Research → Systematic Macro

SYSTEMATIC MACRO

Regime-Sensitive Model Design for Macro Portfolios

Blackmark Dominion Research Inc. · January 30, 2026 · 22 min read

Abstract

The core challenge in systematic macro is that the relationship between signals and returns is not stationary. A signal that works well in a risk-on environment may perform poorly during a liquidity crisis.

Four Macro Regimes

  • Growth expansion — rising PMIs, steep yield curve, tightening credit spreads
  • Late cycle — elevated valuations, flattening curve, rising wage pressures
  • Stress/dislocation — widening spreads, elevated vol, risk-off correlations
  • Recovery — improving data from trough, curve steepening, vol normalization

    • Results

    Regime-conditional models show a 0.3–0.5 improvement in Sharpe ratio compared to regime-agnostic counterparts, with the largest benefits in drawdown reduction during stress periods.

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