Credit Cycle Index
Educational Overview
Multi-factor credit conditions framework measuring financial market health through six proprietary components. Regime-based strategy designed for systematic positioning based on underlying credit market conditions.
Credit Regime Strategy
The Credit Cycle Index (CCI) measures financial market conditions through a multi-factor framework producing values from 0 to 100. Higher values indicate favorable conditions supporting risk-on positioning while lower values signal deteriorating conditions requiring defensive measures.
Unlike sentiment indicators that employ contrarian logic, the CCI operates on pro-cyclical regime principles. Financial markets transition between distinct regimes characterized by varying levels of stress and opportunity. During favorable regimes, risk assets tend to perform well. During stress regimes, preservation of capital takes precedence.
The strategy has demonstrated consistent performance over 33 years since 1993, achieving a 65.9% win rate while generating 786.63% cumulative returns. Credit conditions tend to persist, making the framework suitable for medium-term positioning based on underlying market health.
Historical Performance
Cumulative returns from 1993 to 2026 (backtested)
Past performance does not guarantee future results. For educational purposes only.
Performance by Year
Detailed breakdown of yearly returns showing consistency across multiple market cycles
Positive Years
Profitable trading years
Best Year
Highest annual return
Worst Year
Lowest annual return
Annual Returns Overview
Year-by-Year Performance
Returns calculated from cumulative performance data. All figures are net of costs and represent backtested results.
Why CCI Works
Six key advantages that make CCI effective for credit regime analysis and systematic positioning
Strong Win Rate
Winning Trades
Over 33 years of backtested data, CCI achieved a 65.9% win rate across 82 trades, demonstrating consistent signal quality through multiple market regimes.
Cumulative Returns
Since 1993
Systematic credit regime positioning generated substantial cumulative returns over 33 years, capturing favorable credit environments while avoiding major drawdowns.
Six-Component Framework
Market Components
CCI synthesizes risk appetite, condition momentum, capital allocation, implied uncertainty, market segment dynamics, and underlying structure for comprehensive credit assessment.
Controlled Drawdowns
Maximum Single Loss (2008)
During the 2008 financial crisis, CCI's worst single position loss was limited to -17.1%, demonstrating controlled downside during extreme credit market stress.
Best Single Trade
Maximum Single Gain
CCI captured significant upside during the 2009 recovery, demonstrating its ability to identify favorable credit conditions following market stress periods.
Long Track Record
Years of Data
CCI has been validated across 33 years of market history including multiple credit cycles, recessions, and crisis periods from 1993 to 2026.
Core Framework
Three pillars of credit regime assessment combining multi-factor analysis, dynamic adaptation, and systematic signal generation
Scientific Foundation
Six proprietary components measuring different aspects of credit market conditions through statistical normalization.
- Risk appetite assessment
- Condition momentum
- Capital allocation patterns
- Implied uncertainty
Professional Implementation
Weight adjustment during elevated stress periods for enhanced responsiveness when market conditions deteriorate.
- Stress-sensitive weighting
- Regime-aware adjustment
- Z-score normalization
- Outlier resistance
Practical Applications
Quality-filtered signals at specific thresholds with consensus requirements and momentum confirmation.
- Entry threshold: 70
- Exit threshold: 40
- Consensus filter (3/6)
- Anti-repaint protection
Methodology & Applications
Understanding how CCI transforms complex credit market data into actionable regime intelligence
Technical Approach
Multi-Factor Analysis
CCI synthesizes credit signals across spreads, volatility, funding conditions, and capital flows through proprietary weighting algorithms that adapt to changing market conditions.
Regime Detection
Advanced statistical processing identifies distinct credit regimes including crisis periods, risk-on environments, defensive positioning, and neutral conditions with mixed signals.
Quality Control
Comprehensive filtering mechanisms ensure signal reliability through data validation, cross-component consistency checks, and outlier detection during market disruptions.
Practical Usage
Portfolio Management
Strategic asset allocation decisions, tactical positioning adjustments, and dynamic rebalancing timing based on comprehensive credit regime assessment.
Crisis Detection
Early warning system for credit regime transitions and market stress conditions, enabling proactive defensive positioning before major dislocations.
Systematic Execution
CCI provides clear entry and exit signals at specific thresholds, removing emotional decision-making and ensuring disciplined execution across market cycles.
Empirical Results
Performance metrics showcasing CCI's effectiveness as a credit regime strategy
Win Rate
Percentage of profitable trades
Total Return
Cumulative performance since 1993
Total Trades
Signals across 33 years
Years
Validated across multiple cycles
Risk-Adjusted Performance Analysis
Historical Statistics
Risk Management
Important: Performance metrics based on historical S&P 500 analysis from 1993-2026. CCI operates on regime-following principles, positioning for favorable credit conditions and avoiding deteriorating environments. Results reflect systematic application under controlled backtesting conditions. Past performance does not guarantee future results.
Research Background
CCI builds upon decades of peer-reviewed research in credit market analysis and regime identification
The theoretical foundation rests on seminal works analyzing credit spreads as leading indicators of economic conditions and equity market performance. Research by Gilchrist & Zakrajsek (2012) on the credit spread puzzle demonstrates the predictive power of corporate bond spreads for real activity.
Recent advances in regime-switching models by Hamilton (1989) and extensions by Guidolin & Timmermann (2008) provide empirical frameworks for identifying distinct market states characterized by different risk-return profiles and volatility dynamics.
CCI synthesizes these research streams into a practical framework that maintains academic rigor while providing actionable signals for professional portfolio management and systematic credit regime positioning.
Ready for Credit Regime Analysis?
Get CCI Professional with six-component framework, dynamic weight adjustment, and systematic credit regime signals. Built for investors seeking to align positions with underlying credit market conditions.