Forecast Alpha Dashboard

Forecast Alpha term structure

Current calibrated Forecast Alpha across the 1M, 3M, 6M, and 12M horizons. The 3M horizon is emphasized as the featured signal.

Featured Signal

—3M calibrated Forecast Alpha

Signal Readout

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Forecast Summary

Model Core PCE: —
Market Benchmark: —
Forecast Spread: —

Positioning Guidance

Signal —

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Current Regime —

Regime Confidence —

Expected Inflation —

Regime Normal Range —

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Forecast Driver Contributions

Forecast Alpha History

Spread vs Calibrated Alpha

TV-HMM Layer

Regime classification

The regime layer summarizes the current macroeconomic state and how Forecast Alpha has historically behaved in similar environments.

Current Regime

S—

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Confidence: —
Duration: —
Entered: —
Transition Risk: —

Regime Characteristics

Inflation: —
Growth: —
Labor Market: —
Financial Conditions: —
Commodity Pressure: —

Forecast Alpha in This Regime

Alpha Share: —
Hit Rate: —
Information Ratio: —
Observations: —

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Regime Transition Outlook

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Regime History Timeline

Historical Regime Statistics

Average Duration: —
Current Duration Percentile: —
Longest Run: —
Historical Occurrences: —

Portfolio translation

Forecast Alpha signals

Signal diagnostics translate Forecast Alpha into market-relative inflation views across horizons.

Featured Signal

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Market View: —
Signal Strength: —
Regime: —
Confidence: —
λ: —
Calibration n: —

Market Interpretation

Expected Inflation —

Signal Strength —

Investment Readout —

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Signal Evolution

Current Signal: —
1 Month Ago: —
3 Months Ago: —
6 Months Ago: —
Direction: —
Change Since 3M Ago: —

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Signal Extremity

Historical Percentile: —
Regime Percentile: —
Tail Probability: —
Classification: —

Cross-Horizon Signal Structure

Strongest Horizon: —
Peak Forecast Alpha: —
Signal Shape: —
Breadth: —

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Empirical Validation

Track Record

Historical evidence on Forecast Alpha reliability, horizon dependence, regime dependence, and forecast archive observations.

Ex Post IR 0.59 Preferred 5Y implementation

Hit Rate 60.5% Preferred 5Y implementation

Alpha Share 73.8% 3M decomposition evidence

Observations — Forecast archive records

Performance by Horizon

Forecastability varies across horizons. Tactical horizons show the strongest decomposition evidence.

Horizon	Alpha Share	Mean \|Alpha\|	Mean \|Residual\|	Interpretation
1M	84.7%	0.538	0.098	Alpha-dominant
3M	73.8%	0.563	0.200	Alpha-dominant
6M	67.0%	0.597	0.294	Alpha-dominant
12M	55.5%	0.596	0.479	More balanced

Performance by Regime

Forecast Alpha monetization is state-varying but not state-exclusive.

Regime	Mean Net PnL	Ex Post IR	Hit Rate	Interpretation
S0	5.40 bp	0.871	53.8%	Strong risk-adjusted performance
S1	6.14 bp	0.778	63.0%	Strong positive-alpha regime
S2	1.52 bp	0.195	64.4%	Positive but weaker efficiency

Forecast Archive

Audit trail of historical Forecast Alpha observations, model forecasts, market benchmarks, regimes, and realized evaluation fields.

Date	Model	Market	Horizon	Forecast Alpha	Regime	λ	n

Research Framework

Methodology

How the Forecast Alpha Research Terminal converts inflation forecasts, market benchmarks, and regime information into market-relative inflation signals.

1. Forecast Alpha Framework

Model Inflation Forecast

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Market Benchmark

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Raw Forecast Spread

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Calibrated Forecast Alpha

Forecast Alpha measures the calibrated difference between model-implied inflation and market-implied inflation. A positive value indicates that the model expects inflation above market pricing. A negative value indicates that the model expects inflation below market pricing.

2. Regime Classification

Macro Data

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TV-HMM

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Regime State

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Regime-Aware Interpretation

The regime engine classifies the current macroeconomic environment using a time-varying Hidden Markov Model. Regime context matters because Forecast Alpha may behave differently across inflation persistence, disinflation, shock, and neutral environments.

3. Signal Construction

Positive Forecast AlphaInflation above market pricing

Near Zero Forecast AlphaModel and market broadly aligned

Negative Forecast AlphaInflation below market pricing

Signals are evaluated across multiple horizons: 1M, 3M, 6M, and 12M. The platform considers both the selected horizon and the cross-horizon signal structure to determine whether model-market disagreement is isolated or broad-based.

4. How to Use the Platform

Start with the Dashboard. Review the featured signal, forecast spread, positioning guidance, and forecast drivers.
Check the Regime tab. Confirm the active macro regime, confidence, duration, and transition outlook.
Use the Signals tab. Evaluate signal strength, evolution, extremity, and cross-horizon structure.
Review Track Record. Use historical evidence to judge signal reliability and calibration quality.
Apply judgment. Treat Forecast Alpha as a research input, not an automated investment instruction.

5. Interpretation Guide

Forecast Alpha	Market Interpretation
Large Positive	Inflation may be underpriced by the market.
Small Positive	Mild upside inflation risk relative to market pricing.
Near Zero	Model and market expectations are broadly aligned.
Small Negative	Mild downside inflation risk relative to market pricing.
Large Negative	Inflation may be overpriced by the market.

6. Important Limitations

Forecast Alpha is a measure of model-market disagreement. It is not a guarantee of future inflation outcomes, breakeven returns, or portfolio performance. Signals should be evaluated alongside regime context, historical reliability, portfolio objectives, liquidity conditions, and independent investment judgment.

7. Working Paper

The complete Forecast Alpha methodology, empirical framework, validation results, and research findings are documented in the current working paper.

Download Forecast Alpha Working Paper V1.0.0

Version: V1.0.0
Published: June 2026

This document is distributed for review and discussion. Results and conclusions may be revised as additional feedback is incorporated.