Based on current macro regime conditions and convex net liquidity index's historical behaviour in similar regimes, the model projects 5,975,124.89 by 2026-12-31 ( +1.5% from 5,889,271 today). The 68% confidence range is 5,399,124.03 to 6,551,125.75; the wider 95% range is 4,846,163.2 to 7,104,086.57. Methodology below the headline.
Convex Net Liquidity Index Forecast 2026
Quantitative analysis from 3,770 observations of Convex Net Liquidity Index history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Regime Scan[01/04]
Δ = divergence from +3.8% unconditional all-history average
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 349 | -1.86% | 9.09% | -0.20 | 34.8% | -1.86% |
| 3Y | 1,079 | -1.18% | 11.02% | -0.11 | 35.3% | -3.49% |
| 5Y | 1,810 | -2.61% | 12.30% | -0.21 | 33.6% | -12.40% |
| 10Y | 3,636 | 3.58% | 12.39% | 0.29 | 34.0% | 42.19% |
| All | 3,770 | 3.81% | 12.39% | 0.31 | 34.1% | 47.36% |
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Forward Returns by Macro Regime[04]
How Convex Net Liquidity Index has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 938 | -0.12% | 0.86% | 3.36% | -0.36% | 48.3% |
| Normal (15-25) | 1,299 | 0.16% | 0.76% | 2.23% | -0.98% | 43.9% |
| Elevated (25-40) | 342 | 0.66% | 0.98% | 4.90% | 1.64% | 56.4% |
| Extreme (>40) | 39 | 16.57% | 16.18% | 19.74% | 19.40% | 89.7% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 544 | -0.09% | -0.12% | 0.60% | 0.60% | 55.9% |
| Flat (0-100bps) | 1,610 | 0.30% | 1.23% | 5.31% | -1.66% | 43.8% |
| Steep (>100bps) | 422 | 1.30% | 2.08% | -0.02% | 0.57% | 52.6% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 945 | -0.14% | -0.47% | -3.67% | -4.56% | 25.1% |
| Normal (350-500bps) | 1,318 | 0.45% | 2.21% | 6.63% | 1.47% | 57.8% |
| Stressed (>500bps) | 430 | 1.39% | 0.97% | 5.88% | 1.79% | 59.8% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 160 | 1.44% | 6.97% | 8.92% | 4.39% | 72.3% |
| Neutral (middle) | 559 | 0.10% | -1.07% | -4.21% | -6.48% | 19.1% |
| Strong (top tercile) | 1,849 | 0.37% | 1.27% | 4.72% | 0.56% | 53.3% |
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads Convex Net Liquidity Index; negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| NFCI | Financial conditions | +12d | 0.299 | -0.004 | leads target by 12d |
| Initial Jobless Claims | Labor leader | +11d | 0.278 | -0.000 | leads target by 11d |
| 10Y Treasury Yield | Discount-rate driver | +8d | 0.149 | 0.025 | weak |
| HY OAS Spread | Credit risk leader | +9d | 0.089 | -0.003 | weak |
| Trade-Weighted Dollar | FX driver | -22d | -0.079 | 0.033 | weak |
| Baa-10Y Spread | Credit risk (slow) | +16d | 0.068 | 0.032 | weak |
| VIX | Volatility leader | +34d | 0.064 | -0.007 | weak |
| Copper | Global growth proxy | -15d | -0.037 | 0.001 | weak |
| 10Y-2Y Yield Spread | Recession leader | -40d | 0.027 | -0.014 | weak |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where Convex Net Liquidity Index sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| May 1, 2025 | 5956183.0000 | -1.10% | 2.69% | -3.05% |
| Jan 31, 2025 | 5846067.0000 | 0.08% | 1.88% | -1.14% |
| Oct 23, 2024 | 5928578.0000 | 0.66% | 2.84% | 2.26% |
| Jun 30, 2024 | 5801176.0000 | 4.53% | 0.61% | 4.67% |
| Mar 20, 2018 | 4145379.0000 | -1.17% | -2.46% | -8.92% |
Worst Historical Drawdown[07]
Cross-Asset Correlations · 1Y[08]
Largest Single-Period Moves[09]
- Apr 1, 202013.00%
- Mar 25, 202011.78%
- Mar 18, 20209.67%
- Jan 3, 20236.56%
- Mar 15, 20236.44%
- Mar 31, 2016-4.34%
- Apr 24, 2026-4.25%
- Dec 30, 2022-4.22%
- Jun 21, 2023-3.95%
- Dec 29, 2017-3.93%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | 0.07% | 34.7% | 337 |
| February | 0.04% | 35.4% | 311 |
| March | 0.08% | 32.8% | 341 |
| April | 0.03% | 31.8% | 321 |
| May | 0.04% | 37.0% | 319 |
| June | -0.13% | 29.7% | 300 |
| July | 0.07% | 37.4% | 310 |
| August | 0.03% | 34.5% | 310 |
| September | -0.11% | 28.3% | 300 |
| October | 0.06% | 39.7% | 310 |
| November | 0.06% | 38.0% | 300 |
| December | -0.10% | 30.3% | 310 |
N = 3,770 OBS · GENERATED 2026-05-18 10:30Z
Forecast Approach
regime implied: The current macro regime classification (Goldilocks, Reflation, Stagflation, or Deflation) dictates the expected direction and magnitude of movement, calibrated against historical regime performance.
Key Drivers & Risks
- •Fed balance sheet
- •Bank reserves
- •Treasury General Account
- •Reverse repo facility
Historical Volatility
Low: trends are persistent, reversals are policy-driven
Scenarios That Affect This Forecast
Frequently Asked Questions
What factors could push Convex Net Liquidity Index higher?▾
The primary drivers that tend to lift Convex Net Liquidity Index depend on the current macro regime. Financial conditions indexes are the Fed's dashboard. The Chicago Fed's NFCI blends over 100 inputs spanning equity volatility, credit spreads, funding stress, and leverage. Real yields across the TIPS curve reveal the true cost of capital after inflation, while liquidity measures (reverse repo, TGA, reserves) show whether the system is flush or stressed. Together they form the transmission belt from policy rate to real economy. Convex tracks these drivers live across the Liquidity category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push Convex Net Liquidity Index lower?▾
The same transmission channels that drive Convex Net Liquidity Index higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see Convex Net Liquidity Index heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
What is the historical range for Convex Net Liquidity Index?▾
Historical ranges for Convex Net Liquidity Index vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the Convex Net Liquidity Index chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the Convex Net Liquidity Index forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.
Get forecast updates for Convex Net Liquidity Index and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.