GMSI

Global Macro Stress Index

WATCHFULⓘ

Last published: 2026-03-30 00:52 UTC

GMSI 51ⓘFirst reading

Quantitative Baseⓘ

29.3

Raw 28.5 x Fragility 1.03x

backtested, frozen model

Analyst Overlayⓘ

+22

AI: +22 | Human: +0

qualitative, not backtested

Maintain positions with tactical hedges.

Data Warningsⓘ

HY spread: stale (last updated 2026-03-26)

CP spread: stale (last updated 2026-03-24)

Dollar index: stale (last updated 2026-03-20)

NFCI: stale (last updated 2026-03-20)

CPI YoY: unavailable

GMSI since 2006ⓘ

Backtest (dashed amber) shows quantitative base history. The amber dot is today’s quant base; the blue dot is the combined GMSI including analyst overlay. The gap between them is the overlay contribution. Live readings appear as lines once sufficient history accumulates.

Quantitative Signals

HY Credit Spreadⓘ

Credit stress indicator

3.21%

wt: 27%

Score: 9.5

as of 2026-03-26

CP Funding Spreadⓘ

Short-term funding pressure

0.13%

wt: 22%

Score: 4.1

as of 2026-03-24

Yield Curve 2s10sⓘ

Growth & recession signal

0.64%

wt: 22%

Score: 53.0

as of 2026-03-30

VIXⓘ

Market fear gauge

31.05

wt: 17%

Score: 50.1

as of 2026-03-30

Dollar Index (Broad)ⓘ

EM debt & capital flows

120.28

wt: 7%

Score: 67.6

as of 2026-03-20

NFCIⓘ

Financial conditions

-0.48

wt: 5%

Score: 1.7

as of 2026-03-20

Fragility Multiplierⓘ

1.030xBase amplified by 3.0%

CPI YoY

N/A

no add

Yield Curve

0.64%

no add

HY Spread

3.21%

no add

Fed Funds

3.64%

+0.03

Analyst Overlayⓘ

+22 AI

Qualitative assessment from Claude AI with web search. Not backtested. Scores are additive to the quantitative base.

60-second readⓘ

The qualitative overlay scores 22 points, bringing the total GMSI to Base 29 + Overlay 22 = GMSI 51. The dominant shock the quantitative model does not fully capture is the Strait of Hormuz crisis: following US-Israel airstrikes on Iran on February 28, Iran closed the strait, producing 21 confirmed attacks on merchant ships, a 70% reduction in traffic, and Brent crude peaking at $126 per barrel — the largest energy supply disruption since the 1973 oil embargo. Central banks are paralyzed in a stagflation trap, with the ECB cutting its 2026 eurozone GDP forecast to 0.9% while raising inflation to 2.6%, and the Fed on hold at 3.50-3.75% with Powell stating it is too soon to gauge full impact. Ukraine-Russia diplomatic talks remain stuck on territorial issues following the February Geneva round, extending European fiscal defense burden and removing a de-escalation catalyst. The closest historical analog is the 1973-79 oil shock: a supply-side chokepoint disruption driving simultaneous inflation surge and growth collapse, with the DXY-driven EM squeeze adding a second transmission channel. Portfolio managers should be long energy and gold as stagflation hedges, short European equities and EM local currency bonds as the most vulnerable assets, and positioned for the possibility that the growth shock eventually dominates inflation at the US front end.

Shock monitorⓘ

Geopolitical

Strait of Hormuz closure after US-Israel Iran strikes

↑ Escalating

Severity

10/10

US/Israel struck Iran Feb 28; IRGC closed strait, 21 merchant ship attacks confirmed.

Energy price surge, shipping halt, global supply chain fracture.

Policy

Fed-ECB policy paralysis amid energy inflation shock

↑ Escalating

Severity

7/10

ECB raised 2026 inflation forecast to 2.6%, cut growth to 0.9%; Fed on hold, independence under threat.

Stagflationary trap; rate-cut optionality evaporating as energy re-inflates.

Regulatory

US outbound investment controls and Iran sanctions cascade

↑ Escalating

Severity

7/10

COINS Act codifies China investment bans; new Iran sanctions post-strikes disrupt energy finance.

Capital flow fragmentation; EM energy importers face financing cliff.

Diplomatic

Ukraine-Russia Geneva talks stalled; Hormuz no framework

→ Neutral

Severity

6/10

Geneva trilateral talks ended stuck on Donbas; Hormuz has no active ceasefire framework.

Prolonged energy disruption; European fiscal defense spending surge accelerates.

Impact assessmentⓘ

Inflation trajectory

Re-accelerating

Brent crude at $126/bbl and Hormuz shipping halt are injecting a 1970s-style supply-side inflation pulse; ECB already revised 2026 headline to 2.6% and Bank of England sees CPI hitting 3.0-3.5% in coming quarters.

Hormuz closure cutting 20% of global seaborne oilFertilizer and aluminum price contagionECB 2026 inflation upgraded to 2.6%BoE CPI forecast 3.0-3.5% near-term

Growth outlook

Deteriorating

ECB cut eurozone 2026 GDP to 0.9%; global growth decelerating to 3.3%; energy shock is compressing real incomes and business confidence simultaneously with policy paralysis at major central banks.

ECB 2026 GDP cut to 0.9%Global growth decelerating to 3.3% (KPMG)Real income compression from energy shockPolicy rate optionality constrained by re-inflation

EM vulnerability

High stress

DXY at 120.3 combined with oil-driven inflation and tightened COINS Act outbound controls is producing a classic EM squeeze; energy-importing EMs face twin deficits and dollar funding pressure.

DXY 120.3 — multi-year highOil-importing EM current account deteriorationCOINS Act restricting capital flowsIran sanctions fragmenting oil market access

Financial stability

Elevated risk

HY spreads and NFCI still relatively contained, but Hormuz energy shock, stalled Ukraine negotiations extending fiscal burden, and eSLR rule change on April 1 create latent systemic stress not yet priced in credit.

War-risk insurance premiums surging for tankerseSLR capital rule change April 1, 2026Ukraine ceasefire failure extending European defense fiscal pressureHormuz-driven commodity volatility feeding margin calls

Pattern match classifierⓘ

Oil Shock 1973/1979Primary

74%

Supply-side energy choke producing stagflationary macro regime with policy maker paralysis.

EM Dollar Squeeze 2018Secondary

58%

GFC 2007-08Tertiary

34%

Implied lead time to stress peak

2-6 months to peak macro damage

Key signals to watch

• Brent crude trajectory above $130

• Global shipping rerouting costs

• Central bank pivot timing

• EM sovereign spread widening

• Consumer confidence collapse in Europe

Historical analogⓘ

Oil Shock 1973/1979

74% fingerprint match · Lead time 2-6 months to peak macro damage

The 2026 Hormuz crisis mirrors the 1973 Arab oil embargo and 1979 Iranian Revolution energy shock in its chokepoint mechanics: a deliberate supply disruption targeting 20% of global seaborne oil, producing an instantaneous price surge (Brent peak $126/bbl vs. 1973 fourfold increase) and central bank paralysis between fighting inflation and supporting growth. The key divergence is that modern financial markets have faster transmission — Brent hit $100+ within 8 days of the Feb 28 strikes — and the DXY-EM squeeze dynamic adds a second-order stress channel absent in the 1970s. As in 1979, resolution timeline is highly uncertain: the US military campaign to reopen the strait (commenced March 19) has no clear end-date, and Iran retains asymmetric ability to re-interdict.

Brent Crude (BRN)

+15% to +30% if strait remains closed 60+ days

European Equities (STOXX 600)

-12% to -20% on stagflation repricing

USD (DXY)

+3% to +5% safe-haven bid continuation

Gold (XAU)

+8% to +15% inflation/geopolitical hedge

US 10Y Treasury

Range-bound 4.3-4.8% — stagflation tug-of-war

EM Local Currency Bonds

-8% to -15% USD squeeze + oil shock

Actionable intelligenceⓘ

Instrument	Direction	Conviction	Expected move	Rationale
Brent Crude Futures (NYMEX:BRN Jun26)	long	high	+15-25% if Hormuz reopening delayed beyond April	Strait carries 20% of global seaborne oil; US military campaign commenced March 19 with no clear timeline; Iran retains asymmetric interdiction capability; supply deficit not yet fully priced.
Gold Spot (XAU/USD)	long	high	+8-15% over 3-month horizon	Classic stagflation hedge firing on all cylinders — energy-driven inflation re-acceleration, Fed independence under political pressure, DXY at 120 limiting real yield upside; geopolitical premium structurally bid.
iShares MSCI Eurozone ETF (EZU)	short	high	-12-20% as stagflation repricing accelerates	ECB cut eurozone 2026 GDP to 0.9% and raised inflation to 2.6%; Europe most exposed to Hormuz energy shock via LNG and oil dependence; no policy easing room with inflation above target.
iShares J.P. Morgan EM Local Currency Bond ETF (LEMB)	short	medium	-8-15% on DXY + oil shock twin pressure	DXY at 120.3 combined with oil-importing EM current account deterioration and COINS Act capital flow restrictions creates classic EM squeeze; energy-importing EMs most vulnerable.
US 2Y Treasury Note (ZT Jun26)	long	medium	+1.5-2.5 pts (yield -40 to -60bps) on growth scare	If Hormuz crisis tips Europe and EMs into recession faster than it re-inflates US CPI, front-end will price emergency Fed cuts; current 3.50-3.75% Fed funds leaves significant easing space if growth shock dominates.
Tanker Equity Basket (FRO / STNG)	long	medium	+20-35% on rerouting premium and rate surge	Hormuz closure forcing tankers to reroute around Cape of Good Hope, extending voyage times and tightening effective fleet capacity; war-risk insurance premiums already surging; Frontline and Scorpio Tankers benefit from spot rate spike.

Analyst overrideⓘ

Human OverrideNone

GMSI is a proprietary analytical framework. Not investment advice.Next update: 06:30 UTC daily

IMPORTANT DISCLOSURES AND DISCLAIMERS

The Global Macro Stress Index ("GMSI") is a proprietary analytical framework provided for informational and educational purposes only. It does not constitute investment advice, a recommendation, an offer, or a solicitation to buy or sell any security, financial instrument, or derivative, nor does it constitute advice on making any investment decision.

No Advisory Relationship.

Receipt of or access to GMSI output does not create an investment advisory, fiduciary, or professional-client relationship between the publisher and any recipient. Recipients should not treat GMSI output as a substitute for their own independent research, judgment, and due diligence, nor as a substitute for advice from qualified legal, tax, regulatory, or investment professionals.

AI-Generated Content.

Portions of GMSI output — including but not limited to qualitative assessments, shock classifications, impact analyses, pattern matching, historical analogs, trade ideas, and executive summaries — are generated in whole or in part by artificial intelligence language models. AI-generated content may contain errors, hallucinations, outdated information, or analytical conclusions that do not withstand scrutiny. AI-generated content has not been independently verified and should not be relied upon as accurate, complete, or current.

Quantitative Model Limitations.

The GMSI quantitative base score is derived from a rules-based model applied to publicly available economic and market data. The model employs fixed normalization ranges and weightings that may not reflect future market conditions, structural changes in financial markets, or regime shifts in the relationships between indicators. Past model performance, including backtested results, is not indicative of future results. Backtested performance has inherent limitations: it is constructed with the benefit of hindsight, does not reflect actual trading, and does not account for transaction costs, liquidity constraints, or market impact.

No Warranty.

GMSI output is provided on an "as is" and "as available" basis without warranties of any kind, whether express or implied, including but not limited to warranties of merchantability, fitness for a particular purpose, accuracy, completeness, or timeliness. The publisher does not warrant that data feeds will be uninterrupted, error-free, or free from delays.

Limitation of Liability.

To the maximum extent permitted by applicable law, the publisher shall not be liable for any direct, indirect, incidental, consequential, special, or exemplary damages arising from or related to the use of or inability to use GMSI output, including but not limited to trading losses, lost profits, or damages resulting from reliance on any information provided, regardless of whether such damages were foreseeable or whether the publisher was advised of the possibility of such damages.

Not Regulated.

GMSI is not registered with, approved by, or endorsed by any financial regulatory authority, including but not limited to the U.S. Securities and Exchange Commission, the Commodity Futures Trading Commission, the Financial Conduct Authority, the British Virgin Islands Financial Services Commission, or any equivalent body in any jurisdiction. GMSI does not operate as a registered investment adviser, broker-dealer, or commodity trading advisor.

Trade Ideas.

Any trade ideas, instrument references, or directional views presented within GMSI output are hypothetical and illustrative. They do not reflect actual positions, do not account for individual risk tolerance, portfolio composition, regulatory constraints, or suitability considerations, and should not be interpreted as recommendations to enter into any transaction. Recipients bear sole responsibility for any investment decisions they make.

Data Sources.

GMSI incorporates data from third-party sources including the Federal Reserve Economic Data (FRED) service, Yahoo Finance, and NewsAPI. The publisher does not guarantee the accuracy or completeness of third-party data and accepts no liability for errors or omissions in such data.