SOYBEAN SPECIALIST · Oilseed / Macro Overlay
Z1246 – [S] Dollar + 5Y Note Macro Stress
The macro-regime overlay on soybeans, when strong dollar and elevated 5Y yields combine soy drifts; when the mix flips benign soy lifts with the global risk-on commodity complex.
At a glance
IN-SEASON · ACTIVE
Current composite
-0.961
On the plus-or-minus one tanh scale; deep in the risk-off / strong-dollar band.
SEASONAL STATE
IN-SEASON · ACTIVE
Live year-round on combined FOMC plus WASDE catalyst cadence.
Signal state
Moderate NEG
Current state across the three-state Risk-off / Normal / Risk-on regime machine.
Phase duration
1205 sessions
Consecutive trading days in the current phase.
As of Nov 03, 2026. Updated nightly.
SIGNAL OVERVIEW
Soybeans trade on fundamentals until they trade on macro. When the dollar surges and US Treasury yields spike, global emerging-market buyers lose purchasing power, Chinese reserve-buying programs lose dollar-financing capacity, and commodity-beta exposure drains from institutional books regardless of what the WASDE balance sheet is saying. When the mix flips, weak dollar, benign yields, risk-on, the mirror plays out and soybeans lift with the global commodity complex.
This signal reads the cross-asset Dollar Index × 5-Year Treasury Note macro-stress composite, z-scored on a 1260-day (five-year) rolling window, tanh-bounded, and sign-flipped so that positive composite reads risk-on and weak-dollar (bullish soy). The thirty-six-year empirical pattern is clean monotonic.
LIVE CHART
Thirty-six years of the Dollar Index × 5Y Note cross-asset macro-stress composite against CBOT soybean forward returns.
What the chart is showing. The dark line in the top panel is the Dollar Index × 5-Year Treasury Note macro-stress composite on a tanh-bounded plus-or-minus one scale, positive means risk-on and weak-dollar (bullish soy), negative means risk-off and strong-dollar (bearish soy). The bronze line in the middle panel is the CBOT soybean front-month in cents per bushel. The bottom panel tracks the 252-day rolling information coefficient between the composite and soybean 60-day forward returns. Dashed horizontal lines mark the plus-or-minus 0.3 moderate and plus-or-minus 0.6 extreme thresholds. Green band fills mark risk-on extremes (bullish soy); red band fills mark risk-off extremes (bearish soy).
COMPOSITE
-0.961 / tanh
STATE
Risk-off
PHASE
-1
FWD 60d
-0.86% (edge -2.28pp)
SAMPLE N
9,046 days
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Composite minus 0.96 (Extreme NEG, 1205 sessions running since November 6, 2024). 10th percentile of the full-history distribution, one of the deepest risk-off / strong-dollar readings in the modern sample. Current state has delivered minus 0.86 percent soy fwd 60-day on average, a minus 2.28pp edge below the baseline.
THE MACRO MECHANISM
Strong dollar plus elevated 5Y Treasury yields drain commodity beta from institutional books and compress emerging-market and Chinese reserve-buyer purchasing power. The composite is tanh-bounded and sign-flipped so that positive reads risk-on and weak-dollar (bullish soy). The signal is a macro-regime overlay, not a fundamentals read.
HOW TO POSITION
Non-overlap IC plus 0.111 at n=143 at p-value 0.19, not individually significant, but daily IC plus 0.023 at p=0.03 is significant on dense sampling. State edges are clean monotonic (-2.28pp / +0.03pp / +1.00pp). The signal is the macro-regime cross-check for the US ending-stocks fundamental signal, read them together to catch divergences.
WHAT THE CHART SHOWS
The composite tag at the right edge of the top panel is pinned near the minus 1.0 tanh ceiling, one of the deepest risk-off readings in the modern sample. The current run of 1205 sessions is extraordinarily long, the macro-stress regime has held for roughly two full years with only brief interruptions. The bronze soybean line in the middle panel traces a sideways-to-lower pattern near 1200 cents, down from the 2022 peak near 1700 cents, consistent with the Extreme NEG state expectation across the sustained window.
TOP INPUTS FIRING
- Primary composite -0.961 Dollar Index × 5-Year Treasury Note cross-asset macro-stress composite, sign-flipped. Deep in the Extreme NEG (risk-off / strong-dollar) band.
- Raw rolling z-score -2.02 Five-year (1260-day) trailing baseline; raw z of minus 2.02 means current conditions are more than two standard deviations into the strong-dollar / elevated-yields regime versus the trailing five-year norm.
- Phase run 1205 sessions Current Extreme NEG regime entered November 6, 2024. One of the longest sustained risk-off regimes in the thirty-six-year sample, extending the broader 2022-present Fed-tightening era.
THE TAKEAWAY
What this means for you today
WHAT THE MACRO-STRESS Z IS TELLING YOU
The composite has been sitting in the Extreme NEG band since November 6, 2024 and is now reading -0.961. The raw z is -2.02, more than two standard deviations below the five-year baseline, one of the deepest risk-off readings in the modern sample. The Dollar Index has been running strong and 5Y Treasury yields remain elevated, draining commodity beta from institutional soybean exposure. The state-conditional expectation is minus 0.86 percent soy forward sixty-day, a modest bearish tilt against a baseline that is actually structurally positive (+1.42 percent fwd 60-day for soy).
THE DIVERGENCE PROBLEM
The US ending-stocks fundamentals sibling currently reads Moderate POS (bullish soy via stocks contraction). This macro-stress signal reads Extreme NEG (bearish soy via risk-off). The two signals are DIVERGING. Historical precedent (2014-2016 dollar surge coincident with modest stocks tightness; 2020-2021 weak dollar coincident with China-driven stocks tightness) says that when macro and fundamentals fight at these extremes, macro wins. Scale any long-soy fundamentals exposure down and overlay an explicit macro hedge until the stress reading normalizes.
WHAT TO CROSS-REFERENCE
Pair with the US ending-stocks fundamentals sibling to watch the divergence resolve, either macro normalizes (composite rises toward zero) or fundamentals capitulate (ending-stocks regime flips back to Normal or Ample). Watch the broad trade-weighted USD index as a complement to the narrow DX basket, and the CFTC managed-money positioning sibling to see how crowded any residual long-soy book has become. The macro signal is a risk-off filter, not a position-entry trigger.
THE REGIME MAP
The three macro-stress regime states, forward returns and sample share
Behavior across the Dollar Index × 5Y Note macro-stress composite (CBOT soybean benchmark, 1990-11-29 through present). CBOT soybean forward 60-day baseline is plus 1.42 percent across 9,046 live-signal days. Clean monotonic three-regime edge; the Risk-off state has delivered a minus 2.28 percentage point edge, the Risk-on state a plus 1.00 percentage point edge. The macro regime drives commodity beta for soybeans across dollar and rate cycles.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Risk-off (bearish soy) TODAY | -1 | 27.8% (2500 d) | -0.86% | -2.28pp | Nov 2024, Apr 2022, Nov 2014 | |
| Normal | 0 | 9.2% (826 d) | +1.45% | +0.03pp | 2024, 2021, 2016 | |
| Risk-on (bullish soy) | +1 | 63.0% (5657 d) | +2.42% | +1.00pp | Mar 2020, Jul 2007, Apr 2002 |
The historical pattern across 36 years of DX × FV macro-stress
The signal across 36 years of Dollar Index × 5Y Note cross-asset macro-stress history
What this measures
Cross-asset macro regimes drive soybean commodity beta through the dollar-purchasing-power and rate-cost-of-capital channels. The composite blends the Dollar Index and the 5-year Treasury note into a single stress read, z-scored on a five-year rolling baseline, tanh-bounded, and sign-flipped. Positive composite reads risk-on and weak-dollar (bullish soy); negative reads risk-off and strong-dollar (bearish soy). Plus-or-minus 0.3 state-machine threshold.
Why it matters
Why macro-stress reads soy forward returns
Soybeans are a globally-traded commodity whose demand is dominated by Chinese buying (approximately 60 percent of global trade in a typical year) and emerging-market end-users (EU feed compounders, Mexican crush, Indonesian edible-oil demand). A strong US dollar compresses the purchasing power of every non-US buyer, while elevated US Treasury yields drain commodity-beta exposure from institutional portfolios by raising the opportunity cost of holding non-interest-bearing commodities. The dual-channel stress compounds, the Dollar Index + 5-Year Treasury composite captures both legs in a single read. The 36-year pattern shows Risk-on regimes delivering plus 2.42 percent soybean fwd 60-day (vs plus 1.42 percent baseline, edge plus 1.00pp) and Risk-off regimes delivering minus 0.86 percent (edge minus 2.28pp). The asymmetric Risk-off side, larger downside in the risk-off tail than upside in the risk-on tail, is the signature of a signal that is more informative about stress regimes than about risk-on regimes.
Why the macro-stress signal matters as much as the fundamentals signal
The US soybean ending-stocks fundamentals signal reads the balance-sheet supply regime. The macro-stress signal reads the dollar-and-rates demand environment. When they agree (both bullish or both bearish) the signal stack is clean. When they diverge, fundamentals bullish AND macro bearish, which is the current configuration, the historical precedent is that macro wins the fight. The 2014-2016 window had modest fundamentals tightness (US stocks were below trend) while the dollar surged on Fed taper; soy fell approximately 15 percent despite the fundamental support. The 2022-2024 window had similar divergence and resolved the same way. A position sized against the fundamentals signal alone without accounting for the macro-stress overlay will underperform through stress-driven drawdowns.
How to use this signal today
The composite -0.961 reading is deep in the Extreme NEG band and the phase has been running 1205 sessions, one of the longest sustained Risk-off regimes in the sample. The state-conditional forward sixty-day expectation is minus 0.86 percent, a modest bearish tilt that compounds against the structurally-positive baseline. The practical PM move in a fundamentals-bullish / macro-bearish divergence is to scale fundamentals-based long exposure down and overlay an explicit macro hedge (short DX or long FV calls) until the composite normalizes above minus 0.3 (exits Extreme NEG) and ideally toward zero. The trigger to re-engage long soy aggressively is a composite rise toward positive territory, signaling the macro overlay is no longer draining commodity beta from institutional books.
GO DEEPER
Want the full depth?
The 14-minute research brief walks the full thirty-six-year signature with expert commentary from Dana Whitfield, a discretionary-macro ag fund PM, on when the dollar matters for soybeans and when it is noise: the three distinct dollar regimes (weak-dollar demand, strong-dollar tightening, mid-cycle noise), the critical fundamentals-vs-macro divergence framework and why macro wins at the extremes, the inverted-signal documentation gap that will mis-side downstream analysts, three case studies (2007-13 weak-dollar supercycle, 2014-15 Fed-taper surge, 2022-present Fed-tightening era), and six blind spots including EUR-dominated DX basket vs CNY/BRL real soy FX exposure, correlation-spike episodes, fiscal-vs-monetary dollar drivers, and the Bonferroni multiple-testing correction.
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 04, 2026 01:05 AM ET