_supply": "tightening", "private_credit": "mixed", "transmission": "mixed", "vulnerability": "medium", "market_state": "mixed", "global_dollar": "not_available_v0.3a" }, "impulse": { "headline_impulse_z": -0.14, "pure_liquidity_credit_impulse_z": -0.14, "pure_acceleration_3m": 0.02, "liquidity_supply_impulse_z": -0.09, "private_credit_impulse_z": -0.18, "growth_conditions_impulse_z": -0.16 }, "supply": { "official_liquidity": -0.6, "bank_capacity": -0.53, "liquidity_supply_level": -0.53, "policy_quality": 0.41 }, "credit": { "private_credit_impulse_z": -0.18, "bank_credit_impulse_3m_gdp": -0.41, "ci_loan_impulse_3m_gdp": 0.04, "consumer_credit_impulse_3m_gdp": -22.61, "business_credit_impulse_3m_gdp": 0.0 }, "vulnerability": { "vulnerability_stock_z": 0.07, "credit_stock_vulnerability_z": 0.07, "bank_funding_stress_z": 0.22, "policy_restrictiveness_z": 0.07, "market_fragility_z": -0.18 }, "market_confirmation": { "market_confirmation_z": 0.4, "credit_stress_z": -0.45, "transmission_quality": 0.6 }, "shock_amplification": { "additive_score": 4.0, "interaction_score": 1.0 }, "regime_instability": { "score": 3.0, "raw": 0.05, "z": -0.67, "tier": "low / no signal", "negative_pure_impulse": 0.14, "stock_excess": 0.07, "excess_saturation_proxy_z": 0.05, "market_funding_stress": 0.0, "funding_only_stress": 0.22, "prior_easing_pressure_z": -0.62, "latent_instability": false, "active_instability": false }, "three_factor_regime": { "date": "2026-04-30", "regime": "Elevated", "equal_score": 0.43, "equal_score_threshold": 0.41, "high_score": true, "flag_count": 1.0, "valuation_label": "Synthetic ERP", "valuation_z": 1.32, "valuation_flag": true, "synthetic_erp_pct": 3.99, "synthetic_erp_tightness_z": 1.32, "cape_z": 1.79, "cape_benchmark_flag": false, "baa_tightness_z": 0.85, "broad_stock_saturation_z": -0.89, "relative_excess_saturation_z": -0.89, "cape_flag": false, "baa_tightness_flag": false, "broad_stock_saturation_flag": false, "relative_excess_saturation_flag": false }, "four_factor_tail_model": { "date": "2026-04-30", "regime": "Elevated", "tail_band": "Elevated", "four_bucket_regime": "High risk", "equal_score": 0.64, "score_percentile": 83.1, "breadth_percentile": 92.1, "primary_percentile": 85.4, "primary_decile": 9, "primary_bucket": "D9", "primary_score_weight": 0.75, "primary_breadth_weight": 0.25, "equal_score_threshold": 0.37, "equal_score_p85_threshold": 0.66, "equal_score_p90_threshold": 0.79, "high_score": true, "p85_score": false, "p90_score": false, "flag_count": 2.0, "factor_count": 4, "factors": [ { "key": "valuation", "label": "Synthetic ERP", "score": 1.32, "threshold": 1.16, "flag": true }, { "key": "baa_tightness", "label": "Baa tightness", "score": 0.85, "threshold": 1.14, "flag": false }, { "key": "broad_stock_saturation", "label": "Broad stock saturation", "score": -0.89, "threshold": 0.58, "flag": false }, { "key": "broker_customer_leverage", "label": "Broker-customer leverage", "score": 1.28, "threshold": 0.68, "flag": true } ], "valuation_z": 1.32, "valuation_flag": true, "synthetic_erp_pct": 3.99, "baa_tightness_z": 0.85, "baa_tightness_flag": false, "broad_stock_saturation_z": -0.89, "broad_stock_saturation_flag": false, "relative_excess_saturation_z": -0.89, "relative_excess_saturation_flag": false, "prior_nonbroker_easing_pressure_z": -0.63, "broker_customer_leverage_z": 1.28, "broker_customer_leverage_flag": true, "broker_customer_bridge_ratio": 1.0458, "broker_customer_finra_growth_z": 1.76, "broker_customer_receivables_growth_z": 0.84, "broker_customer_receivables_to_gdp_z": 1.25 }, "valuation_alternatives": { "date": "2026-04-30", "synthetic_erp_pct": 3.99, "synthetic_erp_z": -1.32, "synthetic_erp_tightness_z": 1.32, "synthetic_erp_threshold": 1.16, "synthetic_erp_flag": true, "synthetic_expected_return_pct": 8.39, "synthetic_riskfree_pct": 4.4, "cape": 38.93, "cape_z": 1.79, "cape_threshold": 1.94, "cape_flag": false, "damodaran_erp_pct": 4.36, "damodaran_erp_z": -0.96, "damodaran_erp_tightness_z": 0.96, "damodaran_erp_tightness_threshold": 1.39, "damodaran_erp_tightness_flag": false, "damodaran_sp500": 7209.0, "damodaran_tbond_rate_pct": 4.4, "damodaran_expected_growth_pct": 12.24, "damodaran_expected_return_pct": 8.76, "damodaran_trailing_cash_flow": 198.99 }, "liquidity_index": -0.53, "liquidity_supply_index": -0.53, "liquidity_supply_impulse_z": -0.09, "liquidity_impulse_z": -0.14, "pure_liquidity_credit_impulse_z": -0.14, "pure_acceleration_3m": 0.02, "liquidity_supply_level_change_6m": -0.15, "liquidity_growth_confirmations_6m": 2.0, "liquidity_growth_available_6m": 4.0, "liquidity_impulse_score": 49.0, "adjusted_impulse": -0.05, "vulnerability_index": 0.07, "vulnerability_score": 51.0, "additive_shock_score": 4.0, "shock_amplification_score": 1.0, "confidence_score": 73.0, "policy_quality": 0.41, "transmission_quality": 0.6, "transmission_confirmations": 3.0, "transmission_available": 5.0, "trend_slope_12m": -0.043, "trend_r2_12m": 0.9, "npl_3m_gdp_flow": -0.07, "fed_assets_3m_gdp_flow": 0.07 }, "flags": { "gross_fed_expansion": true, "net_liquidity_expansion": false, "sterilized_policy": true, "trend_inflection": false, "complacency": false }, "latest_explanation": [ "Liquidity impulse is near neutral.", "Vulnerability is roughly mid-cycle.", "Policy-liquidity quality is weak, usually because gross Fed balance-sheet signals are not confirmed by net liquidity or private transmission.", "Transmission breadth is 60.0% of available confirmations." ], "components": [ { "name": "Official liquidity", "layer": "supply", "polarity": "supportive_when_positive", "value": -0.6 }, { "name": "Bank capacity", "layer": "supply", "polarity": "supportive_when_positive", "value": -0.53 }, { "name": "Liquidity supply impulse", "layer": "supply", "polarity": "supportive_when_positive", "value": -0.09 }, { "name": "Private credit impulse", "layer": "credit", "polarity": "supportive_when_positive", "value": -0.18 }, { "name": "Credit transmission", "layer": "credit", "polarity": "supportive_when_positive", "value": -0.03 }, { "name": "Growth conditions impulse", "layer": "credit", "polarity": "supportive_when_positive", "value": -0.16 }, { "name": "Market confirmation", "layer": "market", "polarity": "supportive_when_positive", "value": 0.4 }, { "name": "Credit stress", "layer": "market", "polarity": "riskier_when_positive", "value": -0.45 }, { "name": "Credit 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0.2103, "tga_to_gdp": 0.0308, "rrp_to_gdp": 0.0003, "reserves_to_gdp": 0.0916, "bank_credit_to_gdp": 0.6109, "BOGZ1FL663067003Q_b": 609.675, "finra_margin_debit": 1304.281, "usrec": 0.0, "complacency_flag": 0.0, "stable_regime": "Rolling supply drain", "raw_regime": "Sterilized policy drag", "regime_instability_tier": "low / no signal", "three_factor_regime": "Elevated", "four_factor_regime": "High risk", "four_factor_tail_band": "Elevated", "three_factor_valuation_flag": true, "cape_benchmark_flag": false, "three_factor_baa_tightness_flag": false, "three_factor_broad_stock_saturation_flag": false, "three_factor_relative_excess_saturation_flag": false, "three_factor_high_score_flag": true, "four_factor_valuation_flag": true, "four_factor_baa_tightness_flag": false, "four_factor_broad_stock_saturation_flag": false, "four_factor_relative_excess_saturation_flag": false, "four_factor_broker_customer_leverage_flag": true, "four_factor_high_score_flag": true, "four_factor_p85_score_flag": false, "four_factor_p90_score_flag": false, "damodaran_erp_tightness_flag": false, "trend_inflection_flag": false } ], "backtest": { "regime_stats": [ { "regime": "Cross-current mixed", "months": 176, "avg_3m_nasdaq_return": 4.06, "avg_6m_nasdaq_return": 9.14, "avg_3m_baa_spread_change": -0.0, "six_month_loss_le_10pct_freq": 3.6 }, { "regime": "Latent vulnerability", "months": 150, "avg_3m_nasdaq_return": 2.85, "avg_6m_nasdaq_return": 0.87, "avg_3m_baa_spread_change": -0.06, "six_month_loss_le_10pct_freq": 46.2 }, { "regime": "Unconfirmed supply easing", "months": 93, "avg_3m_nasdaq_return": 4.16, "avg_6m_nasdaq_return": 8.67, "avg_3m_baa_spread_change": -0.02, "six_month_loss_le_10pct_freq": 9.7 }, { "regime": "Rolling supply drain", "months": 78, "avg_3m_nasdaq_return": 4.19, "avg_6m_nasdaq_return": 10.37, "avg_3m_baa_spread_change": -0.04, "six_month_loss_le_10pct_freq": 1.3 }, { "regime": "Supply tight / market cushion", "months": 76, "avg_3m_nasdaq_return": 2.47, "avg_6m_nasdaq_return": 5.71, "avg_3m_baa_spread_change": 0.03, "six_month_loss_le_10pct_freq": 5.5 }, { "regime": "Complacent expansion", "months": 73, "avg_3m_nasdaq_return": 1.38, "avg_6m_nasdaq_return": 2.73, "avg_3m_baa_spread_change": 0.02, "six_month_loss_le_10pct_freq": 17.8 }, { "regime": "Liquidity squeeze", "months": 53, "avg_3m_nasdaq_return": -5.7, "avg_6m_nasdaq_return": -9.96, "avg_3m_baa_spread_change": -0.04, "six_month_loss_le_10pct_freq": 57.6 }, { "regime": "Risk appetite leads liquidity", "months": 46, "avg_3m_nasdaq_return": 3.61, "avg_6m_nasdaq_return": 8.39, "avg_3m_baa_spread_change": 0.01, "six_month_loss_le_10pct_freq": 2.2 }, { "regime": "Confirmed easing impulse", "months": 37, "avg_3m_nasdaq_return": 2.91, "avg_6m_nasdaq_return": 4.19, "avg_3m_baa_spread_change": 0.01, "six_month_loss_le_10pct_freq": 16.2 }, { "regime": "Fragile reflation", "months": 36, "avg_3m_nasdaq_return": 1.57, "avg_6m_nasdaq_return": 4.49, "avg_3m_baa_spread_change": -0.52, "six_month_loss_le_10pct_freq": 21.7 }, { "regime": "Policy drag / weak transmission", "months": 35, "avg_3m_nasdaq_return": 6.2, "avg_6m_nasdaq_return": 6.96, "avg_3m_baa_spread_change": -0.12, "six_month_loss_le_10pct_freq": 5.7 }, { "regime": "Latent squeeze risk", "months": 21, "avg_3m_nasdaq_return": -0.95, "avg_6m_nasdaq_return": -7.81, "avg_3m_baa_spread_change": 0.2, "six_month_loss_le_10pct_freq": 42.9 }, { "regime": "Private credit deceleration", "months": 15, "avg_3m_nasdaq_return": -3.92, "avg_6m_nasdaq_return": -10.75, "avg_3m_baa_spread_change": 0.43, "six_month_loss_le_10pct_freq": 40.0 } ], "impulse_quintiles": [ { "quintile": 1, "months": 132, "avg_liquidity_impulse_z": -0.65, "avg_6m_nasdaq_return": 1.96, "avg_3m_baa_spread_change": -0.01 }, { "quintile": 2, "months": 131, "avg_liquidity_impulse_z": -0.23, "avg_6m_nasdaq_return": 6.01, "avg_3m_baa_spread_change": 0.02 }, { "quintile": 3, "months": 131, "avg_liquidity_impulse_z": -0.0, "avg_6m_nasdaq_return": 4.57, "avg_3m_baa_spread_change": 0.01 }, { "quintile": 4, "months": 131, "avg_liquidity_impulse_z": 0.23, "avg_6m_nasdaq_return": 6.75, "avg_3m_baa_spread_change": 0.01 }, { "quintile": 5, "months": 132, "avg_liquidity_impulse_z": 0.72, "avg_6m_nasdaq_return": 5.29, "avg_3m_baa_spread_change": -0.05 } ], "liquidity_squeeze_condition": { "months": 64, "avg_6m_nasdaq_return": -3.14, "six_month_loss_le_10pct_freq": 30.8 }, "note": "Descriptive historical table using available current-vintage data. Not a strategy optimizer." }, "validation": { "schema_version": "0.3a-validation", "note": "Current-vintage scalar diagnostics with overlapping forward horizons. OOS R2 is expanding-window but still not vintage-correct real-time; leading-signal tests are split into payload.validation.leading_signal.", "sample_policy": { "frequency": "monthly", "vintage_type": "current_vintage", "min_continuous_months": 48, "preferred_min_binary_events": 20, "overlapping_forward_horizons": true, "binary_delta_ci": "row bootstrap, 2.5/97.5 percentiles, 2000 samples" }, "summary": { "linear_tests_count": 255, "downside_tests_count": 60, "top_expected_linear": { "scalar": "credit_stock_vulnerability", "scalar_label": "Credit stock vulnerability", "target": "nasdaq_return_12m_fwd", "target_label": "Nasdaq 12m forward return", "polarity": "higher_is_worse", "n": 651, "start_date": "1971-02-28", "end_date": "2025-04-30", "r2": 0.0552, "r2_pct": 5.52, "ic": 0.235, "rank_ic": 0.143, "oos_r2": 0.0538, "oos_r2_pct": 5.38, "slope": 7.556, "hit_rate": 42.4, "quintiles": [ { "quintile": 1, "n": 131, "avg_scalar": -1.68, "avg_target": 3.43 }, { "quintile": 2, "n": 130, "avg_scalar": -1.11, "avg_target": 10.05 }, { "quintile": 3, "n": 130, "avg_scalar": -0.69, "avg_target": 4.85 }, { "quintile": 4, "n": 130, "avg_scalar": -0.17, "avg_target": 15.24 }, { "quintile": 5, "n": 130, "avg_scalar": 0.26, "avg_target": 15.55 } ], "direction_fit": "expected" }, "top_contrary_linear": { "scalar": "credit_stress", "scalar_label": "Credit stress", "target": "baa_spread_tightening_12m_fwd", "target_label": "Baa spread 12m tightening", "polarity": "higher_is_worse", "n": 472, "start_date": "1986-01-31", "end_date": "2025-04-30", "r2": 0.0532, "r2_pct": 5.32, "ic": -0.231, "rank_ic": -0.236, "oos_r2": 0.0289, "oos_r2_pct": 2.89, "slope": -0.184, "hit_rate": 46.4, "quintiles": [ { "quintile": 1, "n": 95, "avg_scalar": -1.44, "avg_target": 0.12 }, { "quintile": 2, "n": 94, "avg_scalar": -0.06, "avg_target": 0.15 }, { "quintile": 3, "n": 94, "avg_scalar": 0.41, "avg_target": 0.07 }, { "quintile": 4, "n": 94, "avg_scalar": 0.69, "avg_target": 0.04 }, { "quintile": 5, "n": 95, "avg_scalar": 0.96, "avg_target": -0.25 } ], "direction_fit": "contrary" }, "top_downside_warning": { "condition": "shock_score_gt_30", "condition_label": "Interaction shock score > 30", "event_label": "Nasdaq 6m max drawdown <= -10%", "test_family": "general_downside", "contamination_risk": "mixed: includes pure, vulnerability, and market-stress-confirmed conditions", "event": "nasdaq_drawdown_10pct_6m_fwd", "total_months": 658, "months": 52, "condition_months": 52, "base_event_count": 153, "condition_event_count": 27, "base_rate": 23.3, "condition_rate": 51.9, "delta": 28.7, "delta_ci_95_low": 16.2, "delta_ci_95_high": 40.9 } }, "linear_tests": [ { "scalar": "headline_impulse_z", "scalar_label": "Headline impulse", "target": "nasdaq_return_1m_fwd", "target_label": "Nasdaq 1m forward return", "polarity": "higher_is_better", "n": 662, "start_date": "1971-02-28", "end_date": "2026-03-31", "r2": 0.0019, "r2_pct": 0.19, "ic": 0.044, "rank_ic": 0.05, "oos_r2": -0.0013, 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"avg_target": 0.64 }, { "quintile": 2, "n": 182, "avg_scalar": -0.24, "avg_target": 2.3 }, { "quintile": 3, "n": 182, "avg_scalar": 0.0, "avg_target": 1.97 }, { "quintile": 4, "n": 182, "avg_scalar": 0.23, "avg_target": 2.86 }, { "quintile": 5, "n": 182, "avg_scalar": 0.76, "avg_target": 2.03 } ], "direction_fit": "expected" }, { "scalar": "headline_impulse_z", "scalar_label": "Headline impulse", "target": "sp500_return_6m_fwd", "target_label": "S&P 500 6m forward return", "polarity": "higher_is_better", "n": 908, "start_date": "1950-03-31", "end_date": "2025-10-31", "r2": 0.0022, "r2_pct": 0.22, "ic": 0.047, "rank_ic": 0.092, "oos_r2": -0.003, "oos_r2_pct": -0.3, "slope": 0.913, "hit_rate": 51.5, "quintiles": [ { "quintile": 1, "n": 182, "avg_scalar": -0.7, "avg_target": 2.79 }, { "quintile": 2, "n": 181, "avg_scalar": -0.23, "avg_target": 3.44 }, { "quintile": 3, "n": 182, "avg_scalar": 0.0, "avg_target": 3.7 }, { "quintile": 4, "n": 181, "avg_scalar": 0.23, "avg_target": 5.49 }, { 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Regime labels are explanation; this is the signal layer.", "formula": "score = 100 * (1 - exp(-raw / 2)); raw = 0.25*negative pure impulse + 0.20*stock excess + 0.15*credit stress + 0.20*negative impulse*stock excess + 0.15*negative impulse*credit stress + 0.05*stock excess*credit stress", "latest_state": { "score": 3.0, "raw": 0.05, "z": -0.67, "tier": "low / no signal", "negative_pure_impulse": 0.14, "pure_liquidity_credit_impulse_z": -0.14, "stock_excess": 0.07, "excess_saturation_proxy_z": 0.05, "market_funding_stress": 0.0, "funding_only_stress": 0.22, "latent_instability": false, "active_instability": false, "diagnostic_regime": "Rolling supply drain" }, "threshold_base_rate_deltas": [ { "condition": "instability_score_gt_15", "condition_label": "Instability score >= 15", "event_label": "Nasdaq 6m return <= -10%", "test_family": "regime_instability", "contamination_risk": "mixed: score is sparse tail-risk stack; stress-confirmed rows include market/funding stress visible at time t", "event": "nasdaq_loss_10pct_6m_fwd", "total_months": 658, "months": 194, "condition_months": 194, "base_event_count": 93, "condition_event_count": 46, "base_rate": 14.1, "condition_rate": 23.7, "delta": 9.6, "delta_ci_95_low": 5.2, "delta_ci_95_high": 14.3 }, { "condition": "instability_score_gt_15", "condition_label": "Instability score >= 15", "event_label": "Nasdaq 6m max drawdown <= -10%", "test_family": "regime_instability", "contamination_risk": "mixed: score is sparse tail-risk stack; 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"Synthetic ERP + Baa tightness + Broad stock saturation + Broker-customer leverage", "months": 4, "share_pct": 2.0, "avg_12m_return_pct": -27.5, "avg_12m_return_delta_pp": -38.4, "avg_12m_max_drawdown_pct": -27.4, "dd10_12m_rate_pct": 100.0, "dd10_delta_pp": 79.4, "loss10_12m_rate_pct": 100.0, "loss10_delta_pp": 94.6, "loss0_12m_rate_pct": 100.0 } ], "incremental_auc_rows": [ { "model": "ERP only", "target": "Nasdaq 12m DD <= -10%", "n": 304, "base_rate_pct": 21.4, "top_quintile_months": 61, "top_quintile_rate_pct": 41.0, "top_quintile_delta_pp": 19.6, "auc": 0.67 }, { "model": "ERP only", "target": "Nasdaq 12m return <= -10%", "n": 304, "base_rate_pct": 5.6, "top_quintile_months": 61, "top_quintile_rate_pct": 23.0, "top_quintile_delta_pp": 17.4, "auc": 0.86 }, { "model": "ERP only", "target": "Nasdaq 12m return < 0", "n": 304, "base_rate_pct": 15.1, "top_quintile_months": 61, "top_quintile_rate_pct": 29.5, "top_quintile_delta_pp": 14.4, "auc": 0.57 }, { "model": "ERP + Baa", "target": 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}, { "model": "Four-factor equal", "target": "Nasdaq 12m return <= -10%", "n": 304, "base_rate_pct": 5.6, "top_quintile_months": 61, "top_quintile_rate_pct": 19.7, "top_quintile_delta_pp": 14.1, "auc": 0.86 }, { "model": "Four-factor equal", "target": "Nasdaq 12m return < 0", "n": 304, "base_rate_pct": 15.1, "top_quintile_months": 61, "top_quintile_rate_pct": 29.5, "top_quintile_delta_pp": 14.4, "auc": 0.67 } ] }, "historical_event_map": { "schema_version": "0.1-sp500-drawdown-map", "asset": "SP500", "drawdown_threshold_pct": -10.0, "major_drawdown_threshold_pct": -20.0, "pre_signal_rule": "Yes if the historical calibrated 75/25 risk rank reached >=80 in the 12 months before the S&P 500 first crossed -10%; Partial if 70-80; No if below 70.", "events": [ { "name": "1990 recession / Gulf War", "peak_date": "1990-06-30", "threshold_cross_date": "1990-09-30", "trough_date": "1990-10-31", "recovery_date": "1991-02-28", "max_drawdown_pct": -14.8, "severity": "10-20%", "pre_signal": "No", "pre_signal_max_rank": 63.0, "pre_signal_max_decile": "D7", "pre_signal_date": "1989-09-30", "pre_signal_live_max_rank": null, "catalyst": "Oil shock from Iraq's invasion of Kuwait, late-cycle tightening, S&L stress, and the 1990-91 recession." }, { "name": "Russia / LTCM crisis", "peak_date": "1998-07-31", "threshold_cross_date": "1998-09-30", "trough_date": "1998-09-30", "recovery_date": "1998-11-30", "max_drawdown_pct": -11.8, "severity": "10-20%", "pre_signal": "Yes", "pre_signal_max_rank": 96.1, "pre_signal_max_decile": "D10", "pre_signal_date": "1998-06-30", "pre_signal_live_max_rank": null, "catalyst": "Asian crisis aftershocks, Russia default, LTCM deleveraging, and a brief global funding shock." }, { "name": "Dot-com bust", "peak_date": "2000-08-31", "threshold_cross_date": "2000-12-31", "trough_date": "2001-09-30", "recovery_date": "2003-05-31", "max_drawdown_pct": -29.7, "severity": "20%+", "pre_signal": "Yes", "pre_signal_max_rank": 98.3, "pre_signal_max_decile": "D10", "pre_signal_date": "2000-01-31", "pre_signal_live_max_rank": null, "catalyst": "Technology valuation unwind, capex reversal, recession, and accounting scandals." }, { "name": "Global Financial Crisis", "peak_date": "2007-10-31", "threshold_cross_date": "2008-01-31", "trough_date": "2009-03-31", "recovery_date": "2009-04-30", "max_drawdown_pct": -50.8, "severity": "20%+", "pre_signal": "Yes", "pre_signal_max_rank": 88.1, "pre_signal_max_decile": "D9", "pre_signal_date": "2007-06-30", "pre_signal_live_max_rank": null, "catalyst": "Housing bust, structured-credit losses, bank/dealer leverage unwind, and funding-market seizure." }, { "name": "Eurozone crisis / US downgrade", "peak_date": "2011-05-31", "threshold_cross_date": "2011-08-31", "trough_date": "2011-09-30", "recovery_date": "2011-10-31", "max_drawdown_pct": -15.5, "severity": "10-20%", "pre_signal": "No", "pre_signal_max_rank": 24.7, "pre_signal_max_decile": "D3", "pre_signal_date": "2011-05-31", "pre_signal_live_max_rank": null, "catalyst": "Eurozone sovereign crisis, US debt-ceiling shock, S&P downgrade, and global growth fear." }, { "name": "Q4 2018 Fed / trade shock", "peak_date": "2018-09-30", "threshold_cross_date": "2018-12-31", "trough_date": "2018-12-31", "recovery_date": "2019-02-28", "max_drawdown_pct": -14.0, "severity": "10-20%", "pre_signal": "Yes", "pre_signal_max_rank": 86.9, "pre_signal_max_decile": "D9", "pre_signal_date": "2018-09-30", "pre_signal_live_max_rank": 95.8, "catalyst": "Fed tightening, quantitative tightening, US-China trade war, and growth scare." }, { "name": "COVID shock", "peak_date": "2019-12-31", "threshold_cross_date": "2020-03-31", "trough_date": "2020-03-31", "recovery_date": "2020-04-30", "max_drawdown_pct": -20.0, "severity": "20%+", "pre_signal": "Yes", "pre_signal_max_rank": 87.2, "pre_signal_max_decile": "D9", "pre_signal_date": "2019-12-31", "pre_signal_live_max_rank": 95.6, "catalyst": "Exogenous pandemic shock, lockdowns, forced deleveraging, and emergency policy response." }, { "name": "Inflation / Fed-hike bear market", "peak_date": "2021-12-31", "threshold_cross_date": "2022-04-30", "trough_date": "2022-09-30", "recovery_date": "2022-11-30", "max_drawdown_pct": -24.8, "severity": "20%+", "pre_signal": "Yes", "pre_signal_max_rank": 100.0, "pre_signal_max_decile": "D10", "pre_signal_date": "2021-06-30", "pre_signal_live_max_rank": 100.0, "catalyst": "Inflation shock, aggressive Fed hiking, rate-duration repricing, and valuation compression." } ], "correlations": { "n": 104, "rank_vs_next_12m_return_spearman": -0.03, "rank_vs_current_sp500_drawdown_spearman": 0.31, "rank_auc_next_12m_sp500_dd10": 0.84, "drawdown_events": 8, "scored_drawdown_events": 8, "pre_signal_yes_or_partial": 6, "severe_events": 4, "severe_pre_signal_yes_or_partial": 4 }, "note": "S&P 500 is used as the broad market drawdown tape. Event catalysts are ex-post labels for interpretation, not model inputs." }, "valuation_alternatives": { "schema_version": "0.5a-valuation-alternatives", "definition": { "synthetic_erp_tightness": "-rolling_z(synthetic Damodaran-style ERP)", "cape": "rolling_z(CAPE; benchmark only)", "damodaran_erp_tightness": "-rolling_z(Damodaran official monthly implied ERP; short-history diagnostic)", "flag_rule": "score >= live prior 80th percentile after 100 prior strict-filter observations", "note": "The primary model uses synthetic ERP because it extends the Damodaran implied-ERP concept back to 1961 with monthly price/rate updates. Official monthly ERP is retained as a short-history live-data diagnostic." }, "latest_state": { "date": "2026-04-30", "synthetic_erp_pct": 3.99, "synthetic_erp_z": -1.32, "synthetic_erp_tightness_z": 1.32, "synthetic_erp_threshold": 1.16, "synthetic_erp_flag": true, "synthetic_expected_return_pct": 8.39, "synthetic_riskfree_pct": 4.4, "cape": 38.93, "cape_z": 1.79, "cape_threshold": 1.94, "cape_flag": false, "damodaran_erp_pct": 4.36, "damodaran_erp_z": -0.96, "damodaran_erp_tightness_z": 0.96, "damodaran_erp_tightness_threshold": 1.39, "damodaran_erp_tightness_flag": false, "damodaran_sp500": 7209.0, "damodaran_tbond_rate_pct": 4.4, "damodaran_expected_growth_pct": 12.24, "damodaran_expected_return_pct": 8.76, "damodaran_trailing_cash_flow": 198.99 }, "factor_rows": [ { "factor": "Synthetic ERP valuation pressure", "direction": "lower synthetic ERP = richer valuation; score is -rolling_z(ERP)", "months": 204, "flagged_months": 29, "flagged_share_pct": 14.2, "dd10_12m_flagged_rate_pct": 44.8, "dd10_12m_lift": 2.18, "dd10_12m_auc": 0.67, "loss10_12m_flagged_rate_pct": 31.0, "loss10_12m_lift": 5.76, "loss10_12m_auc": 0.89, "loss0_12m_flagged_rate_pct": 37.9, "loss0_12m_lift": 2.34, "loss0_12m_auc": 0.54 }, { "factor": "CAPE valuation pressure", "direction": "higher CAPE = richer valuation; benchmark only", "months": 301, "flagged_months": 76, "flagged_share_pct": 25.2, "dd10_12m_flagged_rate_pct": 36.8, "dd10_12m_lift": 1.71, "dd10_12m_auc": 0.67, "loss10_12m_flagged_rate_pct": 15.8, "loss10_12m_lift": 2.8, "loss10_12m_auc": 0.82, "loss0_12m_flagged_rate_pct": 25.0, "loss0_12m_lift": 1.64, "loss0_12m_auc": 0.62 }, { "factor": "Official monthly ERP tightness", "direction": "lower monthly implied ERP = richer valuation; short-history diagnostic", "months": 32, "flagged_months": 25, "flagged_share_pct": 78.1, "dd10_12m_flagged_rate_pct": 44.0, "dd10_12m_lift": 1.28, "dd10_12m_auc": 0.7, "loss10_12m_flagged_rate_pct": 32.0, "loss10_12m_lift": 1.28, "loss10_12m_auc": 0.83, "loss0_12m_flagged_rate_pct": 32.0, "loss0_12m_lift": 1.28, "loss0_12m_auc": 0.83 } ] } }, "case_studies": [ { "id": "ltcm_russia_shock", "label": "LTCM / Russia shock", "date": "1998-08-31", "expected": "Stress and vulnerability should rise, but the model should avoid treating every rescued funding shock as a durable 12m bear signal.", "available": true, "snapshot_date": "1998-08-31", "stable_regime": "Cross-current mixed", "raw_regime": "Latent squeeze risk", "headline_impulse_z": -0.15, "supply_impulse_z": -0.58, "private_credit_impulse_z": 0.21, "vulnerability_z": 0.95, "market_confirmation_z": -0.73, "policy_quality": 0.5, "shock_score": 21.0, "forward_3m_nasdaq": 26.26, "forward_6m_nasdaq": 42.27, "forward_12m_nasdaq": 60.28, "forward_6m_sp500": 14.84, "forward_6m_nasdaq_max_drawdown": 12.98, "forward_6m_baa_change": 0.59, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "ltcm_rescue", "label": "LTCM rescue aftermath", "date": "1998-10-31", "expected": "Crisis relief dynamics should start appearing after the rescue; forward equity rebound is a false-positive control.", "available": true, "snapshot_date": "1998-10-31", "stable_regime": "Cross-current mixed", "raw_regime": "Mixed: private credit offsets supply", "headline_impulse_z": 0.07, "supply_impulse_z": -1.07, "private_credit_impulse_z": 1.28, "vulnerability_z": 0.89, "market_confirmation_z": -2.22, "policy_quality": 0.5, "shock_score": 32.0, "forward_3m_nasdaq": 34.69, "forward_6m_nasdaq": 36.15, "forward_12m_nasdaq": 51.56, "forward_6m_sp500": 25.68, "forward_6m_nasdaq_max_drawdown": 10.06, "forward_6m_baa_change": -0.36, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "dotcom_late_bubble", "label": "Dot-com late bubble", "date": "1999-12-31", "expected": "Vulnerability should be visible even if headline impulse is muted or market confirmation remains superficially benign.", "available": true, "snapshot_date": "1999-12-31", "stable_regime": "Latent vulnerability", "raw_regime": "Private credit deceleration", "headline_impulse_z": -0.05, "supply_impulse_z": 0.32, "private_credit_impulse_z": -0.69, "vulnerability_z": 0.81, "market_confirmation_z": -0.76, "policy_quality": 0.6, "shock_score": 13.0, "forward_3m_nasdaq": 11.67, "forward_6m_nasdaq": -2.57, "forward_12m_nasdaq": -49.9, "forward_6m_sp500": 2.3, "forward_6m_nasdaq_max_drawdown": -16.43, "forward_6m_baa_change": 0.47, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "dotcom_peak", "label": "Dot-com peak", "date": "2000-03-31", "expected": "Impulse or market confirmation should deteriorate before or around the equity drawdown; vulnerability should not be ignored if market stress is still calm.", "available": true, "snapshot_date": "2000-03-31", "stable_regime": "Latent vulnerability", "raw_regime": "Mixed: private credit offsets supply", "headline_impulse_z": 0.02, "supply_impulse_z": -0.59, "private_credit_impulse_z": 0.6, "vulnerability_z": 0.86, "market_confirmation_z": -1.05, "policy_quality": 0.5, "shock_score": 15.0, "forward_3m_nasdaq": -14.23, "forward_6m_nasdaq": -21.92, "forward_12m_nasdaq": -91.02, "forward_6m_sp500": 1.78, "forward_6m_nasdaq_max_drawdown": -25.63, "forward_6m_baa_change": 0.44, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "dotcom_breakdown", "label": "Dot-com breakdown", "date": "2000-09-30", "expected": "Should show adverse impulse/vulnerability. This is a must-hit historical warning case.", "available": true, "snapshot_date": "2000-09-30", "stable_regime": "Liquidity squeeze", "raw_regime": "Liquidity squeeze", "headline_impulse_z": -0.9, "supply_impulse_z": -1.0, "private_credit_impulse_z": -0.93, "vulnerability_z": 1.01, "market_confirmation_z": -1.3, "policy_quality": 0.55, "shock_score": 71.0, "forward_3m_nasdaq": -39.65, "forward_6m_nasdaq": -69.11, "forward_12m_nasdaq": -89.63, "forward_6m_sp500": -21.35, "forward_6m_nasdaq_max_drawdown": -49.9, "forward_6m_baa_change": 0.41, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "dotcom_recession", "label": "2001 recession onset", "date": "2001-03-31", "expected": "A useful model should show negative impulse and rising fragility by the time recession starts.", "available": true, "snapshot_date": "2001-03-31", "stable_regime": "Liquidity squeeze", "raw_regime": "Private credit deceleration", "headline_impulse_z": -0.41, "supply_impulse_z": 0.68, "private_credit_impulse_z": -1.38, "vulnerability_z": 0.77, "market_confirmation_z": -1.86, "policy_quality": 0.55, "shock_score": 52.0, "forward_3m_nasdaq": 16.05, "forward_6m_nasdaq": -20.52, "forward_12m_nasdaq": 0.28, "forward_6m_sp500": -12.68, "forward_6m_nasdaq_max_drawdown": -18.55, "forward_6m_baa_change": 0.34, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "dotcom_trough", "label": "Dot-com trough", "date": "2002-09-30", "expected": "Stress should still be visible but de-escalating; the model should stop issuing late bearish signals near recovery.", "available": true, "snapshot_date": "2002-09-30", "stable_regime": "Unconfirmed supply easing", "raw_regime": "Latent squeeze risk", "headline_impulse_z": -0.16, "supply_impulse_z": -0.19, "private_credit_impulse_z": -0.15, "vulnerability_z": 0.45, "market_confirmation_z": -1.69, "policy_quality": 0.5, "shock_score": 26.0, "forward_3m_nasdaq": 13.06, "forward_6m_nasdaq": 14.65, "forward_12m_nasdaq": 43.05, "forward_6m_sp500": -2.47, "forward_6m_nasdaq_max_drawdown": 13.45, "forward_6m_baa_change": -0.38, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "gfc_complacency_2006", "label": "GFC complacency", "date": "2006-12-31", "expected": "Market calm plus high vulnerability should classify as complacent expansion or latent vulnerability.", "available": true, "snapshot_date": "2006-12-31", "stable_regime": "Complacent expansion", "raw_regime": "Complacent expansion", "headline_impulse_z": 0.4, "supply_impulse_z": -0.64, "private_credit_impulse_z": 1.54, "vulnerability_z": 0.75, "market_confirmation_z": 0.88, "policy_quality": 0.55, "shock_score": 0.0, "forward_3m_nasdaq": 0.26, "forward_6m_nasdaq": 7.49, "forward_12m_nasdaq": 9.36, "forward_6m_sp500": 6.67, "forward_6m_nasdaq_max_drawdown": 0.04, "forward_6m_baa_change": -0.06, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "gfc_complacency_2007", "label": "GFC pre-crack complacency", "date": "2007-06-30", "expected": "A useful model should identify latent fragility despite benign market conditions.", "available": true, "snapshot_date": "2007-06-30", "stable_regime": "Complacent expansion", "raw_regime": "Complacent expansion", "headline_impulse_z": 0.13, "supply_impulse_z": -0.93, "private_credit_impulse_z": 1.26, "vulnerability_z": 0.87, "market_confirmation_z": 0.62, "policy_quality": 0.47, "shock_score": 0.0, "forward_3m_nasdaq": 3.71, "forward_6m_nasdaq": 1.87, "forward_12m_nasdaq": -12.69, "forward_6m_sp500": -2.34, "forward_6m_nasdaq_max_drawdown": -2.19, "forward_6m_baa_change": 0.95, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "gfc_liquidity_crack", "label": "GFC liquidity crack", "date": "2007-08-31", "expected": "Market confirmation should weaken and vulnerability should be elevated before the full collapse.", "available": true, "snapshot_date": "2007-08-31", "stable_regime": "Latent squeeze risk", "raw_regime": "Latent squeeze risk", "headline_impulse_z": -0.4, "supply_impulse_z": -1.18, "private_credit_impulse_z": 0.37, "vulnerability_z": 1.15, "market_confirmation_z": -0.95, "policy_quality": 0.48, "shock_score": 39.0, "forward_3m_nasdaq": 2.46, "forward_6m_nasdaq": -13.37, "forward_12m_nasdaq": -9.23, "forward_6m_sp500": -7.1, "forward_6m_nasdaq_max_drawdown": -12.51, "forward_6m_baa_change": 1.11, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "gfc_recession_start", "label": "GFC recession start", "date": "2007-12-31", "expected": "Private credit, growth, and market confirmation should deteriorate with high vulnerability.", "available": true, "snapshot_date": "2007-12-31", "stable_regime": "Latent squeeze risk", "raw_regime": "Liquidity squeeze", "headline_impulse_z": -0.63, "supply_impulse_z": -0.31, "private_credit_impulse_z": -0.93, "vulnerability_z": 0.88, "market_confirmation_z": -1.51, "policy_quality": 0.44, "shock_score": 55.0, "forward_3m_nasdaq": -15.16, "forward_6m_nasdaq": -14.56, "forward_12m_nasdaq": -51.99, "forward_6m_sp500": -9.79, "forward_6m_nasdaq_max_drawdown": -14.36, "forward_6m_baa_change": 0.43, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "bear_stearns", "label": "Bear Stearns rescue", "date": "2008-03-31", "expected": "Policy backstop and market stress should conflict; not a clean easing signal.", "available": true, "snapshot_date": "2008-03-31", "stable_regime": "Unconfirmed supply easing", "raw_regime": "Liquidity squeeze", "headline_impulse_z": -1.0, "supply_impulse_z": -1.18, "private_credit_impulse_z": -0.76, "vulnerability_z": 0.81, "market_confirmation_z": -2.2, "policy_quality": 0.48, "shock_score": 78.0, "forward_3m_nasdaq": 0.61, "forward_6m_nasdaq": -8.57, "forward_12m_nasdaq": -39.94, "forward_6m_sp500": -12.17, "forward_6m_nasdaq_max_drawdown": -8.21, "forward_6m_baa_change": 0.24, "recession_within_12m": true, "recession_start_within_12m": false }, { "id": "lehman", "label": "Lehman crisis", "date": "2008-09-30", "expected": "Liquidity squeeze / high shock amplification should be visible.", "available": true, "snapshot_date": "2008-09-30", "stable_regime": "Unconfirmed supply easing", "raw_regime": "Unconfirmed supply easing", "headline_impulse_z": 1.57, "supply_impulse_z": 3.0, "private_credit_impulse_z": 0.72, "vulnerability_z": 0.38, "market_confirmation_z": -2.39, "policy_quality": 0.79, "shock_score": 14.0, "forward_3m_nasdaq": -28.25, "forward_6m_nasdaq": -31.37, "forward_12m_nasdaq": 1.45, "forward_6m_sp500": -43.18, "forward_6m_nasdaq_max_drawdown": -34.13, "forward_6m_baa_change": 1.97, "recession_within_12m": true, "recession_start_within_12m": false }, { "id": "gfc_trough", "label": "GFC risk-asset trough", "date": "2009-03-31", "expected": "Crisis relief should begin to appear even if vulnerability remains high.", "available": true, "snapshot_date": "2009-03-31", "stable_regime": "Fragile reflation", "raw_regime": "Unconfirmed supply easing", "headline_impulse_z": 0.41, "supply_impulse_z": 1.86, "private_credit_impulse_z": -0.72, "vulnerability_z": 0.58, "market_confirmation_z": -2.88, "policy_quality": 0.32, "shock_score": 26.0, "forward_3m_nasdaq": 18.27, "forward_6m_nasdaq": 32.82, "forward_12m_nasdaq": 45.03, "forward_6m_sp500": 32.18, "forward_6m_nasdaq_max_drawdown": 12.35, "forward_6m_baa_change": -2.69, "recession_within_12m": true, "recession_start_within_12m": false }, { "id": "covid_pre_shock", "label": "COVID pre-shock", "date": "2020-02-29", "expected": "False-negative risk: exogenous shock may not be predicted, but vulnerability/liquidity should inform severity.", "available": true, "snapshot_date": "2020-02-29", "stable_regime": "Unconfirmed supply easing", "raw_regime": "Unconfirmed supply easing", "headline_impulse_z": 0.16, "supply_impulse_z": 0.35, "private_credit_impulse_z": -0.05, "vulnerability_z": 0.53, "market_confirmation_z": 0.35, "policy_quality": 0.52, "shock_score": 0.0, "forward_3m_nasdaq": 10.23, "forward_6m_nasdaq": 31.81, "forward_12m_nasdaq": 43.17, "forward_6m_sp500": 16.96, "forward_6m_nasdaq_max_drawdown": -10.12, "forward_6m_baa_change": 0.52, "recession_within_12m": true, "recession_start_within_12m": true }, { "id": "covid_shock", "label": "COVID shock", "date": "2020-03-31", "expected": "Massive policy response and market stress should read as crisis relief / unresolved stress, not normal all-clear.", "available": true, "snapshot_date": "2020-03-31", "stable_regime": "Fragile reflation", "raw_regime": "Fragile reflation", "headline_impulse_z": 1.86, "supply_impulse_z": 2.33, "private_credit_impulse_z": 2.04, "vulnerability_z": 0.75, "market_confirmation_z": -2.46, "policy_quality": 0.68, "shock_score": 26.0, "forward_3m_nasdaq": 26.72, "forward_6m_nasdaq": 37.18, "forward_12m_nasdaq": 54.25, "forward_6m_sp500": 26.33, "forward_6m_nasdaq_max_drawdown": 15.45, "forward_6m_baa_change": -0.73, "recession_within_12m": true, "recession_start_within_12m": false }, { "id": "covid_policy_response", "label": "COVID policy response", "date": "2020-04-30", "expected": "Policy liquidity should show crisis relief/backstop rather than ordinary risk-on liquidity.", "available": true, "snapshot_date": "2020-04-30", "stable_regime": "Fragile reflation", "raw_regime": "Fragile reflation", "headline_impulse_z": 1.68, "supply_impulse_z": 3.0, "private_credit_impulse_z": 0.87, "vulnerability_z": 0.59, "market_confirmation_z": -2.57, "policy_quality": 0.67, "shock_score": 22.0, "forward_3m_nasdaq": 18.96, "forward_6m_nasdaq": 20.49, "forward_12m_nasdaq": 45.15, "forward_6m_sp500": 11.58, "forward_6m_nasdaq_max_drawdown": 6.75, "forward_6m_baa_change": -0.82, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "covid_reflation", "label": "COVID reflation", "date": "2020-06-30", "expected": "Strong supply impulse and healing market confirmation should show reflation while noting residual shock risk.", "available": true, "snapshot_date": "2020-06-30", "stable_regime": "Unconfirmed supply easing", "raw_regime": "Unconfirmed supply easing", "headline_impulse_z": 0.99, "supply_impulse_z": 3.0, "private_credit_impulse_z": -1.08, "vulnerability_z": 0.26, "market_confirmation_z": -0.75, "policy_quality": 0.75, "shock_score": 3.0, "forward_3m_nasdaq": 10.46, "forward_6m_nasdaq": 24.79, "forward_12m_nasdaq": 36.6, "forward_6m_sp500": 19.19, "forward_6m_nasdaq_max_drawdown": 6.82, "forward_6m_baa_change": -0.68, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "liquidity_boom_2021", "label": "2021 liquidity boom", "date": "2021-02-28", "expected": "Positive-control easing case: confirmed easing impulse and supportive forward risk assets.", "available": true, "snapshot_date": "2021-02-28", "stable_regime": "Confirmed easing impulse", "raw_regime": "Confirmed easing impulse", "headline_impulse_z": 0.76, "supply_impulse_z": 0.97, "private_credit_impulse_z": 0.44, "vulnerability_z": -0.2, "market_confirmation_z": 0.43, "policy_quality": 0.94, "shock_score": 0.0, "forward_3m_nasdaq": 4.13, "forward_6m_nasdaq": 14.55, "forward_12m_nasdaq": 4.15, "forward_6m_sp500": 17.12, "forward_6m_nasdaq_max_drawdown": 0.41, "forward_6m_baa_change": -0.21, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "liquidity_peak", "label": "2021 liquidity peak", "date": "2021-11-30", "expected": "Should identify easy liquidity/market confirmation but also warn if vulnerability/complacency is high.", "available": true, "snapshot_date": "2021-11-30", "stable_regime": "Confirmed easing impulse", "raw_regime": "Sterilized policy drag", "headline_impulse_z": 0.09, "supply_impulse_z": -0.13, "private_credit_impulse_z": 0.16, "vulnerability_z": -0.66, "market_confirmation_z": 0.65, "policy_quality": 0.24, "shock_score": 0.0, "forward_3m_nasdaq": -12.21, "forward_6m_nasdaq": -25.16, "forward_12m_nasdaq": -30.37, "forward_6m_sp500": -10.01, "forward_6m_nasdaq_max_drawdown": -22.24, "forward_6m_baa_change": 0.5, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "tightening_rollover", "label": "2021 tightening rollover", "date": "2021-12-31", "expected": "Supply rollover should be visible before or as the headline turns negative; Nasdaq drawdown is the key outcome.", "available": true, "snapshot_date": "2021-12-31", "stable_regime": "Confirmed easing impulse", "raw_regime": "Sterilized policy / weak transmission", "headline_impulse_z": 0.27, "supply_impulse_z": -0.44, "private_credit_impulse_z": 0.86, "vulnerability_z": -0.52, "market_confirmation_z": 0.36, "policy_quality": 0.15, "shock_score": 0.0, "forward_3m_nasdaq": -9.55, "forward_6m_nasdaq": -34.96, "forward_12m_nasdaq": -40.2, "forward_6m_sp500": -23.04, "forward_6m_nasdaq_max_drawdown": -29.51, "forward_6m_baa_change": 0.29, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "tightening_2022_q1", "label": "2022 tightening Q1", "date": "2022-03-31", "expected": "Negative supply/headline and worsening growth conditions should flag tightening pressure.", "available": true, "snapshot_date": "2022-03-31", "stable_regime": "Cross-current mixed", "raw_regime": "Cross-current mixed", "headline_impulse_z": -0.82, "supply_impulse_z": -1.65, "private_credit_impulse_z": -0.14, "vulnerability_z": -0.26, "market_confirmation_z": -0.6, "policy_quality": 0.15, "shock_score": 11.0, "forward_3m_nasdaq": -25.42, "forward_6m_nasdaq": -29.61, "forward_12m_nasdaq": -15.15, "forward_6m_sp500": -23.39, "forward_6m_nasdaq_max_drawdown": -25.63, "forward_6m_baa_change": 0.01, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "tightening_2022", "label": "2022 tightening shock", "date": "2022-06-30", "expected": "Supply impulse, market confirmation, and growth conditions should be adverse.", "available": true, "snapshot_date": "2022-06-30", "stable_regime": "Cross-current mixed", "raw_regime": "Cross-current mixed", "headline_impulse_z": -1.41, "supply_impulse_z": -2.36, "private_credit_impulse_z": -0.57, "vulnerability_z": 0.14, "market_confirmation_z": -1.11, "policy_quality": 0.15, "shock_score": 41.0, "forward_3m_nasdaq": -4.2, "forward_6m_nasdaq": -5.23, "forward_12m_nasdaq": 22.33, "forward_6m_sp500": 1.42, "forward_6m_nasdaq_max_drawdown": -5.1, "forward_6m_baa_change": -0.15, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "tightening_2022_q3", "label": "2022 tightening Q3", "date": "2022-09-30", "expected": "Should still show tightening pressure but reveal timing risk near a tradable market low.", "available": true, "snapshot_date": "2022-09-30", "stable_regime": "Latent squeeze risk", "raw_regime": "Liquidity squeeze", "headline_impulse_z": -0.97, "supply_impulse_z": -1.52, "private_credit_impulse_z": -0.4, "vulnerability_z": 0.57, "market_confirmation_z": -1.03, "policy_quality": 0.15, "shock_score": 48.0, "forward_3m_nasdaq": -1.04, "forward_6m_nasdaq": 14.47, "forward_12m_nasdaq": 22.31, "forward_6m_sp500": 13.63, "forward_6m_nasdaq_max_drawdown": -1.03, "forward_6m_baa_change": -0.12, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "late_2022_false_positive", "label": "Late 2022 false-positive control", "date": "2022-12-31", "expected": "May still show squeeze despite forward rebound; useful for stress-now versus future-return calibration.", "available": true, "snapshot_date": "2022-12-31", "stable_regime": "Liquidity squeeze", "raw_regime": "Latent squeeze risk", "headline_impulse_z": -0.45, "supply_impulse_z": -0.82, "private_credit_impulse_z": 0.01, "vulnerability_z": 0.74, "market_confirmation_z": -0.51, "policy_quality": 0.38, "shock_score": 23.0, "forward_3m_nasdaq": 15.51, "forward_6m_nasdaq": 27.56, "forward_12m_nasdaq": 36.06, "forward_6m_sp500": 14.76, "forward_6m_nasdaq_max_drawdown": 9.45, "forward_6m_baa_change": 0.03, "recession_within_12m": false, "recession_start_within_12m": false }, { "id": "svb_btfp", "label": "SVB / BTFP", "date": "2023-03-31", "expected": "Emergency supply support versus private credit contraction should produce mixed evidence, not clean easing.", "available": true, "snapshot_date": "2023-03-31", "stable_regime": "Latent squeeze risk", "raw_regime": "Latent squeeze risk", "headline_impulse_z": -0.15, "supply_impulse_z": 0.1, "private_credit_impulse_z": -0.39, "vulnerability_z": 0.73, "market_confirmation_z": -0.6, "policy_quality": 0.79, "shock_score": 12.0, "forward_3m_nasdaq": 12.06, "forward_6m_nasdaq": 7.84, "forward_12m_nasdaq": 29.28, "forward_6m_sp500": 4.26, "forward_6m_nasdaq_max_drawdown": 0.04, "forward_6m_baa_change": -0.27, "recession_within_12m": false, "recession_start_within_12m": false } ], "sources": { "warnings": [], "fred_series": [ { "series_id": "WALCL", "label": "Fed total assets", "block": "official_liquidity", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL" }, { "series_id": "WTREGEN", "label": "Treasury General Account", "block": "official_liquidity", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WTREGEN" }, { "series_id": "RRPONTSYD", "label": "ON RRP", "block": "official_liquidity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=RRPONTSYD" }, { "series_id": "WRESBAL", "label": "Reserve balances", "block": "official_liquidity", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WRESBAL" }, { "series_id": "GDP", "label": "Nominal GDP", "block": "macro_denominator", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=GDP" }, { "series_id": "M2SL", "label": "M2 money stock", "block": "official_liquidity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=M2SL" }, { "series_id": "TLAACBW027SBOG", "label": "Bank assets", "block": "bank_capacity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TLAACBW027SBOG" }, { "series_id": "DPSACBW027SBOG", "label": "Bank deposits", "block": "bank_capacity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DPSACBW027SBOG" }, { "series_id": "CASACBW027SBOG", "label": "Bank cash assets", "block": "bank_capacity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CASACBW027SBOG" }, { "series_id": "TOTBKCR", "label": "Bank credit", "block": "bank_capacity", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTBKCR" }, { "series_id": "BUSLOANS", "label": "C&I loans", "block": "credit_transmission", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BUSLOANS" }, { "series_id": "TOTALSL", "label": "Consumer credit", "block": "credit_transmission", "unit": "billions_usd", "aggregation": "last", "to_billions": 1.0, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTALSL" }, { "series_id": "TCMDO", "label": "All-sector debt securities and loans", "block": "broad_credit", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TCMDO" }, { "series_id": "BOGZ1FL144104005Q", "label": "Nonfinancial business debt securities and loans", "block": "broad_credit", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL144104005Q" }, { "series_id": "BOGZ1FL663067003Q", "label": "Broker-dealer customer receivables", "block": "broker_customer_leverage", "unit": "millions_usd", "aggregation": "last", "to_billions": 0.001, "notes": "Z.1 broker-dealer customer receivables; used as the long-history bridge for broker-customer financing saturation.", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL663067003Q" }, { "series_id": "DRTSCILM", "label": "SLOOS C&I tightening standards", "block": "credit_transmission", "unit": "percent", "aggregation": "last", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DRTSCILM" }, { "series_id": "NFCI", "label": "National Financial Conditions Index", "block": "market_confirmation", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCI" }, { "series_id": "ANFCI", "label": "Adjusted National Financial Conditions Index", "block": "market_confirmation", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=ANFCI" }, { "series_id": "NFCIRISK", "label": "NFCI risk subindex", "block": "market_confirmation", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCIRISK" }, { "series_id": "NFCICREDIT", "label": "NFCI credit subindex", "block": "market_confirmation", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCICREDIT" }, { "series_id": "NFCILEVERAGE", "label": "NFCI leverage subindex", "block": "vulnerability", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCILEVERAGE" }, { "series_id": "NFCINONFINLEVERAGE", "label": "NFCI nonfinancial leverage subindex", "block": "vulnerability", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCINONFINLEVERAGE" }, { "series_id": "BAA10Y", "label": "Moody's Baa minus 10-year Treasury", "block": "market_confirmation", "unit": "percent", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAA10Y" }, { "series_id": "BAMLH0A0HYM2", "label": "ICE BofA high-yield OAS", "block": "market_confirmation", "unit": "percent", "aggregation": "mean", "to_billions": null, "notes": "FRED public history may be shortened by licensing.", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAMLH0A0HYM2" }, { "series_id": "VIXCLS", "label": "VIX", "block": "market_confirmation", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=VIXCLS" }, { "series_id": "FEDFUNDS", "label": "Effective federal funds rate", "block": "policy", "unit": "percent", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=FEDFUNDS" }, { "series_id": "CPIAUCSL", "label": "CPI all urban consumers", "block": "policy", "unit": "index", "aggregation": "last", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CPIAUCSL" }, { "series_id": "T10Y3M", "label": "10-year minus 3-month Treasury spread", "block": "policy", "unit": "percent", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=T10Y3M" }, { "series_id": "MORTGAGE30US", "label": "30-year fixed mortgage rate", "block": "growth_conditions", "unit": "percent", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=MORTGAGE30US" }, { "series_id": "DTWEXBGS", "label": "Nominal broad dollar index", "block": "growth_conditions", "unit": "index", "aggregation": "mean", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DTWEXBGS" }, { "series_id": "CSUSHPINSA", "label": "S&P CoreLogic Case-Shiller U.S. home price index", "block": "growth_conditions", "unit": "index", "aggregation": "last", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CSUSHPINSA" }, { "series_id": "NASDAQCOM", "label": "Nasdaq Composite", "block": "asset_response", "unit": "index", "aggregation": "last", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NASDAQCOM" }, { "series_id": "SP500", "label": "S&P 500", "block": "asset_response", "unit": "index", "aggregation": "last", "to_billions": null, "notes": "FRED public history may be shortened by licensing.", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=SP500" }, { "series_id": "DJIA", "label": "Dow Jones Industrial Average", "block": "asset_response", "unit": "index", "aggregation": "last", "to_billions": null, "notes": "FRED public history starts in 2016; merged with long historical close series for validation.", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DJIA" }, { "series_id": "USREC", "label": "NBER recession indicator", "block": "validation", "unit": "binary", "aggregation": "last", "to_billions": null, "notes": "", "url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=USREC" } ], "shiller_cape": { "label": "Multpl monthly Shiller PE table", "url": "https://www.multpl.com/shiller-pe/table/by-month", "unit": "ratio", "last_observation_date": "2026-04-30", "forward_filled": false }, "finra": { "label": "FINRA margin statistics", "url": "https://www.finra.org/sites/default/files/2021-03/margin-statistics.xlsx", "page": "https://www.finra.org/rules-guidance/key-topics/margin-accounts/margin-statistics", "unit": "millions_usd_in_source_converted_to_billions" }, "damodaran_erp": { "label": "Damodaran monthly implied ERP workbook", "url": "https://pages.stern.nyu.edu/~adamodar/pc/implprem/ERPbymonth.xlsx", "annual_url": "https://pages.stern.nyu.edu/~adamodar/pc/datasets/histimpl.xlsx", "old_monthly_archive_url": "https://pages.stern.nyu.edu/~adamodar/pc/ERPbymonth.xlsx", "unit": "decimal_percent", "last_observation_date": "2026-04-30", "forward_filled": false, "notes": "Primary source is Damodaran's current monthly implied ERP workbook; annual history is fallback only." }, "synthetic_erp": { "label": "Synthetic Damodaran-style ERP backcast", "url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md", "unit": "decimal_percent", "last_observation_date": "2026-04-30", "forward_filled": false, "notes": "Primary valuation input: synthetic monthly ERP built from annual Damodaran anchors plus monthly price/rate moves." }, "last_complete_month": "2026-04-30", "series_metadata": [ { "series_id": "WALCL", "label": "Fed total assets", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL", "frequency": "weekly", "unit": "millions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "WTREGEN", "label": "Treasury General Account", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WTREGEN", "frequency": "weekly", "unit": "millions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "RRPONTSYD", "label": "ON RRP", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=RRPONTSYD", "frequency": "daily_or_weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "WRESBAL", "label": "Reserve balances", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=WRESBAL", "frequency": "weekly", "unit": "millions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "GDP", "label": "Nominal GDP", "block": "macro_denominator", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=GDP", "frequency": "quarterly", "unit": "billions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "M2SL", "label": "M2 money stock", "block": "official_liquidity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=M2SL", "frequency": "monthly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TLAACBW027SBOG", "label": "Bank assets", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TLAACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "DPSACBW027SBOG", "label": "Bank deposits", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DPSACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CASACBW027SBOG", "label": "Bank cash assets", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CASACBW027SBOG", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TOTBKCR", "label": "Bank credit", "block": "bank_capacity", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTBKCR", "frequency": "weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BUSLOANS", "label": "C&I loans", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BUSLOANS", "frequency": "daily_or_weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TOTALSL", "label": "Consumer credit", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TOTALSL", "frequency": "daily_or_weekly", "unit": "billions_usd", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-03-31", "stale_days": 30, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "TCMDO", "label": "All-sector debt securities and loans", "block": "broad_credit", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=TCMDO", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BOGZ1FL144104005Q", "label": "Nonfinancial business debt securities and loans", "block": "broad_credit", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL144104005Q", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BOGZ1FL663067003Q", "label": "Broker-dealer customer receivables", "block": "broker_customer_leverage", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BOGZ1FL663067003Q", "frequency": "quarterly", "unit": "millions_usd", "aggregation": "last", "transform": "quarter-start observation aligned to quarter-end; month-end latest", "last_observation_date": "2025-12-31", "stale_days": 120, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Z.1 broker-dealer customer receivables; used as the long-history bridge for broker-customer financing saturation." }, { "series_id": "DRTSCILM", "label": "SLOOS C&I tightening standards", "block": "credit_transmission", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DRTSCILM", "frequency": "quarterly", "unit": "percent", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCI", "label": "National Financial Conditions Index", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCI", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "ANFCI", "label": "Adjusted National Financial Conditions Index", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=ANFCI", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCIRISK", "label": "NFCI risk subindex", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCIRISK", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCICREDIT", "label": "NFCI credit subindex", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCICREDIT", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCILEVERAGE", "label": "NFCI leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCILEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NFCINONFINLEVERAGE", "label": "NFCI nonfinancial leverage subindex", "block": "vulnerability", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NFCINONFINLEVERAGE", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAA10Y", "label": "Moody's Baa minus 10-year Treasury", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAA10Y", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "BAMLH0A0HYM2", "label": "ICE BofA high-yield OAS", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAMLH0A0HYM2", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "VIXCLS", "label": "VIX", "block": "market_confirmation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=VIXCLS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "FEDFUNDS", "label": "Effective federal funds rate", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=FEDFUNDS", "frequency": "monthly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CPIAUCSL", "label": "CPI all urban consumers", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CPIAUCSL", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "T10Y3M", "label": "10-year minus 3-month Treasury spread", "block": "policy", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=T10Y3M", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "MORTGAGE30US", "label": "30-year fixed mortgage rate", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=MORTGAGE30US", "frequency": "daily_or_weekly", "unit": "percent", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "DTWEXBGS", "label": "Nominal broad dollar index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DTWEXBGS", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "mean", "transform": "monthly average", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CSUSHPINSA", "label": "S&P CoreLogic Case-Shiller U.S. home price index", "block": "growth_conditions", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=CSUSHPINSA", "frequency": "monthly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-02-28", "stale_days": 61, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "NASDAQCOM", "label": "Nasdaq Composite", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=NASDAQCOM", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "SP500", "label": "S&P 500", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=SP500", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history may be shortened by licensing." }, { "series_id": "DJIA", "label": "Dow Jones Industrial Average", "block": "asset_response", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=DJIA", "frequency": "daily_or_weekly", "unit": "index", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "FRED public history starts in 2016; merged with long historical close series for validation." }, { "series_id": "USREC", "label": "NBER recession indicator", "block": "validation", "source_url": "https://fred.stlouisfed.org/graph/fredgraph.csv?id=USREC", "frequency": "daily_or_weekly", "unit": "binary", "aggregation": "last", "transform": "month-end latest", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "" }, { "series_id": "CAPE", "label": "Multpl monthly Shiller PE table", "block": "valuation", "source_url": "https://www.multpl.com/shiller-pe/table/by-month", "frequency": "monthly", "unit": "ratio", "aggregation": "last", "transform": "monthly table value assigned to month end; not forward-filled past latest completed month", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Benchmark CAPE input uses the current monthly Shiller PE/CAPE table; partial current-month rows are excluded from the model cut." }, { "series_id": "SYNTHETIC_ERP", "label": "Synthetic Damodaran-style ERP backcast", "block": "valuation", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "month_end", "transform": "primary valuation pressure uses -rolling_z(synthetic ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "model_derived", "notes": "Synthetic ERP is model-derived from annual Damodaran ERP anchors, monthly S&P 500 price, and monthly 10-year Treasury rates." }, { "series_id": "SP500_LONG", "label": "S&P 500 merged long/current monthly price series", "block": "asset_response", "source_url": "../docs/SYNTHETIC_ERP_BACKCAST_v0.1.md plus https://fred.stlouisfed.org/series/SP500", "frequency": "monthly", "unit": "index", "aggregation": "month-end price", "transform": "long Shiller-style monthly S&P price from the synthetic ERP backcast, overlaid with current FRED SP500 observations where available", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Used as the S&P response target to avoid the shortened public FRED SP500 history." }, { "series_id": "DAMODARAN_ERP", "label": "Damodaran monthly implied ERP workbook", "block": "valuation", "source_url": "https://pages.stern.nyu.edu/~adamodar/pc/implprem/ERPbymonth.xlsx", "frequency": "monthly", "unit": "decimal_percent", "aggregation": "start-of-month workbook row aligned to prior month-end", "transform": "valuation pressure uses -rolling_z(ERP); lower ERP means richer valuation", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "high", "notes": "Current monthly workbook includes S&P 500, risk-free rate, trailing cash flow, expected growth, expected return, and implied ERP." }, { "series_id": "DOW", "label": "Dow Jones Industrial Average merged long/current series", "block": "asset_response", "source_url": "https://raw.githubusercontent.com/fja05680/dow-sp500-100-years/master/DJA.csv plus https://fred.stlouisfed.org/series/DJIA", "frequency": "monthly", "unit": "index", "aggregation": "month-end close", "transform": "long historical close series through 2019, overlaid with current FRED DJIA monthly closes from the 2016 overlap onward", "last_observation_date": "2026-04-30", "stale_days": 0, "is_stale": false, "vintage_type": "current_vintage", "observability": "medium", "notes": "Added as a third equity response target; it does not affect the primary four-factor signal." } ] }, "methodology": { "headline": "V0.7 uses a primary 75/25 decile rank model: 75% four-factor equal-score percentile plus 25% breadth percentile. The four inputs are synthetic Damodaran-style ERP tightness, Baa spread tightness, broad stock saturation, and Composite B broker-customer leverage saturation. S&P validation uses a merged long/current monthly price series to avoid the shortened public FRED response history.", "liquidity_index_formula": "0.55 official liquidity + 0.45 bank capacity; market prices are excluded from core supply.", "impulse_formula": "Headline impulse = 0.45 supply impulse + 0.45 Biggs-style private credit impulse + 0.10 growth-conditions impulse.", "vulnerability_formula": "0.35 credit-stock vulnerability + 0.25 bank funding stress + 0.25 policy restrictiveness + 0.15 market fragility.", "false_positive_control": "Policy quality is a continuous score using NPL flow, reserve flow, TGA/RRP offsets, and transmission breadth.", "caveat": "Current-vintage public-data model. Hidden leverage is proxied, not fully observed." } }