FA
Forecast AlphaResearch Terminal

Daily Inflation Risk Monitor

Is the market pricing inflation risk appropriately?

Forecast Alpha compares the governed model outlook with contemporaneous market pricing and determines whether the current disagreement is historically unusual enough to warrant portfolio attention.

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Inflation Risk Pricing —

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PM Status — Portfolio review status, not a trade instruction.
Activation Percentile — Historical extremity of the joint cross-horizon signal
Joint FA Score — Signed cross-horizon percentile score
Signal Breadth — —
FA Term Structure — Shape of calibrated Forecast Alpha across horizons
Current State — —

Featured Signal

—3M calibrated Forecast Alpha
Signal Readout

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Model vs Market

Model Core PCE
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5Y Breakeven Benchmark (T5YIE)
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Raw Model-Market Gap
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T5YIE is the contemporaneous market-pricing benchmark. It is not a horizon-matched Core PCE forecast.

Inflation Momentum

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Recent 3M Realized
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H1 Forward Pace
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H3 Forward Pace
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H6 Forward Pace
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State Context

Current State
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Classification Confidence
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1M Transition Risk
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Portfolio Review

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Forecast Driver Contributions

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

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Confidence
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Duration
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Entered
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Transition Risk
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Regime Characteristics

Inflation
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Activity
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Labor Tightness
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Policy / Financial Restraint
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Pricing Pressure / Expectations
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Forecast Alpha State Profile

Mean |Forecast Alpha| — H1
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Mean |Forecast Alpha| — H12
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Mean Core PCE
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Observations
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Regime Transition Outlook

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Regime History Timeline

Historical Regime Statistics

Average Duration
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Current Duration Percentile
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Longest Run
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Historical Occurrences
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Portfolio translation

Forecast Alpha signals

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

Market Interpretation

Expected Inflation —
Signal Strength —
Investment Readout —
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Signal Evolution

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

Historical Percentile
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Regime Percentile
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Tail Probability
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Classification
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Cross-Horizon Signal Structure

Strongest Horizon
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Peak Forecast Alpha
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Signal Shape
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Breadth
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Empirical Validation

Track Record

Evidence on whether Forecast Alpha contains information beyond market pricing, whether its magnitude varies across macroeconomic states, and whether it is followed by subsequent breakeven repricing.

Forecast Alpha History

Spread vs Calibrated Alpha

Incremental Information — Conditional on market pricing
Regime Dependence — Calibrated Forecast Alpha
H12 Market Transmission — Horizon-matched repricing
Research Archive — Governed historical observations

1. Incremental Information Beyond Market Pricing

Forecast-encompassing evidence asks whether the model contributes information conditional on the market benchmark.

Horizon Model Coefficient Model p-value Incremental Adj. R² Interpretation

2. Regime Dependence of Forecast Alpha

The central regime test evaluates whether the magnitude of calibrated Forecast Alpha differs across the governed K4 states. Alpha Share is retained only as a secondary diagnostic.

Horizon |Forecast Alpha| p-value Alpha Share p-value Interpretation

3. Subsequent Market Transmission

Directional evidence tests whether subsequent T5YIE repricing tends to align with the sign of Forecast Alpha. H12 currently provides the strongest governed evidence.

Horizon Directional Hit Rate Mean Aligned Repricing Hit p-value Repricing p-value

4. H12 Transmission Timing

Event-time evidence evaluates whether market adjustment is immediate or accumulates gradually after the Forecast Alpha observation.

Window Mean Aligned Repricing Directional Hit Rate Repricing p-value Holm-adjusted p-value
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5. Descriptive Signal History

Recursive calibration and decomposition statistics are descriptive context rather than the primary empirical test of the framework.

Horizon Mean λ Mean |Raw FA| Mean |Calibrated FA| Alpha Share

Recent Research Archive

Latest 24 observations from the governed historical Forecast Alpha archive, including model forecasts, market benchmarks, regimes, and recursive calibration.

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 recursively calibrated model-market disagreement relative to the inflation outlook embedded in market pricing. 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. The governed K4 regime layer is used as a conditioning framework rather than as a separate forecasting model. Forecast Alpha information content and subsequent market transmission may differ across macroeconomic states.

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

  1. Start with the Dashboard. Review the Forecast Alpha term structure, raw model-market disagreement, recursive λ calibration, and forecast drivers.
  2. Check the Regime tab. Confirm the active macro regime, confidence, duration, and transition outlook.
  3. Use the Signals tab. Evaluate signal strength, evolution, extremity, and cross-horizon structure.
  4. Review Track Record. Use the empirical evidence to assess incremental information, calibration, regime dependence, and subsequent market transmission.
  5. Apply judgment. Treat Forecast Alpha as a research input, not an automated investment instruction.

5. Interpretation Guide

Forecast Alpha Market Interpretation
Large PositiveInflation may be underpriced by the market.
Small PositiveMild upside inflation risk relative to market pricing.
Near ZeroModel and market expectations are broadly aligned.
Small NegativeMild downside inflation risk relative to market pricing.
Large NegativeInflation 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 V2.0.0

Version: V2.0.0
Published: August 2026

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