Risk Regime Scorecard

As-of 2026-09-25 16:52 PDT · market data 2026-09-25
Refresh: bbg_fast · Prices: Yahoo/FRED (forced) · Overlays: BBG 2026-09-25 · ran 2026-09-25 16:52 PDT

Traffic lights

3 red · 2 amber · 1 green — aligns with Risk-off
Liquidity
Bearish
Credit
Bearish
Volatility
Rising tint
Growth
Stable / Improving (mixed)
Breadth
Narrow
Positioning / Sentiment
Neutral

Display-only summary: Liquidity/Credit/Volatility vote; Growth/Breadth/Positioning/Sentiment are context. Scoring unchanged.

  • Liquidity — voting leg (UUP vs 200DMA): bullish→green, neutral→amber, bearish→red.
  • Credit — voting leg (HYG >200DMA AND 21d ROC>0): same bullish/neutral/bearish color map.
  • Volatility — VIX level + 21d ROC sets base color; hard VIX veto→red; MOVE Rising may only tint green→amber; MOVE Falling may tint amber→green if VIX not bearish; MOVE does not vote.
  • Growth — US GDP Δ4W (improving ≥+0.2pp / softening ≤−0.2pp) + SPX earnings (supportive if Δgrowth≥0.5pp or NTM/TTM≥10% and not contracting; deteriorating if contracting or Δgrowth≤-0.5) + Style lean; green when GDP improving, earnings supportive, Style ≠ Defensive; Defensive+soft→red; curve not folded in.
  • Breadth — % of S&P above 200DMA (Broad/Mixed/Narrow); A/D Divergence / Broken uptrend / Downtrend can worsen amber→red.
  • Positioning / Sentiment — NAAIM 3Y %ile (crowded ≥80 / washed ≤20) + sentiment composite + GS HF VIP vs Most Short; plain HF Risk-off alone→amber mid-pack; red if HF Risk-off confirmed by crowded NAAIM or bearish sentiment, or HF squeeze/spec risk-off, or both NAAIM and sentiment cautionary.
Current regime
Risk-off
Tactical Equity %
55%
Core
50%
Overlay
+5%
Equity %
55%

NAAIM 0 (Neutral (35th %ile)) · Style +2.5 (Offensive growth) · US GDP Δ4W +2.5 (Improving +0.9pp)

Method. Core equities % = round_2.5(60 + 15×4W weighted score), clamp [45,75]. Overlay = equal ±2.5% nudges from NAAIM (3Y %ile ≤20 → Contrarian Long / ≥80 → Contrarian Short), Style (Offensive growth +2.5 / Defensive −2.5; Cyclical value & Mixed = 0), and US GDP nowcast Δ4W (≥+0.2pp Improving / ≤−0.2pp Softening), then cap ±5%. Final = round_2.5(clamp(Core + Overlay, 45, 75)). Hard VIX veto → 45% and ignores Overlay. Regime chip uses Core only.

Core Macro Indicators

Vote = 200DMA rules (Liq 40% / Cred 35% / Vol 25%) · 100DMA column is context only

LegCallLevel vs 200DMA21d vs 100DMA (ctx)
Liquidity / USD bearish UUP 28.62 +3.35% +2.14% +1.81%
Credit bearish HYG 77.86 -0.48% -2.02% -1.11%
Volatility bullish VIX 14.9 * -2.24% —

Weighted leg_score = 0.40·liq + 0.35·cred + 0.25·vol → -0.50 (raw on ≥+0.40 / off ≤−0.40; hard VIX veto → risk_off)

UUP/HYG vs 100DMA is display context only — does not vote. LQD/MOVE/10Y remain context.

* Volatility has no 200DMA. VIX level subscore: <15 → +1 (bullish), 15–20 → 0 (neutral), ≥20 → −1 (bearish). Combined with the 21d ROC subscore (≤−10% → +1, ≥+15% → −1) to form the Call.

US Yield Curve

FRED 2s10s + MOVE · as-of 2026-09-24 (yields) / 2026-09-25 (MOVE) · (context only)

SeriesLevel3Y %ile 1M3MRead
2s10s (10Y − 2Y)31 bps48-16 bps-0 bpsFlattening
MOVE (bond vol)96.057+26.6+29.2Rising

Read (2s10s): level Inverted if <0; else Steepening/Flattening from 1M Δ (±15 bps); else Normal — 3M is display only for 2s10s. MOVE Read: primarily 1M (±10 pts); 3M can trigger if |3M| ≥ 10 and 1M confirms direction (1M ≥ 0 for Rising / ≤ 0 for Falling); else Stable. Context only — not a voting leg. Sources: FRED DGS2/DGS10 · Yahoo ^MOVE. 3Y %ile = level percentile over 3Y; 2s10s Δ in bps, MOVE in index points.

Rolling Correlations

Windows: 5d (1W) / 21d (1M) / 63d (3M) · as-of 2026-09-25

Pair1W1M3MRead
SPY vs UUP (DXY)-0.27-0.38-0.31Risk-off
SPY vs TLT (long Treasuries)+0.89+0.61+0.43Risk-off
SPY vs crude oil (WTI)-0.50-0.51-0.55Risk-off
Bitcoin vs UUP (DXY)+0.09-0.27-0.34—
Gold vs UUP (DXY)-0.99-0.56-0.50—
Crude oil vs UUP (DXY)-0.22-0.18-0.00—

Spot moves

Series1W1M3M
UUP (DXY)+0.81%+2.14%+0.56%
10Y yield (^TNX)+19 bps+52 bps+81 bps
Crude oil (WTI)-7.84%+12.42%+33.53%
Bitcoin (BTC-USD)+3.92%+6.38%+40.08%
Gold (GC=F)-2.36%-7.15%+5.47%

Read uses 1M corr (|r| ≥ 0.15; 3M fallback if 1M missing). 1W is display only. SPY pairs keep Risk-on/off Reads; Bitcoin/Gold/Crude vs UUP are numbers-only (Read —). Rolling corr is noisy (esp. 1W); context only — not a regime leg.

Breadth

Now: 42.6% above 200DMA · coverage 462/503 names · Reads: Broad / Narrow / Mixed (participation & size; context only)

Measure1W1M3MRead
% above 200DMA (Δ pp)-8.1-28.8-19.2Narrow
IWM (small) vs SPY (large)-2.02%-6.37%-11.78%Narrow
MeasureLevelvs 50DMAvs 200DMA1M3MRead
S&P 500 A/D line (TRADCADS Index) 102,450 -0.91% -0.23% -1.24% -0.68% Divergence

Changes are percentage points. Read uses level and primarily 1M Δ (conflicts = Mixed); thresholds ≥55% / ≤45%. 42.6% SPX above 200DMA → Read Narrow (level ≥55% or 1M Δ ≥+5 pp = Broad; level ≤45% or 1M Δ ≤−5 pp = Narrow; conflicts = Mixed); RSP/SPY 21d -5.53%, 63d -5.32% · computed from 503 S&P constituents (portfolio OHLCV cache); n_valid=462 n_missing=41

A/D Read: Uptrend if line > 50DMA and 50DMA > 200DMA; Broken uptrend if line < 50DMA while 50DMA still > 200DMA; Downtrend if line < 50DMA and 50DMA < 200DMA; Divergence if SPX within ~3% of 52-week high while A/D is below its 50DMA (and/or 1M change negative). Context only — not a vote. Source: TRADCADS Index · as-of 2026-09-25.

Style rotation

Overall (1M): Offensive growth · soft lean: Risk-on lean · taxonomy: Offensive growth / Cyclical value / Defensive / Mixed (context only)

Pair1W1M3MRead
MTUM (momentum) vs VLUE (value)+1.98%+4.61%-3.28%Momentum
IVW (S&P growth) vs IVE (S&P value)+2.18%+5.52%+5.33%Growth
USMV (min-vol / defensive) vs SPY (market)-1.32%-3.78%-3.29%Offensive

Hedge Fund Positioning

Overall (1M): Risk-off · GS VIP / Most Short · as-of 2026-09-25 · (context only)

Basket1W1M3MRead
GS HF VIP+1.63%-0.27%-7.72%—
GS Most Short Rolling-1.99%-8.19%-8.83%—
VIP vs Most Short+3.62%+7.92%+1.11%Risk-off

Context only — not a voting leg. GS HF VIP (GSTHHVIP) vs Most Short Rolling (GSCBMSAL). Pair = VIP return − Most Short return. Reads from GS basket signals (absolute + spread). Overlay for crowding; combine with Positioning / Style / breadth.

Earnings and Real GDP Growth

NTM EPS · 50/50 Weighted+NTM revision · Growth = NTM/TTM · real GDP nowcasts · as-of 2026-09-30 · (context only)

IndexNTM EPSBlended 4W revBlended 3M revGrowth (NTM/TTM)Growth 4W agoΔ (pp)Read
S&P 500417.2+0.67%+5.62%+27.1%+26.0%+1.1Stable
S&P/TSX2293.5+0.41%-1.42%+18.6%+18.0%+0.6Stable
MSCI World282.8+0.94%+5.23%+23.7%+22.2%+1.5Stable

Real GDP nowcasts

RegionNowcast4W agoΔ (pp)Read
US2.4%1.5%+0.9Improving
China4.1%3.7%+0.5Improving
Euro Area0.5%0.4%+0.1Stable

Context only — not a voting leg. Revision Read = mean of available 4W/3M % changes in Bloomberg Weighted Est and Next Year EPS (50/50 when both exist). NTM EPS level = Next Year estimate. Growth = NTM EPS / TTM EPS − 1. Nowcasts = Bloomberg Economics GDP nowcasts (US/China/Euro Area); always use the last non-null datapoint in each country column (may be dated past today). EA = Bloomberg Euro Area GDP nowcast (BENWEAGQ).

Positioning

Non-commercial / leveraged net · 3Y %ile · as-of 2026-09-25 · (context only)

AssetNetNet 4W ago3Y %ileRead
Equities (ES)-133,228-67,99432.2Neutral
Nasdaq (NQ)56,41312,02898.4Contrarian Short
Small-cap (RTY)-75,563-51,8794.8Contrarian Long
Rates (10Y)-811,752-838,97544.9Neutral
USD10,33018,68269.1Neutral
Crude141,106123,44928.3Neutral
Gold217,747242,21250.6Neutral

Read from 3Y %ile (80/20): excess long → Contrarian Short, excess short → Contrarian Long; not a vote. Asset-manager nets omitted (noisy scale).

Sentiment

Overall: Neutral · composite %ile 29.3 · as-of 2026-09-25

MeasureLevelLevel 4W ago3Y %ileRead
AAII bulls32.7%32.9%23.2Neutral
NAAIM exposure79.779.735.4Neutral

Read from 3Y %ile (80/20): excess long → Contrarian Short, excess short → Contrarian Long; not a vote.

Weekly samples (persistence trail)

Headline = 4W weighted raw · Legacy persist = legacy 3-week confirm — not the headline

DateRaw4W scoreWeightedLegacy persistvol/cred/liqEquities tgtVeto
2026-09-25Risk-off-0.60Risk-offMixed-1/-1/150.0%—
2026-09-21Mixed-0.30MixedMixed-1/0/155.0%—
2026-09-14Risk-off-0.40Risk-offMixed-1/0/-155.0%—
2026-09-04Mixed+0.00MixedMixed-1/1/160.0%—
2026-08-28Mixed+0.00MixedMixed-1/1/160.0%—
2026-08-21Mixed-0.10MixedMixed-1/1/157.5%—
2026-08-14Mixed-0.30MixedRisk-off-1/1/155.0%—
2026-08-07Mixed-0.60Risk-offRisk-off-1/1/150.0%—

1M regime log

22 trading days (2026-08-26 → 2026-09-25) · Risk-on 0 · Mixed 10 · Risk-off 12 · %>200DMA 42.6–71.3% (last 42.6%)

DateRegime (raw)leg_score / legs%>200DMA (context)liq / cred / vol
2026-09-25Risk-offls=-0.50 · 1↑ 2↓42.6%liq:S cred:S vol:B
2026-09-24Risk-offls=-0.75 · 0↑ 2↓42.6%liq:S cred:S vol:N
2026-09-23Risk-offls=-0.75 · 0↑ 2↓47.5%liq:S cred:S vol:N
2026-09-22Mixedls=-0.15 · 1↑ 1↓49.3%liq:S cred:N vol:B
2026-09-21Mixedls=-0.15 · 1↑ 1↓50.1%liq:S cred:N vol:B
2026-09-18Mixedls=-0.15 · 1↑ 1↓49.9%liq:S cred:N vol:B
2026-09-17Risk-offls=-0.40 · 0↑ 1↓50.7%liq:S cred:N vol:N
2026-09-16Risk-offls=-0.65 · 0↑ 2↓50.5%liq:S cred:N vol:S
2026-09-15Risk-offls=-0.65 · 0↑ 2↓53.3%liq:S cred:N vol:S
2026-09-14Risk-offls=-0.65 · 0↑ 2↓56.7%liq:S cred:N vol:S
2026-09-11Risk-offls=-0.40 · 0↑ 1↓56.9%liq:S cred:N vol:N
2026-09-10Risk-offls=-0.65 · 0↑ 2↓55.1%liq:S cred:N vol:S
2026-09-09Risk-offls=-0.40 · 0↑ 1↓57.3%liq:S cred:N vol:N
2026-09-08Risk-offls=-0.40 · 0↑ 1↓61.1%liq:S cred:N vol:N
2026-09-04Mixedls=+0.20 · 2↑ 1↓64.7%liq:S cred:B vol:B
2026-09-03Mixedls=+0.20 · 2↑ 1↓66.9%liq:S cred:B vol:B
2026-09-02Risk-offls=-0.40 · 0↑ 1↓64.9%liq:S cred:N vol:N
2026-09-01Mixedls=-0.05 · 1↑ 1↓63.3%liq:S cred:B vol:N
2026-08-31Mixedls=+0.20 · 2↑ 1↓66.9%liq:S cred:B vol:B
2026-08-28Mixedls=+0.20 · 2↑ 1↓69.7%liq:S cred:B vol:B
2026-08-27Mixedls=+0.20 · 2↑ 1↓70.3%liq:S cred:B vol:B
2026-08-26Mixedls=+0.20 · 2↑ 1↓71.3%liq:S cred:B vol:B

Changes (raw flips)