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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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
—- 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
- 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.
Featured Signal
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- Market View
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- Signal Strength
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- Regime
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- Confidence
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- λ
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- Calibration n
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Market Interpretation
Expected Inflation
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Signal Strength
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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
1. Incremental Information Beyond Market Pricing
Forecast-encompassing evidence asks whether the model contributes information conditional on the market benchmark.
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.
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.
4. H12 Transmission Timing
Event-time evidence evaluates whether market adjustment is immediate or accumulates gradually after the Forecast Alpha observation.
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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.
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 |
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Explore the Framework
Alpha
Explore what Forecast Alpha means, when model-market disagreement becomes informative, how the evidence should be evaluated, and how the framework can inform investment decisions.
Ask about Forecast Alpha
Ask naturally. The assistant will recognize whether you want an explanation, an evaluation of the evidence, or a practical interpretation—there is no mode to select.
Understand
Evaluate
Apply
The assistant explains and evaluates the Forecast Alpha framework using the governed research record.
It can discuss investment relevance, but it does not provide personalized investment advice.
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
- Start with the Dashboard. Review the Forecast Alpha term structure, raw model-market disagreement, recursive λ calibration, 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 the empirical evidence to assess incremental information, calibration, regime dependence, and subsequent market transmission.
- Apply judgment. Treat Forecast Alpha as a research input, not an automated investment instruction.
5. Interpretation Guide
| Forecast Alpha | Market Interpretation |
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| 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 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.