Research · Outlook
NDI Monthly Outlook: September 2026
A month of deliberate agreement. The system repairs, and waits to be right before it disagrees again.
By Forecasting ✦ ✦6 minutes’ reading
In Brief
- Nine of ten probabilities within six points of consensus. One material gap retained: systematic positioning (+12).
- August scored 0.193 against an external 0.247 — the system's best relative month to date — but on unusually wide gaps after a recalibration.
- Strategy state: Neutral / Repairing. Risk budget 0.64. Conviction low.
August was a good month by score and an uncomfortable month by process. After July's failure, the Auditor raised the ensemble's tail estimates and widened its distributions, and several August questions moved sharply away from consensus as a result. Most of them resolved in our favour. The Auditor's view, which we share, is that this is not yet evidence of skill: a recalibration that happens to coincide with a volatile month will look better than it is.
September is therefore deliberately quiet. Gaps were capped at the decomposition stage for every question whose primary model was implicated in July. The only exception is systematic positioning, where the model is mechanical and the July error was traced to a different cause.
§ IThe questions
I.
Does aggregate dollar liquidity expand through September?
- Market
- 45%
- Ours
- 50%
- Gap
- +5
- Since last
- +12
- Confidence
- Low
Market (Survey median, funding-market implied) Ours
Leaning constructive for the first time since June, with a reduced weight on the liquidity model that failed in July.
II.
Does one-month realized equity volatility exceed the implied level priced on 1 September?
- Market
- 33%
- Ours
- 39%
- Gap
- +6
- Since last
- −7
- Confidence
- Low
Market (Historical exceedance frequency) Ours
Modestly above consensus, reflecting the post-July correction to our tail estimates.
III.
By 30 September, do rates markets price at least one additional policy cut before year-end?
- Market
- 61%
- Ours
- 57%
- Gap
- −4
- Since last
- −4
- Confidence
- Moderate
Market (Overnight index swaps) Ours
Aligned with consensus.
IV.
Does systematic equity positioning exceed the 75th percentile of its two-year range?
- Market
- 52%
- Ours
- 64%
- Gap
- +12
- Since last
- +6
- Confidence
- Moderate
Market (Dealer positioning survey consensus) Ours
The one material gap retained in September.
V.
Does the 2s10s Treasury curve steepen by more than 15 basis points over the month?
- Market
- 40%
- Ours
- 41%
- Gap
- +1
- Since last
- −11
- Confidence
- Low
Market (Options-implied distribution) Ours
Aligned.
VI.
Do money-market funds record a net outflow for the month?
- Market
- 24%
- Ours
- 26%
- Gap
- +2
- Since last
- +8
- Confidence
- Low
Market (Flow forecast consensus) Ours
Aligned.
VII.
Does the high-yield spread widen more than 40 basis points at any point in September?
- Market
- 20%
- Ours
- 21%
- Gap
- +1
- Since last
- −13
- Confidence
- Moderate
Market (CDX options, delta-adjusted) Ours
Aligned, after August's elevated estimate failed to materialise.
VIII.
Does the trade-weighted dollar close September below its August close?
- Market
- 48%
- Ours
- 50%
- Gap
- +2
- Since last
- +6
- Confidence
- Low
Market (Forward-implied, drift-adjusted) Ours
No view.
IX.
Does Brent crude trade above its 200-day average on 30 September?
- Market
- 50%
- Ours
- 47%
- Gap
- −3
- Since last
- +5
- Confidence
- Low
Market (Options-implied distribution) Ours
Energy models remain down-weighted.
X.
Does the 60-day equity–bond correlation turn positive?
- Market
- 31%
- Ours
- 33%
- Gap
- +2
- Since last
- −16
- Confidence
- Low
Market (Survey of allocator expectations) Ours
Aligned, following August's positive resolution.
§ IIStrategy state
State of the Strategy
- Regime
- Neutral / Repairing
- Risk budget
- 0.64
- Conviction
- Low
A risk budget of 0.64 with low conviction means exposure exists but is diversified and carries almost no directional view. The portfolio in this state behaves closer to a structural allocation than to a strategy. That is intended.