GC · Metals / Return-Distribution Regime
Z11145 – GC Gold Crash Kurtosis Structural 252d
Fat-tailed gold return distributions coincide with macro-stress regimes that lift gold through safe-haven channels; the 252-day structural kurtosis measurement captures this regime shift.
At a glance
IN-SEASON · ACTIVE
Current reading
-0.949
252-day structural kurtosis of gold returns, z-scored, tanh-bounded
Signal state
Moderate NEG
142 trading days in current state
Phase
STRESS
Positive equals fat-tailed distribution; negative equals tight distribution
Sample
36 years
Daily gold returns since 1990, roughly 9,023 trading days
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Gold return distributions change shape across macro regimes. During crises and shocks the distribution develops fat tails with frequent large daily moves. During calm regimes returns cluster tightly around the mean. This signal measures 252-day rolling structural kurtosis of daily gold returns, applies a smoothing filter, z-scores on a longer baseline, and bounds through tanh. Phase +1 fat-tails has delivered +1.70 percent mean fwd 60-day gold return versus baseline +0.78 percent. Phase -1 tight-distribution has delivered +0.29 percent. On April 17, 2025 the composite reached +1.0000 during the Trump-Xi tariff-escalation window. On April 21, 2026 the composite reached -1.0000; gold then fell 15.26 percent over 60 trading days. Today the composite reads -0.949, in Moderate NEG territory.
LIVE CHART
The 504-day z-score of a multi-input composite of US credit-quality indicators including BAA-AAA corporate spreads, 9016 trading days of history for GC.
The dark line in the top panel is the composite, bounded between minus one and plus one. The pale red band at the top marks fat-tails regime where gold daily returns are producing frequent large moves; this has historically coincided with macro-stress regimes and modestly above-baseline gold forward returns. The pale green band at the bottom marks tight-distribution regime where returns cluster around the mean. The bronze line in the middle panel is the trailing 252-day rolling Spearman IC. The lower panel is COMEX GC continuous back-adjusted price on the right axis in dollars per ounce.
COMPOSITE
+0.804 / tanh
STATE
Extreme Pos
PHASE
+1
FWD 60d
+5.24% (baseline +2.32%)
SAMPLE N
9,016 days
TODAY'S PLAYBOOK READING
STATE
Moderate Neg
STATE AND READING
Moderate NEG, 142 days running. Composite at -0.949 is in the range.
WHY THE SIGNAL IS HERE
The underlying input is at its current level relative to the 504-day baseline. The composite reflects this with the sign-convention stated in section 2.
POSTURE FOR THE WEEKS AHEAD
The signal's historical edge is concentrated at the tanh-saturation extremes (composite below minus 0.5 or above plus 0.5). The cross-sample Pearson IC of -0.0248 on SPY forward-sixty-day is a reference-asset read; the appropriate direct read is GC forward returns, which are not computed as a baseline in this page.
WHAT THE CHART SHOWS
Today the composite reads -0.949, placing the dot inside the Moderate NEG band. The signal updates daily from the rolling kurtosis computation; watch for sustained changes in daily gold return magnitudes as the kurtosis window refreshes.
TOP INPUTS FIRING
- Daily gold returns COMEX gold front-month contract daily log returns.
- 252-day rolling kurtosis One-year rolling fourth-moment of the daily return distribution.
- Market phase direction Direction of the current state run from the engine Market_Phase_Int column.
THE REGIME MAP
The six regime states
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Fat tails | +1 | 31.3% (2827 d) | +1.70% | +0.92pp | Aug 2024, Mar 2023, May 2022 | |
| Normal | 0 | 13.8% (1249 d) | +0.65% | -0.14pp | Aug 2024, Nov 2023, Feb 2023 | |
| Tight distribution TODAY | -1 | 54.8% (4947 d) | +0.29% | -0.50pp | Apr 2026, Nov 2023, Jul 2022 |
The historical pattern
Signature episodes
THE TRACK RECORD
Every state change in the last 2 years
8 state transitions from 01/02/2025 to 11/04/2026. Full history (99 total transitions since 11/30/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d GC |
|---|---|---|---|---|
| Neutral | 01/02/2025 | 01/31/2025 | 21d | -4.32% |
| Defensive | 02/03/2025 | 02/28/2025 | 19d | -7.23% |
| Neutral | 03/03/2025 | 07/31/2025 | 105d | +0.68% |
| Defensive | 08/01/2025 | 08/29/2025 | 21d | +10.22% |
| Neutral | 09/02/2025 | 10/31/2025 | 44d | +5.43% |
| Expansion | 11/03/2025 | 11/28/2025 | 19d | +1.26% |
| Neutral | 12/01/2025 | 12/31/2025 | 22d | +0.84% |
| Defensive LIVE | 01/02/2026 | current | 212d | -4.81% |
Scroll inside the table for the full history. Forward 60-day GC is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
The shape of the gold return distribution shifts with macro regime. During banking crises, sovereign defaults, and geopolitical shocks the return distribution develops fat tails (elevated kurtosis). During calm regimes returns cluster tightly around the mean. The signal computes 252-day rolling structural kurtosis of daily gold returns, applies a smoothing filter to isolate structural from cyclical components, z-scores on a longer baseline, and bounds through tanh.
Why it matters
Elevated kurtosis in gold returns indicates frequent large-magnitude daily moves. This distribution shape typically coincides with banking crises, sovereign defaults, geopolitical shocks, and Fed policy pivots. The signal captures these regimes indirectly through their statistical signature on gold.
Phase +1 fat-tails state has delivered plus 1.70 percent mean fwd 60-day gold return versus baseline +0.78 percent. Pair with direction signals (credit stress, positioning) for directional view; use this as a regime-identification filter.
Elevated kurtosis can mean large positive OR large negative daily returns. The signal measures distribution shape not direction; a high reading does not guarantee gold strength, only indicates macro-regime shifts. Pair with direction signals for actionable directional views.
GO DEEPER
What the Gold Credit-Quality Composite signal actually tells you (and when it does not)
The brief covers the 252-day structural kurtosis methodology, the macro-stress coincident framing, three signature episodes (2025-04 series max tariff escalation, 2026-04 series min pre-drawdown, 2020-03 COVID low-kurtosis regime), and four caveats on reading a distribution-shape signal as a direction lens.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 05, 2026 10:35 PM ET