Cross-Asset Macro Regimes & Yield Premium Intelligence Actor

Institutional-grade quantitative macro model analyzing the Copper/Gold Growth Proxy Ratio, 10-Year & 30-Year Treasury Yield Regimes, OLS Linear Regression Implied Yields, Term-Premium Residuals (Rich vs Cheap $bp$), and Rolling Gold Beta / Correlation Sensitivities.

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🏛️ Economic Rationale & Institutional Model

1. Copper / Gold Ratio ($\frac{\text{Copper}}{\text{Gold}} \times 100$):

   • Copper (Doctor Copper): Highly sensitive to global industrial production, manufacturing demand, and capital expenditures.
   • Gold: The ultimate monetary store of value and safe-haven asset responding to real yields and debt sustainability risks.
   • The Ratio: Represents the global benchmark for macroeconomic expansion vs risk-off deflationary pressure.

2. 10Y Yield OLS Regression & Term Premium:

   • Linear regression of US 10-Year Benchmark Yields against the Copper/Gold Ratio over 1-Year and 2-Year rolling windows: $$\text{Implied } 10\text{Y Yield} = \alpha + \beta \cdot \left(\frac{\text{Copper}}{\text{Gold}} \times 100\right)$$
   • Residual (Term Premium Spread): $$\text{Residual } (bp) = \left(Y_{10\text{Y, Actual}} - Y_{10\text{Y, Implied}}\right) \times 100\text{ bp}$$
     • Rich / Term Premium Surplus ($> +15\text{ bp}$): Long-end yields are elevated above growth fundamentals (supply/deficit pressures, fiscal risk, or rate persistence).
     • Cheap / Growth Discount ($< -15\text{ bp}$): Yields are depressed relative to commodity growth signals (flight-to-quality or safe-haven demand).
     • Fundamental Alignment: Market rates are trading in fair-value equilibrium with global industrial demand.

3. Gold Beta & Correlation to 30Y Treasury Yields:

   • Evaluates gold's sensitivity to shifts in long-term discount rates: $$\beta_{\text{Gold}, 60d} = \frac{\text{Cov}(\Delta % \text{Gold}, \Delta bp Y_{30})}{\text{Var}(\Delta bp Y_{30})}$$
   • Rates-Reactor Mode ($\beta < -0.04$): Standard monetary policy reaction (gold drops when long yields surge).
   • Stagflation / Fiscal Credibility Hedge ($\beta > +0.02$): Gold decouples from rates, rising alongside yields as an inflation and debt hedge.

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📥 Input Parameters

Parameter	Type	Default	Description
period	String	"2y"	Lookback window for regression and Z-score calculations (1y, 2y, 3y, 5y, 10y).
goldSymbol	String	"GC=F"	Gold ticker (Futures GC=F or ETF GLD).
copperSymbol	String	"HG=F"	Copper ticker (Futures HG=F or ETF CPER).
includeHistoricalTimeSeries	Boolean	true	Include full daily historical dataset records.

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📤 Output Structure

1. Default Dataset (Daily Overview)

{
  "date": "2026-09-30",
  "copperGoldRatio": 0.1582,
  "ratioPercentile": 42.5,
  "actual10yYieldPct": 4.15,
  "implied10yYieldPct": 3.92,
  "residualBp": 23.0,
  "termPremiumStatus": "Rich (Surplus)",
  "actual30yYieldPct": 4.48,
  "goldPriceUsd": 2685.50,
  "copperPriceUsd": 4.2485,
  "goldBeta30y": 0.0315,
  "corr60d": 0.18,
  "macroRegimeSignal": "Rich (Surplus) | Gold Beta: +0.032"
}

2. Key-Value Store (OUTPUT)

Comprehensive JSON report with:

• currentRegimeSummary: Latest snapshot, ratio percentile, yield spreads, and regime classifications.
• regressionModels: 1-Year and 2-Year OLS regression formulas, slopes, intercepts, and $R^2$ goodness of fit.
• automatedMacroNarrative: Dynamic institutional commentary.

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🎯 Institutional Use Cases

• Asset Allocation & Fixed Income Positioning: Identify when 10Y/30Y Treasuries are mispriced relative to global physical commodity demand.
• Commodity & Precious Metals Trading: Detect regime shifts where Gold transitions from a rates-sensitive asset to a fiscal debasement hedge.
• Cross-Asset Macro Hedge Funds: Systematic factor inputs for global macro models and risk parity portfolios.