Macro Stress Index

Each raw series maps to a 0–100 stress score, oriented so higher always means more stress. Percentile: rank of the current value within a rolling 10-year window (5-year minimum), for bounded or slow-moving series. z-logistic: a z-score against the same window, winsorized at ±3σ, mapped logistically to 0–100, for spread and volatility series with fat tails. Pillar score is the equal-weighted mean of its six indicators in version one; within-pillar weight exceptions are a calibration item deferred to the first backtest pass.

Composite

C = Σ wᵢ·Sᵢ / Σ wᵢ — the divisor makes the composite invariant to weight rescaling, so only proportions matter.

Publication

Daily at 06:00 CT. Lower-frequency series carry forward at their last value.

Staleness

Past 1.5× native frequency without an update, within-pillar weight decays linearly to 50% over one further period and the indicator is flagged stale on every surface.

Smoothing

Daily market series pass a 3-day median filter; event and survey series are never smoothed.

Point-in-time

Published history is never back-revised. Inputs are stored as vintages (ALFRED where available, internal vintage store elsewhere); a separately labeled revised history exists for research only.

Bands: Calm 0–25, Watch 25–45, Elevated 45–65, Stress 65–80, Crisis 80–100. A regime change publishes only when confirmed — three consecutive daily closes inside the new band, or a single close at least 2.0 points beyond the boundary. This prevents band-flapping and stops the decision layer from triggering and standing down on noise.

Weights

The platform ships with the §4.2 defaults; the interface exposes them for scenario work, and the published composite uses only the ratified set.

Each analog is an episode defined by an anchor month, a trigger narrative, and an outcome window. Authored vectors are replaced in production by computed vectors: the full §2 pipeline runs on point-in-time history as of the anchor date, so an analog's eight-pillar vector comes from the same machine that scores today. Library changes require a written definition, the computed vector, and CEO sign-off; the library is versioned and every change logged.

Similarity

Sim = max(0, 100 − k·√( Σ ŵᵢ·(vᵢ − sᵢ)² )), k = 1.6 — a weighted-distance rhyme score, not a forecast.

Disclosure standard

Four mandatory fields per analog: what rhymes, what differs, what happened next, and how senior housing & care behaved. An analog without a sector read is not publishable.

05:45 CT data cut → compute and change detection → 06:00 render → 06:15 human review gate → 06:30 distribution. The brief is exactly one page every day, including days when nothing happened — absence of change is itself reported.

Change detection

An item qualifies only on a pillar 7-day move ≥ 1.5 pts, a regime-band change on any pillar or the composite, a change in the #1 analog, or a probability-row move ≥ 5 pts at any horizon. Top three by magnitude render.

Template contract

Fixed order: header metrics, lede, What changed, Why it matters, What it means for senior housing & care (Capital / Operations / Strategy), Watch. Every What-changed item carries a pillar, a magnitude, and a transmission clause.

Review gate

A named editor of record, 15-minute window, exactly two powers: correct factual errors or hold distribution. The gate cannot rewrite analysis.

A monthly walk-forward from January 2006 through December 2025 on vintage data only. Two validation cases are pre-registered before the run: September 2019 (repo stress — did P4 and P8 lead the event?) and February–March 2023 (regional banks — what lead time did P4 give before the first failure?).

Lead time

Composite enters Stress before the acute phase in at least 4 of the 6 reference dislocations (2007–08, 2011, 2018, 2020, 2022, 2023).

False-alarm rate

No more than 40% of confirmed Stress entries fail to be followed by a defined stress event within 180 days.

Probability skill

Published-methodology probabilities beat climatological base rates on Brier score across the walk-forward, per horizon.

Analog sanity

For each reference dislocation, the #1 computed analog at the time is judged defensible on review.

Gate

The Demonstration label does not come off until all four criteria pass and the result is accepted in writing.

Every feed carries Demonstration or Live status; the composite displays Partial-Live with a fraction until every feed is live and §9 has passed. No surface may display a live-looking number from a demonstration feed without the label.

Licensing

Every Licensed and Proxy row has an owner and a due date; redistribution terms are a counsel item before the brief circulates beyond the company.

Change control

Any change to a formula, weight, map, threshold, or the analog library requires a written proposal, a side-by-side impact run on the trailing 24 months, and CEO sign-off with a recorded effective date.

Language

Vocabulary is probabilities, analogs, regimes, and rhymes. Forecast language is prohibited; every distributed surface carries its status label and “not investment, legal, or accounting advice.”