Current Macro Regime · 2026-07-01
Rate Shock
100% HMM confidence
RACS signal: −15% RACS
VIXYield curve slope (10Y-2Y)HY credit spreadsFed funds deltaOFR stress index
Gaussian HMM inputs · 4 latent states · trained on 289 quarters
289
Quarters
training data
181/289
Rate Shock
most frequent
74%
Avg persistence
per quarter

The Four Macro Regimes

Each regime shifts the RACS multiplier applied to every signal. The HMM detects which state is active from macro feature inputs.

Goldilocks
+20% RACS
VIX < 18Spreads tightFed on hold / cuttingEquity rallyActivists succeed
Historical frequency12 qtrs · 4%
Recovery
+10% RACS
VIX falling 25→18Fiscal stimulusPost-drawdown bounceValue leadsCyclicals outperform
Historical frequency19 qtrs · 7%
Rate ShockACTIVE
−15% RACS
Fed hiking 50-75bp/meeting2Y > 10Y (inverted)VIX 20-30Growth equities -40-70%Crowding noise elevated
Historical frequency181 qtrs · 63%
Recession Fear
−25% RACS
OFR FSI spikedHY spreads > 600bpVIX > 30Systematic deleveragingRedemptions dominate flow
Historical frequency77 qtrs · 27%

Regime Confidence Timeline 2019-2024

Bar height = HMM confidence. Colour = assigned regime. Dashed verticals = key macro events.

Goldilocks
Recovery
Rate Shock
Recession Fear
COVID crash
Fed hike cycle
SVB collapse
Goldilocks restored

24-Quarter Regime Distribution

Time spent in each state across the full training window.

63%
27%
7%
4%
Rate Shock
181
quarters · 63%
−15% RACS
Recession Fear
77
quarters · 27%
−25% RACS
Recovery
19
quarters · 7%
+10% RACS
Goldilocks
12
quarters · 4%
+20% RACS

State Transition Matrix

P(next quarter regime | current regime). Colour intensity = probability. Diagonal = self-persistence.

Most persistent: Rate Shock 92%
Fastest-resolving: Recovery 32%
Avg persistence: 74%
Most likely escape: Recovery → Rate Shock 42%
from ↓ / to →
Goldilocks
Recovery
Rate Shock
Recession Fear
Goldilocks
92%
SELF
0%
8%
0%
Recovery
5%
32%
SELF
42%
21%
Rate Shock
0%
2%
92%
SELF
6%
Recession Fear
0%
12%
6%
82%
SELF
Low → High probability
Diagonal = self-persistence (stay in same regime)
Each row sums to 100%