Completed · March 2026
Macro-PCA Recession Indicator & Institutional Portfolio Engine
A macro regime-detection and tactical allocation engine that compresses high-frequency economic indicators into a lag-aware portfolio signal.
PCAMacro ResearchRegime DetectionPortfolio StrategyPython
Can a latent macro factor identify synchronized slowdowns early enough to improve a realistic institutional allocation process?
APPROACH
01
Standardized more than ten indicators spanning real activity, labor, consumption, and financial stress, then extracted a common PCA factor.
02
Validated regime classifications against historical NBER recessions without look-ahead bias.
03
Mapped signal conviction into binary and continuous equity–Treasury futures overlays.
04
Included publication lags, collateral yield, turnover costs, and excess-return performance measurement.