How the Score Works
Every number on the dashboard can be traced to the table rows below: indicator → stress (0–100) → cluster → category → composite. Points sum exactly to each score.
Method in brief
1. Indicator stress (0–100)
Each scored indicator has a stress metric (e.g. the Sahm value, a spread level, a YoY change) and a direction (whether higher is worse). By default the metric is converted to its point-in-time historical percentile using only data available up to that date, flipped when lower is worse. Where an economically meaningful level exists (curve inversion at 0, Sahm 0.50, the 2% inflation target, −10%/−20% drawdowns, GDP around 0) indicator-specific anchors are used instead; each anchor set and its rationale are shown on the indicator page.
2. Signals
🟢 Normal < 50 · 🟡 Watch 50–75 · 🟠 Elevated 75–90 · 🔴 Severe ≥ 90. For percentile-mapped indicators these are literally the 50th / 75th / 90th historical percentiles.
3. Trend
Change in stress over ~3 months: ↑ deteriorating (> +5), ↓ improving (< −5), → stable. Because stress is already polarity-adjusted, “↑” always means worse — e.g. unemployment ↑ or GDP ↓ both show ↑. Context indicators (Treasury yield levels, oil prices, gold) show “·”.
4. Avoiding double counting
Indicators that measure the same underlying factor are placed in one factor cluster and averaged, so the cluster gets one weight regardless of how many correlated series it contains. Examples: CPI and PCE (headline) share one cluster, core CPI and core PCE another; HY, CCC and HY widening share “high yield”; the 2Y, 3M and Fed funds rate are not scored as levels at all — only the 2Y–3M spread (expected easing) enters. Within a score an indicator can belong to only one cluster (enforced by automated tests). The correlation check below audits this against the data.
5. Aggregation
score = Σcategory W × Σcluster w × mean(stress). Missing clusters/categories are removed and the remaining weights renormalised — never filled with estimates. The lost weight is reported as coverage; data age is reported as freshness (LIVE 100%, RECENT 85%, STALE 40%, UNAVAILABLE 0%, weighted by importance). Confidence = coverage × freshness.
6. Four scores, not one
Recession, Inflation and Financial Market Stress are computed separately. Overall Macro Stress = 50% Recession + 25% Inflation + 25% Financial. It measures breadth of macro stress and is not a recession probability. All weights are configurable in Settings.
Recession Stress: 49.9
Coverage 93% · Freshness 96%How consistent current growth, labour, credit, curve, housing and consumer conditions are with historical pre-recession / early-recession stress. Not a probability.
| Category | Nominal weight | Effective weight | Category score | Points | Signal |
|---|---|---|---|---|---|
| Growth / Labor | 30% | 30.0% | 35.5 | 10.6 | Normal |
| Credit / Financial | 25% | 25.0% | 50.3 | 12.6 | Watch |
| Yield Curve / Rates | 15% | 15.0% | 51.1 | 7.7 | Watch |
| Housing | 10% | 10.0% | 66.3 | 6.6 | Watch |
| Consumer | 10% | 10.0% | 60.1 | 6.0 | Watch |
| Equity / Market | 5% | 5.0% | 48.6 | 2.4 | Normal |
| Inflation / Energy | 5% | 5.0% | 79.6 | 4.0 | Elevated |
| Total | 100% | 100% | 49.9 |
Growth / Laborscore 35.5 · 6 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Unemployment (Sahm, 12M change) (25) cluster score 25 | Unemployment rate | 3.75% | 4.2% | 22 | 25 | 0.94 | ↓Improving | LIVE | U.S. Bureau of Labor Statistics (via FRED) [UNRATE] |
| Sahm Rule indicator | 3.75% | ±0.00 pp | 40 | 25 | 0.94 | ↓Improving | LIVE | U.S. Bureau of Labor Statistics (via FRED) [UNRATE] | |
| Jobless claims (15) cluster score 23 | Initial jobless claims | 2.25% | 199,000 | 3 | 19 | 0.43 | ↓Improving | LIVE | U.S. Employment and Training Administration (via FRED) [ICSA] |
| Continuing claims | 2.25% | 1,710,000 | 11 | 27 | 0.61 | ↓Improving | RECENT | U.S. Employment and Training Administration (via FRED) [CCSA] | |
| Payroll growth (15) cluster score 75 | Payroll growth, 3-month average | 4.50% | +51k | 25 | 75 | 3.39 | →Stable | LIVE | U.S. Bureau of Labor Statistics (via FRED) [PAYEMS] |
| Labour demand (JOLTS) (10) cluster score 61 | Job openings (JOLTS) | 1.50% | 7,079 | 75 | 56 | 0.85 | →Stable | RECENT | U.S. Bureau of Labor Statistics (via FRED) [JTSJOL] |
| Quits rate (JOLTS) | 1.50% | 1.9% | 34 | 66 | 0.99 | ↑Deteriorating | RECENT | U.S. Bureau of Labor Statistics (via FRED) [JTSQUR] | |
| Business surveys (ISM / regional Fed) (15) cluster score 7 | ISM Manufacturing PMI | 0 (n/a) | n/a | — | — | 0.00 | –Unknown | UNAVAILABLE | Institute for Supply Management (licensed, manual load) [ISM_MFG_PMI] |
| ISM Manufacturing New Orders | 0 (n/a) | n/a | — | — | 0.00 | –Unknown | UNAVAILABLE | Institute for Supply Management (licensed, manual load) [ISM_MFG_NO] | |
| ISM Manufacturing Employment | 0 (n/a) | n/a | — | — | 0.00 | –Unknown | UNAVAILABLE | Institute for Supply Management (licensed, manual load) [ISM_MFG_EMP] | |
| ISM Services PMI | 0 (n/a) | n/a | — | — | 0.00 | –Unknown | UNAVAILABLE | Institute for Supply Management (licensed, manual load) [ISM_SVC_PMI] | |
| ISM Services New Orders | 0 (n/a) | n/a | — | — | 0.00 | –Unknown | UNAVAILABLE | Institute for Supply Management (licensed, manual load) [ISM_SVC_NO] | |
| Philadelphia Fed manufacturing activity | 2.25% | 20.9 | 75 | 0 | 0.00 | ↓Improving | LIVE | Federal Reserve Bank of Philadelphia (via FRED) [GACDFSA066MSFRBPHI] | |
| Empire State manufacturing conditions | 2.25% | 25.5 | 91 | 14 | 0.32 | ↓Improving | LIVE | Federal Reserve Bank of New York (via FRED) [GACDISA066MSFRBNY] | |
| Real activity (IP, retail, PCE, GDP) (20) cluster score 36 | Industrial production, YoY | 1.20% | 2.2% | 43 | 57 | 0.69 | ↓Improving | LIVE | Board of Governors of the Federal Reserve System (via FRED) [INDPRO] |
| Real retail sales, YoY | 1.20% | 2.5% | 56 | 44 | 0.53 | →Stable | LIVE | U.S. Census Bureau (via FRED) [RRSFS] | |
| Real personal consumption, YoY | 1.20% | 2.6% | 64 | 36 | 0.43 | →Stable | RECENT | U.S. Bureau of Economic Analysis (via FRED) [PCEC96] | |
| Real GDP growth (q/q SAAR) | 1.20% | 2.2% | 35 | 36 | 0.43 | ↓Improving | LIVE | U.S. Bureau of Economic Analysis (via FRED) [A191RL1Q225SBEA] | |
| Atlanta Fed GDPNow | 1.20% | 3.6% | 84 | 7 | 0.09 | ↓Improving | LIVE | Federal Reserve Bank of Atlanta (via FRED) [GDPNOW] |
Credit / Financialscore 50.3 · 4 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| High-yield credit (30) cluster score 79 | US High Yield OAS | 2.50% | 3.23% | 75 | 75 | 1.87 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A0HYM2] |
| CCC & lower OAS | 2.50% | 12.78% | 100 | 100 | 2.50 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A3HYC] | |
| HY OAS rate of widening (3M) | 2.50% | 52 bps | 93 | 64 | 1.59 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A0HYM2] | |
| Investment-grade credit (20) cluster score 33 | Investment Grade OAS | 1.67% | 0.84% | 49 | 49 | 0.82 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLC0A0CM] |
| BBB corporate OAS | 1.67% | 1.05% | 48 | 48 | 0.81 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLC0A4CBBB] | |
| Baa – 10Y Treasury spread | 1.67% | 1.44% | 2 | 2 | 0.03 | ↓Improving | LIVE | Moody's (via FRED) [BAA10Y] | |
| Financial conditions (NFCI) (25) cluster score 40 | Chicago Fed NFCI | 3.13% | -0.50 | 39 | 39 | 1.22 | →Stable | LIVE | Federal Reserve Bank of Chicago (via FRED) [NFCI] |
| Chicago Fed Adjusted NFCI | 3.13% | -0.49 | 40 | 40 | 1.25 | ↑Deteriorating | LIVE | Federal Reserve Bank of Chicago (via FRED) [ANFCI] | |
| Bank lending standards (25) cluster score 40 | Bank lending standards (SLOOS, C&I) | 6.25% | 0.0 | 49 | 40 | 2.50 | ↓Improving | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DRTSCILM] |
Yield Curve / Ratesscore 51.1 · 4 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Current curve slope (45) cluster score 53 | 10Y–2Y spread | 3.38% | +0.33 pp | 32 | 59 | 1.97 | →Stable | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DGS10]; Board of Governors of the Federal Reserve System (via FRED) [DGS2] |
| 10Y–3M spread | 3.38% | +0.82 pp | 31 | 48 | 1.62 | →Stable | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DGS10]; Board of Governors of the Federal Reserve System (via FRED) [DGS3MO] | |
| Recent inversion depth (20) cluster score 81 | 10Y–3M deepest inversion (trailing 24M) | 3.00% | −0.70 pp | 19 | 81 | 2.43 | ↓Improving | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DGS10]; Board of Governors of the Federal Reserve System (via FRED) [DGS3MO] |
| Expected policy easing (2Y-3M) (25) cluster score 17 | 2Y–3M spread (expected policy path) | 3.75% | +0.49 pp | 44 | 17 | 0.65 | ↓Improving | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DGS2]; Board of Governors of the Federal Reserve System (via FRED) [DGS3MO] |
| Term premium (10) cluster score 66 | 10Y term premium (Kim-Wright) | 1.50% | 1.07% | 66 | 66 | 0.98 | ↑Deteriorating | RECENT | Board of Governors of the Federal Reserve System (via FRED) [THREEFYTP10] |
Housingscore 66.3 · 4 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Starts & permits (40) cluster score 52 | Housing starts | 2.00% | 1,275 | 31 | 56 | 1.13 | ↓Improving | RECENT | U.S. Census Bureau (via FRED) [HOUST] |
| Building permits | 2.00% | 1,403 | 53 | 48 | 0.95 | ↓Improving | RECENT | U.S. Census Bureau (via FRED) [PERMIT] | |
| Home sales (25) cluster score 60 | Existing home sales | 0 (n/a) | 3,990,000 | 12 | — | 0.00 | –Unknown | LIVE | National Association of Realtors (via FRED) [EXHOSLUSM495S] |
| New home sales | 2.50% | 684 | 62 | 60 | 1.51 | ↑Deteriorating | RECENT | U.S. Census Bureau (via FRED) [HSN1F] | |
| Affordability & mortgage rates (20) cluster score 86 | Housing affordability index (NAR) | 0 (n/a) | 105.4 | 38 | — | 0.00 | –Unknown | LIVE | National Association of Realtors (via FRED) [FIXHAI] |
| 30Y fixed mortgage rate | 2.00% | 7.40% | 52 | 86 | 1.72 | ↑Deteriorating | LIVE | Freddie Mac (via FRED) [MORTGAGE30US] | |
| Inventory (15) cluster score 88 | New home months' supply | 1.50% | 8.5 | 88 | 88 | 1.32 | →Stable | RECENT | U.S. Census Bureau (via FRED) [MSACSR] |
Consumerscore 60.1 · 4 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Sentiment & confidence (25) cluster score 99 | UMich consumer sentiment | 2.50% | 51.7 | 1 | 99 | 2.47 | →Stable | RECENT | University of Michigan (via FRED) [UMCSENT] |
| Consumer confidence (OECD, US) | 0 (n/a) | n/a | 26 | — | 0.00 | –Unknown | UNAVAILABLE | OECD (via FRED) [CSCICP03USM665S] | |
| Delinquencies (30) cluster score 30 | Credit-card delinquency rate | 1.50% | 2.85% | 31 | 31 | 0.47 | →Stable | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DRCCLACBS] |
| Consumer loan delinquency rate | 1.50% | 2.62% | 28 | 28 | 0.42 | →Stable | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DRCLACBS] | |
| Income & saving (25) cluster score 89 | Personal saving rate | 1.25% | 4.1% | 8 | 92 | 1.15 | →Stable | RECENT | U.S. Bureau of Economic Analysis (via FRED) [PSAVERT] |
| Real disposable income, YoY | 1.25% | 1.3% | 14 | 86 | 1.07 | →Stable | RECENT | U.S. Bureau of Economic Analysis (via FRED) [DSPIC96] | |
| Debt service (20) cluster score 22 | Household debt service ratio | 2.00% | 11.11 | 22 | 22 | 0.43 | ↓Improving | LIVE | Board of Governors of the Federal Reserve System (via FRED) [TDSP] |
Equity / Marketscore 48.6 · 3 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Drawdowns (45) cluster score 46 | S&P 500 | 0.75% | 7,659 | 98 | 20 | 0.15 | →Stable | LIVE | S&P Dow Jones Indices (via FRED) [SP500] |
| Nasdaq 100 | 0.75% | 29,936 | 100 | 41 | 0.31 | ↓Improving | LIVE | Nasdaq (via FRED) [NASDAQ100] | |
| Russell 2000 (IWM proxy) | 0.75% | 270 | 97 | 77 | 0.58 | ↑Deteriorating | LIVE | Twelve Data (market data API) [IWM] | |
| Momentum (20) cluster score 64 | S&P 500 3-month momentum | 1.00% | 2.7% | 36 | 64 | 0.64 | ↑Deteriorating | LIVE | S&P Dow Jones Indices (via FRED) [SP500] |
| Implied volatility (35) cluster score 43 | VIX | 1.75% | 16.5 | 43 | 43 | 0.75 | →Stable | LIVE | Chicago Board Options Exchange (via FRED) [VIXCLS] |
Inflation / Energyscore 79.6 · 2 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Oil price shock (50) cluster score 97 | WTI crude | 1.25% | 101.91 | 95 | 94 | 1.18 | ↑Deteriorating | LIVE | U.S. Energy Information Administration (via FRED) [DCOILWTICO] |
| Brent crude | 1.25% | 126.55 | 99 | 100 | 1.25 | ↑Deteriorating | LIVE | U.S. Energy Information Administration (via FRED) [DCOILBRENTEU] | |
| Core inflation (50) cluster score 62 | Core CPI inflation, YoY | 1.25% | 2.6% | 45 | 55 | 0.69 | →Stable | LIVE | U.S. Bureau of Labor Statistics (via FRED) [CPILFESL] |
| Core PCE inflation, YoY | 1.25% | 3.0% | 58 | 69 | 0.86 | →Stable | RECENT | U.S. Bureau of Economic Analysis (via FRED) [PCEPILFE] |
Inflation Stress: 62.7
Coverage 100% · Freshness 95%Pressure from realised inflation, market and survey expectations, wages and energy, relative to the 2% target.
| Category | Nominal weight | Effective weight | Category score | Points | Signal |
|---|---|---|---|---|---|
| Actual inflation | 40% | 40.0% | 67.3 | 26.9 | Watch |
| Market expectations | 20% | 20.0% | 47.8 | 9.6 | Normal |
| Survey expectations | 15% | 15.0% | 75.0 | 11.3 | Elevated |
| Wages | 10% | 10.0% | 28.5 | 2.8 | Normal |
| Energy | 15% | 15.0% | 81.1 | 12.2 | Elevated |
| Total | 100% | 100% | 62.7 |
Actual inflationscore 67.3 · 2 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Core (CPI, PCE) (60) cluster score 62 | Core CPI inflation, YoY | 12.00% | 2.6% | 45 | 55 | 6.62 | →Stable | LIVE | U.S. Bureau of Labor Statistics (via FRED) [CPILFESL] |
| Core PCE inflation, YoY | 12.00% | 3.0% | 58 | 69 | 8.28 | →Stable | RECENT | U.S. Bureau of Economic Analysis (via FRED) [PCEPILFE] | |
| Headline (CPI, PCE) (40) cluster score 75 | CPI inflation, YoY | 8.00% | 3.7% | 67 | 77 | 6.17 | →Stable | LIVE | U.S. Bureau of Labor Statistics (via FRED) [CPIAUCSL] |
| PCE inflation, YoY | 8.00% | 3.4% | 64 | 73 | 5.84 | ↓Improving | RECENT | U.S. Bureau of Economic Analysis (via FRED) [PCEPI] |
Market expectationsscore 47.8 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Breakevens (100) cluster score 48 | 5Y breakeven inflation | 10.00% | 2.37% | 76 | 48 | 4.83 | ↑Deteriorating | LIVE | Federal Reserve Bank of St. Louis (via FRED) [T5YIE] |
| 10Y breakeven inflation | 10.00% | 2.35% | 72 | 47 | 4.72 | ↑Deteriorating | LIVE | Federal Reserve Bank of St. Louis (via FRED) [T10YIE] |
Survey expectationsscore 75.0 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| UMich 1Y (100) cluster score 75 | UMich 1Y inflation expectations | 15.00% | 4.0% | 78 | 75 | 11.25 | ↓Improving | RECENT | University of Michigan (via FRED) [MICH] |
Wagesscore 28.5 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| AHE YoY (100) cluster score 28 | Average hourly earnings, YoY | 10.00% | 3.0% | 51 | 28 | 2.85 | ↓Improving | LIVE | U.S. Bureau of Labor Statistics (via FRED) [CES0500000003] |
Energyscore 81.1 · 2 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Oil (70) cluster score 97 | WTI crude | 5.25% | 101.91 | 95 | 94 | 4.95 | ↑Deteriorating | LIVE | U.S. Energy Information Administration (via FRED) [DCOILWTICO] |
| Brent crude | 5.25% | 126.55 | 99 | 100 | 5.25 | ↑Deteriorating | LIVE | U.S. Energy Information Administration (via FRED) [DCOILBRENTEU] | |
| Natural gas (30) cluster score 44 | Henry Hub natural gas | 4.50% | 3.22 | 51 | 44 | 1.97 | ↑Deteriorating | LIVE | U.S. Energy Information Administration (via FRED) [DHHNGSP] |
Financial Market Stress: 51.8
Coverage 100% · Freshness 99%Stress priced in credit, volatility, equities, rates and the dollar, plus the Chicago Fed's broad conditions index.
| Category | Nominal weight | Effective weight | Category score | Points | Signal |
|---|---|---|---|---|---|
| Credit spreads | 35% | 35.0% | 60.9 | 21.3 | Watch |
| Financial conditions | 20% | 20.0% | 39.5 | 7.9 | Normal |
| Equity volatility | 15% | 15.0% | 42.7 | 6.4 | Normal |
| Equity drawdowns | 15% | 15.0% | 46.2 | 6.9 | Normal |
| Rates / term premium | 10% | 10.0% | 69.2 | 6.9 | Watch |
| Dollar | 5% | 5.0% | 45.5 | 2.3 | Normal |
| Total | 100% | 100% | 51.8 |
Credit spreadsscore 60.9 · 2 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| High yield (60) cluster score 79 | US High Yield OAS | 7.00% | 3.23% | 75 | 75 | 5.24 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A0HYM2] |
| CCC & lower OAS | 7.00% | 12.78% | 100 | 100 | 6.99 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A3HYC] | |
| HY OAS rate of widening (3M) | 7.00% | 52 bps | 93 | 64 | 4.44 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLH0A0HYM2] | |
| Investment grade (40) cluster score 33 | Investment Grade OAS | 4.67% | 0.84% | 49 | 49 | 2.29 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLC0A0CM] |
| BBB corporate OAS | 4.67% | 1.05% | 48 | 48 | 2.26 | ↑Deteriorating | LIVE | ICE Data Indices, LLC (via FRED) [BAMLC0A4CBBB] | |
| Baa – 10Y Treasury spread | 4.67% | 1.44% | 2 | 2 | 0.10 | ↓Improving | LIVE | Moody's (via FRED) [BAA10Y] |
Financial conditionsscore 39.5 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| NFCI (100) cluster score 40 | Chicago Fed NFCI | 10.00% | -0.50 | 39 | 39 | 3.91 | →Stable | LIVE | Federal Reserve Bank of Chicago (via FRED) [NFCI] |
| Chicago Fed Adjusted NFCI | 10.00% | -0.49 | 40 | 40 | 4.00 | ↑Deteriorating | LIVE | Federal Reserve Bank of Chicago (via FRED) [ANFCI] |
Equity volatilityscore 42.7 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| VIX (100) cluster score 43 | VIX | 15.00% | 16.5 | 43 | 43 | 6.40 | →Stable | LIVE | Chicago Board Options Exchange (via FRED) [VIXCLS] |
Equity drawdownsscore 46.2 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Drawdowns (100) cluster score 46 | S&P 500 | 5.00% | 7,659 | 98 | 20 | 1.02 | →Stable | LIVE | S&P Dow Jones Indices (via FRED) [SP500] |
| Nasdaq 100 | 5.00% | 29,936 | 100 | 41 | 2.06 | ↓Improving | LIVE | Nasdaq (via FRED) [NASDAQ100] | |
| Russell 2000 (IWM proxy) | 5.00% | 270 | 97 | 77 | 3.85 | ↑Deteriorating | LIVE | Twelve Data (market data API) [IWM] |
Rates / term premiumscore 69.2 · 2 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Term premium (50) cluster score 66 | 10Y term premium (Kim-Wright) | 5.00% | 1.07% | 66 | 66 | 3.28 | ↑Deteriorating | RECENT | Board of Governors of the Federal Reserve System (via FRED) [THREEFYTP10] |
| Rates volatility (50) cluster score 73 | 10Y yield: absolute 3M move (rates volatility proxy) | 5.00% | 53 bps | 73 | 73 | 3.64 | ↑Deteriorating | LIVE | Board of Governors of the Federal Reserve System (via FRED) [DGS10] |
Dollarscore 45.5 · 1 clusters · coverage 100%
| Cluster (weight) | Indicator | Weight in score | Current reading | Hist. pctl | Stress | Contribution | Direction | Status | Source |
|---|---|---|---|---|---|---|---|---|---|
| Dollar (100) cluster score 46 | Broad US dollar index | 5.00% | 121.6 | 91 | 46 | 2.28 | →Stable | RECENT | Board of Governors of the Federal Reserve System (via FRED) [DTWEXBGS] |
Regime classification rules
All rules are evaluated every time; the highest-priority matching rule sets the regime (priority: recession stress → stagflationary → deflationary → financial → inflationary overheating → growth slowdown → late-cycle → expansion). Qualifiers are appended when Inflation ≥ 50, Financial ≥ 50 or long-end pressure ≥ 70. Current: GROWTH SLOWDOWN / INFLATION PRESSURE / FINANCIAL STRAIN.
| Regime | Condition | Matched | Evidence |
|---|---|---|---|
| Financial stress | Financial Market Stress >= 65 | No | Financial stress 52 · Credit category 50 |
| Recession stress | Recession Stress >= 60 AND (labour >= 60 OR credit >= 60) AND >= 4 of 7 confluence categories at Watch or worse | No | Recession stress 50 · Labour 42 · Credit 50 · 4/7 categories stressed |
| Stagflationary stress | Inflation Stress >= 60 AND Recession Stress >= 50 | No | Inflation stress 63 · Recession stress 50 |
| Deflationary stress | Recession Stress >= 55 AND Inflation Stress <= 25 | No | Recession stress 50 · Inflation stress 63 · Breakeven stress 48 |
| Inflationary overheating | Inflation Stress >= 60 AND Recession Stress < 40 AND labour < 50 | No | Inflation stress 63 · Recession stress 50 · Labour 42 |
| Growth slowdown | Recession Stress >= 45 (without meeting the recession-stress confirmation rule) | Yes | Recession stress 50 · Activity 24 · Labour 42 |
| Late-cycle | Recession Stress 30-45 AND (curve >= 50 OR inflation >= 45 OR credit >= 50) | No | Recession stress 50 · Curve 51 · Inflation 63 · Credit 50 |
| Expansion | Recession Stress < 45 AND Financial < 50 AND Inflation < 60 | No | Recession 50 · Financial 52 · Inflation 63 |
Correlation check (recession-score indicators, monthly stress metrics, last 15 years)
Average correlation within clusters: 0.66 · across clusters: 0.13. Highly correlated pairs in different clusters are listed so the clustering can be reviewed; they are candidates for merging if the relationship is structural.
Across clusters, |ρ| ≥ 0.8
| Pair | ρ | Months |
|---|---|---|
| US High Yield OAS × BBB corporate OAS | 0.95 | 36 |
| Sahm Rule indicator × Continuing claims | 0.95 | 180 |
| US High Yield OAS × Investment Grade OAS | 0.94 | 36 |
| Investment Grade OAS × Chicago Fed Adjusted NFCI | 0.91 | 36 |
| Investment Grade OAS × Chicago Fed NFCI | 0.91 | 36 |
| BBB corporate OAS × Chicago Fed NFCI | 0.91 | 36 |
| BBB corporate OAS × Chicago Fed Adjusted NFCI | 0.91 | 36 |
| US High Yield OAS × Chicago Fed Adjusted NFCI | 0.88 | 36 |
| Unemployment rate × Industrial production, YoY | 0.85 | 180 |
| 10Y–3M spread × 10Y–3M deepest inversion (trailing 24M) | 0.84 | 180 |
Strongest within-cluster pairs (pooled)
| Pair | ρ | Months |
|---|---|---|
| Investment Grade OAS × BBB corporate OAS | 1.00 | 36 |
| UMich consumer sentiment × Consumer confidence (OECD, US) | 0.99 | 150 |
| Core CPI inflation, YoY × Core PCE inflation, YoY | 0.97 | 180 |
| WTI crude × Brent crude | 0.97 | 180 |
| Chicago Fed NFCI × Chicago Fed Adjusted NFCI | 0.97 | 180 |
| Real GDP growth (q/q SAAR) × Atlanta Fed GDPNow | 0.97 | 177 |
| Credit-card delinquency rate × Consumer loan delinquency rate | 0.96 | 177 |
| S&P 500 × Nasdaq 100 | 0.92 | 120 |
| 10Y–2Y spread × 10Y–3M spread | 0.91 | 180 |
| S&P 500 × Russell 2000 (IWM proxy) | 0.87 | 120 |
Limitations
- Scores describe resemblance to historical stress conditions. They are not probabilities and have no guaranteed predictive power.
- Weights are judgement-based and were not fitted to past recessions (to avoid overfitting a sample of ~8 events).
- Percentiles depend on the available history, which differs by series (FRED carries only ~3 years of ICE credit spreads and ~10 years of the S&P 500).
- Several important series are proprietary (ISM, Conference Board, Goldman Sachs FCI, forward P/E) and are shown as unavailable unless licensed data are loaded.
- Data are revised after release; historical scores use today's vintages.