The Supplementary Data tab is the context layer. Stocks don't move in a vacuum — interest rates, inflation, employment, volatility and housing all leak into returns. Before committing to a strategy or factor thesis, you want to know whether macro conditions are the hidden driver. This tab is where you check.
What lives in this tab
- Macro Overlay Analyzer (FM010MACX) — Measures how sensitive a single stock is to a curated set of macro indicators (Fed Funds, yield curve, CPI, unemployment, GDP, VIX, HY spread, housing, etc.). Produces a sensitivity score, a current-regime signal, regression betas per indicator, lead-lag timing, and regime-conditional return statistics.
Canonical workflow
- Pick a ticker and pick a preset. The presets are curated by theme: Essential 8 (broadest), Fed Watcher, Inflation Focus, Growth Cycle, Risk Monitor, Housing & Rates.
- Open the Snapshot tab. Four summary cards at the top: overall sensitivity score (0–100), current regime (favourable / mixed / unfavourable), number of indicators with leading signal, and the single strongest driver. Auto-generated Key Insights sit below. The Current Macro Environment card now shows only statistically significant drivers — if fewer than three clear p<0.05, it falls back to the top three by correlation magnitude.
- Open the Analytics tab for the three-lens deep dive: Predictive Signals (does a change in indicator X today predict the stock's move N months later?), Sensitivity Coefficients (the regression beta — stock move per 1% indicator move — with significance marks), and Regime Impact (annualised return in the low / mid / high tercile of each indicator).
- Open the Time Series tab to visually overlay any chosen indicator against the stock's price. Useful for confirming a hypothesis you formed from the statistics; not a substitute for them.
Where this fits
This module is read-only — no backtests, no order generation. Use it before or after a strategy workflow in another tab: before to check whether a name's recent performance is just the macro regime rather than a strategy edge; after to sanity-check a backtest result before committing capital. A high-Sharpe backtest on a stock whose sensitivity score is 80 to the Fed Funds rate is really a backtest of the 2022–2024 rate cycle.
Reading the outputs
- Sensitivity score — Blends average correlation magnitude of significant indicators and the ratio of significant to total. Above ~50 means macro explains a material part of the stock's behaviour.
- Strongest driver + beta — Beta is expressed as the stock's return for a 1% move in the indicator. Sign matters; magnitude matters; significance matters.
- Lead-lag — Best lag is 0–3 months. A "leading X months" badge means the indicator's change today is statistically related to the stock's return that many months later — tentatively predictive.
- Regime impact heatmap — The top six indicators by return spread across regimes. A big spread means the stock is meaningfully regime-dependent on that indicator.
Common pitfalls
Watch for
- Over-reading single-indicator correlations. Macro series are themselves correlated with each other. A high sensitivity to CPI and a high sensitivity to the yield curve often measure the same underlying driver.
- Treating it as a trade signal. This module explains behaviour historically; it doesn't forecast. A favourable macro environment today is context, not a buy signal.
- Comparing sensitivity scores across wildly different horizons. A 5-year sensitivity score and a 1-year score describe different markets. Keep the horizon consistent when comparing tickers.
Deeper reading
- Factor Models → Scoring Methodology for context on composite-score construction.
- Platform Guides → Factor Models Workflow to combine macro context with a fundamentals-first shortlist.