Current Macro Regime · 2024-12-31
Goldilocks
87% HMM confidence
RACS signal: +20% RACS
VIXYield curve slope (10Y-2Y)HY credit spreadsFed funds deltaOFR stress index
Gaussian HMM inputs · 4 latent states · trained on 24 quarters
24
Quarters
training data
11/24
Goldilocks
most frequent
66%
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.

GoldilocksACTIVE
+20% RACS
VIX < 18Spreads tightFed on hold / cuttingEquity rallyActivists succeed
Historical frequency11 qtrs · 46%
Recovery
+10% RACS
VIX falling 25→18Fiscal stimulusPost-drawdown bounceValue leadsCyclicals outperform
Historical frequency6 qtrs · 25%
Rate Shock
−15% RACS
Fed hiking 50-75bp/meeting2Y > 10Y (inverted)VIX 20-30Growth equities -40-70%Crowding noise elevated
Historical frequency4 qtrs · 17%
Recession Fear
−25% RACS
OFR FSI spikedHY spreads > 600bpVIX > 30Systematic deleveragingRedemptions dominate flow
Historical frequency3 qtrs · 13%

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.

46%
25%
17%
13%
Goldilocks
11
quarters · 46%
+20% RACS
Recovery
6
quarters · 25%
+10% RACS
Rate Shock
4
quarters · 17%
−15% RACS
Recession Fear
3
quarters · 13%
−25% RACS

State Transition Matrix

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

Most persistent: Goldilocks 78%
Fastest-resolving: Recession Fear 51%
Avg persistence: 66%
Most likely escape: Fear → Recovery 31%
from ↓ / to →
Goldilocks
Recovery
Rate Shock
Recession Fear
Goldilocks
78%
SELF
14%
6%
2%
Recovery
22%
62%
SELF
9%
7%
Rate Shock
5%
18%
71%
SELF
6%
Recession Fear
8%
31%
10%
51%
SELF
Low → High probability
Diagonal = self-persistence (stay in same regime)
Each row sums to 100%