KC SPECIALIST · Softs / Macro Regime
Z1208 – [KC] the US 10-year TIPS yield Real Yield Z-Score Signal
10-year TIPS real yield captures the real cost of capital and transmits to Arabica forward 60-day returns via the commodity-complex discount-rate channel.
At a glance
IN-SEASON · ACTIVE
Current reading
+0.845
SEASONAL STATE
IN-SEASON · ACTIVE
Daily US 10-year TIPS yield update drives signal refresh.
Signal state
Real Yields High
1071 days in Healthy phase
Updated
Nov 04, 2026
Daily US 10-year TIPS yield update
Sample
24-year window
Daily cadence; 2003 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The 10-year TIPS real yield is the single most-watched gauge of real cost of capital in the US financial system. Real yields rise when the Fed tightens monetary policy in real terms and fall when policy is accommodative. Commodities are sensitive to real yields through the discount-rate channel; rising real yields compress commodity valuations via higher opportunity cost on non-yielding assets. Daily Spearman IC against Arabica forward 60-day returns is minus 0.041 at p-value 1.6e-3 across 5,929 observations, statistically significant on the 24-year sample. Phase plus 1 (high real yields) firings deliver minus 1.48 pp below baseline. Phase minus 1 (low real yields) firings deliver plus 0.79 pp above baseline. 2.27 pp directional spread.
LIVE CHART
KC the US 10-year TIPS yield Real Yield Z-Score Signal
What the chart is showing right now. The dark line is the US 10-year TIPS yield 10-year TIPS yield z-scored on a rolling 5-year window and tanh-bounded. Positive composite means real yields are above the 5-year z-score mean (monetary tightening regime); negative composite means below mean (monetary accommodation regime). The bronze line in the middle panel is ICE US Coffee C first-nearby. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
+0.845 / tanh
STATE
Real Yields High
PHASE
+1.23
PHASE +1 EDGE
-1.48 pp
PHASE -1 EDGE
+0.79 pp
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
Real Yields High firing at composite +0.845, 1071 trading days running in HEALTHY phase (extended persistence). Phase +1 (Real Yields High) delivers plus 1.26 percent fwd60d / minus 1.48 pp below plus 2.74 percent baseline. Phase -1 (Real Yields Low) delivers plus 3.53 percent / plus 0.79 pp above baseline. Daily Spearman IC minus 0.041 at p-value 1.6e-3 significant.
THE DISCOUNT-RATE MECHANISM
The 10-year TIPS yield measures the real cost of capital directly. Rising real yields raise opportunity cost on non-yielding assets (commodities, gold, cash) and compress commodity valuations via the discount-rate channel. Falling real yields support commodity bidding. Arabica is sensitive to this macro regime beyond its own supply-demand fundamentals.
HOW TO POSITION
Macro real-yield overlay for Arabica. Real Yields High firings flag bearish regimes where the discount-rate channel pressures Arabica over 60-day horizons. Real Yields Low firings flag bullish regimes where commodity bidding is supported. Pair with inflation regime, dollar, financial conditions, and Arabica supply signals.
WHAT THE CHART SHOWS
The composite sits at +0.845 in the Real Yields High band. US 10-year TIPS yield 10-year TIPS yield has run above the 5-year z-score mean through 2026 and Arabica forward 60-day returns historically run below baseline in this regime.
TOP INPUTS FIRING
- Primary composite +0.845 State Real Yields High, 1071 days running in HEALTHY phase (extended persistence episode).
- 10-year TIPS yield above 5-year mean Raw z-score +1.23; US 10-year TIPS yield has run above the 5-year rolling mean through 2026 consistent with extended Fed-tightening real-yield regime.
- Daily IC significant but modest, non-overlap not independent Daily Spearman IC minus 0.041 at p-value 1.6e-3 significant on full distribution. Non-overlap IC minus 0.024 at p-value 0.81 not independently significant on 99 samples.
THE TAKEAWAY
What this means for you today
THE REAL-YIELD CALL
Composite +0.845, Real Yields High. US 10-year TIPS yield has run above the 5-year z-score mean through 2026 with raw z at plus 1.23. Signal firing in Real Yields High bucket for 1071 days (extended multi-year persistence); forward 60-day edge in Phase +1 historically runs minus 1.48 pp below baseline.
THE EMPIRICAL CONTEXT
Daily IC minus 0.041 at p-value 1.6e-3 statistically significant on 24-year sample but modest in magnitude. Phase +1 (Real Yields High) delivers minus 1.48 pp below baseline; Phase -1 (Real Yields Low) delivers plus 0.79 pp. 2.27 pp directional spread with the directional edge concentrated in the Phase +1 tail.
THE HONEST CAVEAT
Non-overlap IC at 60-day sampling minus 0.024 at p-value 0.81 not independently significant on 99 samples. Current Phase +1 episode at 1071 days is one of the longest in the sample; the real- yield regime has persisted for roughly 4 years, limiting recent-sample conviction. Polarity is contrarian relative to the stated engine convention.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 5,929 post-warmup trading days (2003 onward). Baseline Arabica fwd60d mean plus 2.74 percent. Phase +1 (Real Yields High) delivers -1.48 pp edge; Phase -1 (Real Yields Low) delivers +0.79 pp. 2.27 pp directional spread with daily IC minus 0.041 significant on 24-year sample.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Real Yields High TODAY | +1 | 38.8% (2301 d) | +1.26% | -1.48pp | 2023-26 (current), 2006-08 | |
| On Trend | 0 | 14.4% (851 d) | +4.19% | +1.45pp | various | |
| Real Yields Low | -1 | 46.8% (2777 d) | +3.53% | +0.79pp | 2019-22, 2010-15 |
The historical pattern
Signature episodes in the 24-year sample
What this measures
Z-score of US 10-year TIPS yield on a rolling 5-year window, tanh-bounded. Positive composite equals real yields above the 5-year z-score mean (monetary tightening regime); negative composite equals below mean (monetary accommodation regime). Target ICE US Coffee C first- nearby back-adjusted close.
Why it matters
Why real yields matter for Arabica
The 10-year TIPS real yield is the single most-watched gauge of real cost of capital in the US financial system. Real yields rise when the Fed tightens monetary policy in real terms (above the pace of inflation) and fall when policy is accommodative. Commodities are sensitive to real yields through the discount-rate channel; rising real yields raise opportunity cost on non-yielding assets and compress commodity valuations. Arabica is sensitive to this macro backdrop beyond its own supply-demand fundamentals.
How to use this signal today
Macro real-yield overlay for Arabica positioning. Real Yields High firings flag bearish regimes where the discount-rate channel pressures Arabica over 60-day horizons; Real Yields Low firings flag bullish regimes where commodity bidding is supported. Pair with inflation regime overlays, dollar index, financial conditions, and fundamental supply signals for stacked macro-plus- fundamental conviction.
Risk overlay
Daily IC significant but modest at minus 0.041; non-overlap test minus 0.024 at p-value 0.81 not independently significant on 99 samples. Current Phase +1 episode at 1071 days is one of the longest in the sample; the extended real-yield regime has persisted for roughly 4 years, limiting recent- sample conviction. Polarity is contrarian relative to the stated engine convention; the empirical pattern says high real yields precede KC weakness and low real yields precede KC strength.
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 06, 2026 04:30 AM ET