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What we look at in markets each month: the macro analysis map

✍️ Redazione•••10 min read

What we look at in markets each month: the macro analysis map

Educational content. The monthly analysis reads what has already happened and the current regime; it contains no forecasts or recommendations. Data come from public sources (FRED, ECB, Eurostat). Past performance does not guarantee future results.

Not "where the market is going", but "where we are"

Every month we publish a markets update. It doesn't promise to guess the future: it captures the present in a structured way, because most mistakes come from reading a single data point (equities rising) while ignoring what other markets signal underneath. Here we explain the five lenses we use.

The five lenses

1. Macro compared — growth, inflation, real rates. The point isn't the isolated figure but the comparison. Real example (May 2026): the US with real GDP ~+2.6% and core inflation ~2.7% while Fed Funds stay higher (~3.6%) → positive real rates without recession. Europe instead: growth ~+1% but inflation ~+3% with ECB deposits at 2% → the textbook calls this creeping stagflation. (Real rate ≈ nominal rate − inflation.)

2. The regime and the yield curve. The spread between the 10-year and 2-year yield is the barometer. An inversion (10y < 2y) historically precedes recession; a return to parity (example May 2026: spread ~0.00%) signals a regime shift: extending duration is no longer rewarded.

3. Geographic rotations. We compare indices by region (1-year performance). Example: S&P 500 ~+24.7% vs MSCI Europe ~+5.8%. But the number must be contextualized (currency, sector composition).

4. Sector rotations. Who leads and who lags, and at what risk price — looking at sector Sharpe and the level of the VIX. A sector Sharpe that "defies statistics" is a sign of concentration, not just strength.

5. Risk implications. The "so what?": with a flat curve, active duration management loses power as a source of alpha, and attention shifts to credit selection or barbell strategies.

The metrics, one line each

  • Real rate = nominal − inflation: how much monetary policy really bites.
  • Curve spread (10y−2y) = cycle tension: inversion → recession fear; flat → regime shift.
  • Sharpe = excess return per unit of volatility.
  • VIX = expected volatility: the "fear thermometer".
  • Currency-adjusted performance = an honest comparison across regions with different currencies.

A note on method

We always read past/present, never as a certain forecast; we use public data (FRED, ECB, Eurostat, ISTAT) and compare it rather than isolate it. It's the same rigor we apply to models — see the portfolio metrics.

The report's outputs: real examples, commented

Below are slides from a real edition of the monthly report (the T8 video series, sample month: April 2026). They are illustrative examples of the kind of analysis we share, not recommendations: indices and sectors are shown with descriptive names, not as buy suggestions.

Eurozone macro context: real GDP, HICP inflation and ECB deposit rate with their trends
1 · Macro compared (Eurozone). The three top cards fix the month's key numbers — real GDP, HICP inflation, ECB rate — each with the change versus the prior period; the mini-charts below show the trend. The value isn't the single figure but the combined direction: weak growth with inflation still above target is the picture we read as stagflation-type pressure. Source: FRED / Eurostat.
Geographic markets: 12-month cumulative performance (base 100) of S&P 500, MSCI World, MSCI Europe and Emerging Markets
2 · Geographic rotations. Four major regions normalized to base 100 over the last year (S&P 500, MSCI World, MSCI Europe, Emerging Markets). You read at a glance who leads and who lags, and above all the gap: here Emerging Markets break away and Europe trails the global market. Always contextualize with currency — part of the gap is an FX effect, not just the strength of the underlyings.
US sectors: 1-month returns (bars) and 1-year returns (diamonds) for the main sectors
3 · Sector rotations. US sectors ranked by return: bars are the last month, diamonds the last year. The interesting read is the divergencebetween the two horizons — a sector strong over the year but weak over the month signals a rotation underway. Extreme concentration in one area (here technology, far ahead over the year) is a sign of risk, not just strength.
Euro fixed income: multi-horizon performance of Eurozone government bonds, corporates and US Treasuries
4 · The fixed-income side. Multi-horizon performance (1M/3M/6M/1Y) of Eurozone government bonds, euro corporates and US Treasuries 7-10y. It's the lens on rates: when duration "bites", the sign can flip between nearby horizons. The Eurozone vs US Treasury comparison also shows the effect of the rate differential and the currency — the same theme as currency hedging.

None of these charts says "buy": they say where we are and how risk is distributed. Turning that snapshot into decisions requires the individual investor's context — and that's a separate step from the analysis.

Sources

FRED (St. Louis Fed) · ECB · Eurostat · ISTAT.

Educational content, not advice or a recommendation. Past performance does not guarantee future results.