Complete macro research, and the portfolio that expresses it.
One research desk covering the whole macro picture: from equities and their sectors, bonds and duration, gold and commodities, through growth and inflation, to the credit and fiscal flows that drive all of it. Every piece asks the same question, whether the flows of money that hold prices up are strengthening or failing, so that stability and instability can be seen before they reach prices. All of it comes together in one portfolio, the AlphaShift Core Macro Strategy.
The research
Weekly readings and written analysis across bonds, rates, inflation, growth, credit, commodities and the sectors, with the charts behind every call.
The reading
Stability and instability read through the flows: the government's daily cash flow, bank credit by category, and a clock that tracks each credit-fed boom from forming to breaking.
The book
The AlphaShift Core Macro Strategy: a long-only portfolio across stocks, Treasuries, gold and bills, sector by sector, published monthly as ETF weights.
AlphaShift Core Macro Strategy
A long-only portfolio that reads the credit and fiscal cycles, holds the market while the money that drives it is flowing, and steps aside before the busts that end it.
| Annual return (CAGR) | Volatility | Best year | Worst year | Max drawdown | Sharpe | Sortino | |
|---|---|---|---|---|---|---|---|
| AlphaShift Core · Sharpe | 11.4% | 9.9% | +35.2% | -5.4% | -15% | 0.97 | 1.25 |
| AlphaShift Core · max return | 12.0% | 10.4% | +33.2% | -4.6% | -15% | 0.98 | 1.31 |
| S&P 500 | 10.9% | 17.5% | +36.6% | -39.1% | -54% | 0.58 | 0.73 |
| 60/40 | 8.0% | 10.2% | +22.7% | -18.9% | -31% | 0.64 | 0.81 |
Walk-forward from 2004: the rules were re-chosen every quarter using only data available at the time and traded in ETFs with costs charged. The strategy earned 11.4% a year against the S&P 500's 10.9%, with 57% of the market's volatility and a worst fall of -15% against -54%. Switch to vol matched to see the same lines at equal risk.
| Annual return (CAGR) | Volatility | Best year | Worst year | Max drawdown | Sharpe | Sortino | |
|---|---|---|---|---|---|---|---|
| AlphaShift Core · Sharpe (1.78×) | 18.4% | 17.5% | +64.0% | -10.9% | -27% | 0.95 | 1.23 |
| AlphaShift Core · max return (1.69×) | 18.7% | 17.5% | +56.6% | -9.0% | -26% | 0.97 | 1.29 |
| S&P 500 | 10.9% | 17.5% | +36.6% | -39.1% | -54% | 0.58 | 0.73 |
| 60/40 (1.72×) | 11.8% | 17.5% | +38.7% | -33.1% | -50% | 0.62 | 0.79 |
Walk-forward from 2004: the rules were re-chosen every quarter using only data available at the time and traded in ETFs with costs charged. Every line is scaled so its volatility matches the S&P 500's, so the comparison is return for the same risk. At that setting the strategy earns about 18% a year against the market's 11%, with a worst fall of -27% against -54%. A 60/40 mix scaled the same way earns 12%, which is the point: diversification alone does not buy the protection, the timing does. Switch to as run to see each line at its own volatility.
Written from one perspective: the business cycle is a credit cycle and a fiscal cycle.
Every dollar that bids for a stock, a house or a bond was created somewhere, and in a modern economy there are only two places it can come from at scale: banks create money when they lend, and the government creates it when it spends more than it taxes back. Our research starts there. Instead of forecasting prices, it follows the two flows that put a bid under prices, and asks each week whether they are strengthening or failing.
That question has two halves. Solvency: can borrowers keep paying out of the income the flows provide? Instability: has a boom been fed by so much lending, for so long, that its price now depends on new credit rather than on what the asset earns? Both are visible in the flow data a quarter or more before they show up in spreads or prices, and both are what take markets down hard when they turn together.
Around that core sit the breakage channels: the places where a cycle actually breaks rather than bends. Reserve scarcity and the Fed's repo buffer, the Treasury's cash balance, the volatility market, the concentration of lending in one asset, the dollar. None of them trade the book on their own. Each is read weekly, in plain language, and each sets the policy around the portfolio: when to carry risk, when to hold it, when to take it off.
The cycle
Where fiscal and credit stand, read as impulses against their own recent history, and what that regime has historically meant for stocks, bonds and gold.
The sectors and the sleeves
Growth and inflation readings that decide which equities to hold, how long-dated the bonds should be, and whether gold and commodities have a job.
The breakage channels
The instability clock, financial plumbing, Treasury cash, volatility and the dollar: what is close to a trigger, what it would take, and what the book does if it fires.
The instability clock
A lending-fed boom is stable only while the lending continues, and Minsky's point was that the stability itself is what breeds the fragility. The clock tracks each channel of credit, housing, corporate lending, duration and non-bank lending, through three acts: a boom forming, the point where it starts to come apart, and the window in which it breaks. An aftermath follows each pop until the cycle clears. What moves the clock from one act to the next is the part we keep to ourselves.
The chart shades every week since 1983 by the act the clock was in, over the S&P 500. The pop windows sit at or near the tops of 1987, 2000, 2007 and 2022. What the clock cannot see are the fast shocks that arrive without a credit boom behind them, 1998, 2018 and 2020 among them, which is why the breakage channels around it exist.
While a boom is forming the strategy stays invested, because forming booms pay. As the clock moves into its later acts the strategy steps aside, and in the pop window it is out. Subscribers see the act and the channel every week, and what the portfolio does at each act. The construction behind the clock stays with us.
DeepMinsky: a working model of the economy, run forward from today
The readings say where the cycle is. DeepMinsky is how we ask where it is going. It is a system-dynamics model of the whole economy: households, firms, banks, the government and the rest of the world, each with a balance sheet, linked by the accounting that makes one sector's spending another's income. Banks create money when they lend and the government creates it when it runs a deficit, profits follow the Kalecki identity, and credit builds and breaks the way Minsky described. Nothing in it is a curve fitted to history; the behaviour comes out of the structure.
Each week the model is handed the latest data, output, prices, unemployment, the policy rate, the deficit, bank credit, and run forward. What comes out is a path, with a range, for real growth, inflation, unemployment, rates, and the two flows that matter most to the book: credit creation and fiscal creation. The range is honest about what the model does not know, and it widens the further out it looks.
How the book uses it
The strategy is read twice: on today's readings, and on where the model says those readings are going. A forecast that leans the same way as the data is confirmation; one that leans against it is the early warning. Tested with hindsight, foresight of a few months adds to the strategy; further out it does not, so the lean is kept short and small.
What it is good for
The direction of growth, inflation and the two flows over the next two to four quarters, the shape of a recession once credit turns, and what a fiscal or credit shock does to the rest of the system. Scenarios can be run the same way: a deficit cut, a lending freeze, an oil shock.
What it is not
A price forecast. The model says nothing about the S&P next month. It says where the income and the money that support prices are headed, which is the question the rest of the research is built to answer.