Macro Risk Indicator no longer “Risk-On”

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Macro Risk Indicator no longer “Risk-On”

Macro Snapshot

(Nov 3)

Our Macro Risk Indicator has slipped from “Risk-On” to neutral.

There are five precedents for this: 2000, 2007, 2010, 2015 and 2018. What separated the major tops in 2000 and 2007 was the level of inflation.

Tighter liquidity means fewer marginal buyers as equity supply surges.

Our Business Cycle Financing Index has rolled over sharply, which points to high beta underperforming low volatility stocks over the next 12 months.

Equity breadth is weak and equity supply is set to surge with major IPOs.

The cumulative advance-decline line remains near its spring lows, even as the S&P 500 holds near the highs.

Markets starting to sniff out a Fed that will need to pause hikes soon.

Asset prices since the September hike look like the 1997 mid-cycle hike. Yields have peaked and started to roll over. The curve is starting to flatten again after initial chop.

Duration cyclically more attractive, signs of stress in high yield.

Given the drop in our Macro Risk Indicator, it makes sense to diversify portfolios and at the margin add duration and reduce equity exposure.

Asset Allocation Engine

(Nov 13 2026)

The Macro Risk Indicator turns our best cyclical models into a single number to help choose risk exposure.

We designed the Macro Risk Indicator based on the downside volatility of a 60/40 portfolio.