InsightFlow · Market Dashboard

Source: StockMarket.xlsm · DailyMarketUS sheet · Generated: 2026-10-31

Indicator	What to compare	What to do if conditions worsen	Latest reading	Trend
Inflation	The ongoing trend in core CPI and core PCE, rather than a single year-over-year reading	Hold off on increasing your buying pace; reassess expectations for further rate hikes.	Core CPI 2.8% YoY (-0.02pp 3m); Core PCE 3.1% YoY (+0.08pp 3m)	Stable
Economic indicators	The trend in real GDP growth, the unemployment rate and the manufacturing PMI; growth indicators can quickly change the economic outlook when they surprise versus expectations	If growth slows, unemployment rises, or manufacturing contracts (PMI below 50), trim cyclical exposure and avoid adding risk.	Real GDP +3.4% QoQ ann. (+1.2pp); Unemployment 4.2% (+0.00pp 3m); Mfg index 20.9 (Philly Fed proxy)	Stable
Interest rates	The 10-year U.S. Treasury yield and the Federal Reserve's policy direction	If bond yields rise sharply, reduce the amount you invest in one go.	10Y 4.98% (-0.28pp 4w); Fed funds 3.75% (+0.12pp 3m)	Worsening
Earnings	Whether forward 12-month S&P 500 EPS estimates continue to rise, and whether reported results meet those expectations	Be especially cautious if earnings estimates fall but share prices do not.	S&P 500 trailing EPS 298.0 (+28.2% YoY) [trailing proxy]	Improving
Valuation	Forward P/E relative to its historical range, considered alongside bond yields	Do not assume stocks are cheap simply because prices have fallen by a few percent.	S&P 500 trailing P/E 25.9 (60th pctile); earnings yield 3.87% vs 10Y 4.98% [proxy]	Worsening
Market trend	The S&P 500 versus its 50-day and 200-day EMAs, the 50-day slope, the benchmark's Bullish/Neutral/Cautious/Bearish regime and its Low/High/Crisis volatility regime	If the index loses its 200-day EMA, the 50-day slope turns down, or volatility turns High/Crisis, reduce exposure and avoid adding risk.	SP500 7,580 vs EMA50 7,683 (-1.3%); EMA200 7,349 (+3.1%); regime Cautious; vol High	Stable
Breadth	How many sectors trade above the 50 level and whether the aggregate breadth sum is improving over the last week	If participation keeps narrowing, avoid concentrated positions in the few leading sectors.	sectors >=50: 54%; breadth sum 643 (+5 5d)	Stable
ADL	The number of advancing versus declining stocks and the 20-day change in the advance/decline line	A falling ADL while the index holds up warns of distribution; tighten stops and trim laggards.	A/D 190/148; ADL 20d +1535	Improving
Volatility	The VIX: sharp jumps signal stress, calm readings a stable trend	When volatility spikes, reduce position size and widen stops.	VIX 19.4	Stable
Sector rotation	Which sectors lead and lag over the last week, and whether leadership is cyclical (risk-on) or defensive (risk-off)	If leadership narrows to defensives, favour a more balanced posture over concentrated cyclical bets.	Leaders: IND 52 (+15), FIN 61 (+10); Laggards: TEC 19 (-14), COM 20 (-16); cyclical-led (defensive +0 vs cyclical +5)	Improving
Market dynamics	The market-breadth analysis: sector rotation, breadth momentum and the current market stance (risk-on vs risk-off) reported by the LLM	If the analysis turns defensive (risk-off) or breadth keeps deteriorating, reduce risk and avoid concentrated cyclical bets.	Stance: Risk-Off; Date Range: 2026-10-23 to 2026-pos-30 Analyst: Senior Quantitative Analyst ---	Worsening

Indicator

What to compare

What to do if conditions worsen

Latest reading

Trend

Inflation

The ongoing trend in core CPI and core PCE, rather than a single year-over-year reading

Hold off on increasing your buying pace; reassess expectations for further rate hikes.

Core CPI 2.8% YoY (-0.02pp 3m); Core PCE 3.1% YoY (+0.08pp 3m)

Stable

Economic indicators

The trend in real GDP growth, the unemployment rate and the manufacturing PMI; growth indicators can quickly change the economic outlook when they surprise versus expectations

If growth slows, unemployment rises, or manufacturing contracts (PMI below 50), trim cyclical exposure and avoid adding risk.

Real GDP +3.4% QoQ ann. (+1.2pp); Unemployment 4.2% (+0.00pp 3m); Mfg index 20.9 (Philly Fed proxy)

Stable

Interest rates

The 10-year U.S. Treasury yield and the Federal Reserve's policy direction

If bond yields rise sharply, reduce the amount you invest in one go.

10Y 4.98% (-0.28pp 4w); Fed funds 3.75% (+0.12pp 3m)

Worsening

Earnings

Whether forward 12-month S&P 500 EPS estimates continue to rise, and whether reported results meet those expectations

Be especially cautious if earnings estimates fall but share prices do not.

S&P 500 trailing EPS 298.0 (+28.2% YoY) [trailing proxy]

Improving

Valuation

Forward P/E relative to its historical range, considered alongside bond yields

Do not assume stocks are cheap simply because prices have fallen by a few percent.

S&P 500 trailing P/E 25.9 (60th pctile); earnings yield 3.87% vs 10Y 4.98% [proxy]

Worsening

Market trend

The S&P 500 versus its 50-day and 200-day EMAs, the 50-day slope, the benchmark's Bullish/Neutral/Cautious/Bearish regime and its Low/High/Crisis volatility regime

If the index loses its 200-day EMA, the 50-day slope turns down, or volatility turns High/Crisis, reduce exposure and avoid adding risk.

SP500 7,580 vs EMA50 7,683 (-1.3%); EMA200 7,349 (+3.1%); regime Cautious; vol High

Stable

Breadth

How many sectors trade above the 50 level and whether the aggregate breadth sum is improving over the last week

If participation keeps narrowing, avoid concentrated positions in the few leading sectors.

sectors >=50: 54%; breadth sum 643 (+5 5d)

Stable

ADL

The number of advancing versus declining stocks and the 20-day change in the advance/decline line

A falling ADL while the index holds up warns of distribution; tighten stops and trim laggards.

A/D 190/148; ADL 20d +1535

Improving

Volatility

The VIX: sharp jumps signal stress, calm readings a stable trend

When volatility spikes, reduce position size and widen stops.

VIX 19.4

Stable

Sector rotation

Which sectors lead and lag over the last week, and whether leadership is cyclical (risk-on) or defensive (risk-off)

If leadership narrows to defensives, favour a more balanced posture over concentrated cyclical bets.

Leaders: IND 52 (+15), FIN 61 (+10); Laggards: TEC 19 (-14), COM 20 (-16); cyclical-led (defensive +0 vs cyclical +5)

Improving

Market dynamics

The market-breadth analysis: sector rotation, breadth momentum and the current market stance (risk-on vs risk-off) reported by the LLM

If the analysis turns defensive (risk-off) or breadth keeps deteriorating, reduce risk and avoid concentrated cyclical bets.

Stance: Risk-Off; Date Range: 2026-10-23 to 2026-pos-30 Analyst: Senior Quantitative Analyst ---

Worsening

Market VerdictCautious · Confidence 75%

Previous: Cautious (2026-10-31)

While price action remains above the long-term EMA200, the market trend is trending below its short-term EMA50 and current dynamics are worsening toward a Risk-Off stance. The improving Advance/Decline line suggests underlying breadth support, but the primary risk is the increasing volatility and deteriorating market sentiment.

Generated 2026-10-31 16:07 · model=batiai/gemma4-26b:q3

Source: StockMarket.xlsm · DailyMarketHK sheet · Generated: 2026-10-31

Indicator	What to compare	What to do if conditions worsen	Latest reading	Trend
Inflation	The Composite CPI year-over-year change and whether it is still rising or turning down over the last quarter	If inflation keeps rising, expect tighter policy and margin pressure; trim rate-sensitive and low-margin names.	Composite CPI 1.6% YoY (n/a 3m)	Stable
Economic indicators	Real GDP growth trend (year-over-year; quarter-over-quarter is shown in the reading) and the unemployment rate trend	If GDP rolls over or unemployment rises the earnings backdrop weakens; reduce cyclical exposure.	Real GDP -3.5% QoQ (+4.3% YoY); Unemployment 3.8% (+0.10pp 3m)	Stable
Market trend	The Hang Seng Index versus its 50-day and 200-day EMAs, the 50-day slope, the benchmark's Bullish/Neutral/Cautious/Bearish regime and its Low/High/Crisis volatility regime	If the index loses its 200-day EMA, the 50-day slope turns down, or volatility turns High/Crisis, reduce exposure and avoid adding risk.	HSI 23,294 vs EMA50 24,273 (-4.0%); EMA200 24,911 (-6.5%); regime Bearish; vol High	Worsening
Breadth	How many sectors trade above the 50 level and whether the aggregate breadth sum is improving over the last week	If participation keeps narrowing, avoid concentrated positions in the few leading sectors.	sectors >=50: 33%; breadth sum 457 (+183 5d)	Worsening
ADL	The number of advancing versus declining stocks and the 20-day change in the advance/decline line	A falling ADL while the index holds up warns of distribution; tighten stops and trim laggards.	A/D 72/69; ADL 20d +218	Improving
Volatility	The HSI's 20-day realized volatility as a proxy for the VHSI: sharp jumps signal stress, calm readings a stable trend	When volatility spikes, reduce position size and widen stops.	HSI 20-day realized vol 19.7% (VHSI proxy)	Stable
Sector rotation	Which sectors lead and lag over the last week, and whether leadership is cyclical (risk-on) or defensive (risk-off)	If leadership narrows to defensives, favour a more balanced posture over concentrated cyclical bets.	Leaders: ENE 100 (+83), FIN 62 (+44); Laggards: AI 14 (+0), HLT 0 (-14); cyclical-led (defensive +8 vs cyclical +16)	Improving
Market dynamics	The market-breadth analysis: sector rotation, breadth momentum and the current market stance (risk-on vs risk-off) reported by the LLM	If the analysis turns defensive (risk-off) or breadth keeps deteriorating, reduce risk and avoid concentrated cyclical bets.	Stance: Risk-On (Selective); Date Range: 2026-10-23 to 2026-10-30 Analyst Note: Analysis focused on the 5-day window with comparative context from the 20-day trend. ---	Improving

Indicator

What to compare

What to do if conditions worsen

Latest reading

Trend

Inflation

The Composite CPI year-over-year change and whether it is still rising or turning down over the last quarter

If inflation keeps rising, expect tighter policy and margin pressure; trim rate-sensitive and low-margin names.

Composite CPI 1.6% YoY (n/a 3m)

Stable

Economic indicators

Real GDP growth trend (year-over-year; quarter-over-quarter is shown in the reading) and the unemployment rate trend

If GDP rolls over or unemployment rises the earnings backdrop weakens; reduce cyclical exposure.

Real GDP -3.5% QoQ (+4.3% YoY); Unemployment 3.8% (+0.10pp 3m)

Stable

Market trend

The Hang Seng Index versus its 50-day and 200-day EMAs, the 50-day slope, the benchmark's Bullish/Neutral/Cautious/Bearish regime and its Low/High/Crisis volatility regime

If the index loses its 200-day EMA, the 50-day slope turns down, or volatility turns High/Crisis, reduce exposure and avoid adding risk.

HSI 23,294 vs EMA50 24,273 (-4.0%); EMA200 24,911 (-6.5%); regime Bearish; vol High

Worsening

Breadth

How many sectors trade above the 50 level and whether the aggregate breadth sum is improving over the last week

If participation keeps narrowing, avoid concentrated positions in the few leading sectors.

sectors >=50: 33%; breadth sum 457 (+183 5d)

Worsening

ADL

The number of advancing versus declining stocks and the 20-day change in the advance/decline line

A falling ADL while the index holds up warns of distribution; tighten stops and trim laggards.

A/D 72/69; ADL 20d +218

Improving

Volatility

The HSI's 20-day realized volatility as a proxy for the VHSI: sharp jumps signal stress, calm readings a stable trend

When volatility spikes, reduce position size and widen stops.

HSI 20-day realized vol 19.7% (VHSI proxy)

Stable

Sector rotation

Which sectors lead and lag over the last week, and whether leadership is cyclical (risk-on) or defensive (risk-off)

If leadership narrows to defensives, favour a more balanced posture over concentrated cyclical bets.

Leaders: ENE 100 (+83), FIN 62 (+44); Laggards: AI 14 (+0), HLT 0 (-14); cyclical-led (defensive +8 vs cyclical +16)

Improving

Market dynamics

The market-breadth analysis: sector rotation, breadth momentum and the current market stance (risk-on vs risk-off) reported by the LLM

If the analysis turns defensive (risk-off) or breadth keeps deteriorating, reduce risk and avoid concentrated cyclical bets.

Stance: Risk-On (Selective); Date Range: 2026-10-23 to 2026-10-30 Analyst Note: Analysis focused on the 5-day window with comparative context from the 20-day trend. ---

Improving

Market VerdictBearish · Confidence 85%

Previous: Bearish (2026-10-31)

The market regime remains firmly bearish with HSI trading significantly below both its EMA50 and EMA200, indicating a worsening downward trend. While price action dynamics and breadth show signs of selective improvement, the high volatility and structural weakness in the index suggest continued downside risk. The key risk is a failure for the improving momentum to overcome the prevailing long-term bearish trend.

Generated 2026-10-31 16:08 · model=batiai/gemma4-26b:q3

MARKET CYCLE (US)

Source: StockMarket.xlsm · MarketCycle sheet · Month ending 2026-09-30 · 158 observations · Generated 2026-10-31 22:13

4-state t-Mixture with GARCH(1,1) · 31 features -> 6 common factors · BIC 2755 · loglik -1228

Current regimeCautious Decline· Confidence 94.8%

In regime since 2026-09-30 (1 month) · Next-month change 81.5%

Defensive rotation: mean monthly readings in this state -- S&P 500 -3.5, HY credit -1.9, commodities -0.8, gold -1.0, log VIX +3.03, credit spread 2.02, VIX slope -0.04

Regime probabilities & trading actions

Regime	Probability	Expected duration	Signature	Trading action
Emerging Expansion	0.6%	3 months	Risk assets improving, moderate volatility, early recovery; equities and commodities turning up, credit improving, uncertainty easing	Increase equity beta gradually; favour small caps, technology, cyclicals
Robust Expansion	2.0%	2 months	Strong risk-asset returns, low uncertainty, broad risk-on; trend, momentum and credit all supportive	Full normal risk budget; favour growth, semis, discretionary, communication services
Cautious Decline	94.8%	1 month	Weakening returns, rising uncertainty, defensive rotation; trend rolling over	Reduce gross exposure; rotate toward quality, low volatility, gold, short-duration bonds
Market Turmoil	2.6%	1 month	Sharp equity drawdowns, volatility and credit stress; VIX and HY spreads spike	Cut equity beta, raise cash, use Treasuries/hedges; avoid adding risk

Regime

Probability

Expected duration

Signature

Trading action

Emerging Expansion

0.6%

3 months

Risk assets improving, moderate volatility, early recovery; equities and commodities turning up, credit improving, uncertainty easing

Increase equity beta gradually; favour small caps, technology, cyclicals

Robust Expansion

2.0%

2 months

Strong risk-asset returns, low uncertainty, broad risk-on; trend, momentum and credit all supportive

Full normal risk budget; favour growth, semis, discretionary, communication services

Cautious Decline

94.8%

1 month

Weakening returns, rising uncertainty, defensive rotation; trend rolling over

Reduce gross exposure; rotate toward quality, low volatility, gold, short-duration bonds

Market Turmoil

2.6%

1 month

Sharp equity drawdowns, volatility and credit stress; VIX and HY spreads spike

Cut equity beta, raise cash, use Treasuries/hedges; avoid adding risk

Regime frequency vs State Street's published shares (1995-2024) — shares in %, both measured on calendar months · TV 5.8pp

Regime	Ours (displayed)	Ours (model)	State Street	Gap (pp)
Emerging Expansion	48.1	48.4	42.3	+5.8
Robust Expansion	25.3	24.4	25.4	+0.0
Cautious Decline	15.2	15.1	19.2	-4.0
Market Turmoil	11.4	12.0	13.2	-1.8

Robustness — Market Turmoil vs the NBER recessions & the worst S&P 500 drawdowns (scored on calendar months, like the paper's Figure 3)

Check	Precision	Recall	F1	Actual months	Episodes flagged	State Street F1
NBER recessions	5.6	50.0	10.0	2
Top-5 S&P 500 drawdowns	55.6	34.5	42.5	29	4 of 5	77.5
Top-10 S&P 500 drawdowns	61.1	28.2	38.6	39	5 of 10	72.8

Drawdowns scored: 2020-02-19 -> 2020-03-23 (-33.9%) [flagged] · 2022-01-03 -> 2022-10-12 (-25.4%) · 2018-09-20 -> 2018-12-24 (-19.8%) [flagged] · 2025-02-19 -> 2025-04-08 (-18.9%) [flagged] · 2015-05-21 -> 2016-02-11 (-14.2%) [flagged] · 2018-01-26 -> 2018-02-08 (-10.2%) · 2020-09-02 -> 2020-09-23 (-9.6%) · 2026-01-27 -> 2026-03-30 (-9.1%) [flagged] · 2024-07-16 -> 2024-08-05 (-8.5%) · 2014-09-18 -> 2014-10-15 (-7.4%)

Stress by regime — equal-weighted cross-asset book under each regime's own history (t-copula, 20-day horizon, 95%)

Regime	Periods	Days	Avg corr	Dof	Tail λL	VaR 95%	CVaR 95%	Max DD	Realised vol	Realised mean
Emerging Expansion	76	1,542	16.8%	12.0	4.0%	-1.6%	-2.3%	-1.2%	6.0%	15.0%
Robust Expansion	40	822	17.2%	7.0	9.4%	-2.3%	-3.4%	-1.8%	8.7%	22.2%
Cautious Decline	24	491	19.8%	12.0	5.3%	-5.1%	-6.0%	-2.9%	7.7%	-20.7%
Market Turmoil	18	369	15.5%	4.0	17.6%	-7.2%	-8.7%	-4.0%	13.9%	-20.0%

Best & worst assets by regime — mean month return % | QCD | Dispersion | grade

Regime	Rank	Best	Best Mean %	Best QCD	Best Dispersion	Worst	Worst Mean %	Worst QCD	Worst Dispersion
Emerging Expansion	1	Semiconductors (SMH) ★★☆	4.18	0.17	0.70	US dollar (DXY) ⊗	-0.17	0.12	0.73
Emerging Expansion	2	Technology (XLK) ★★★	3.05	0.17	0.61	Treasuries 1-3M (BIL) ⊗	0.17	0.10	1.56
Emerging Expansion	3	Metals & mining (XME) ★★☆	2.73	0.16	0.71	Treasuries 1-3Y (SHY) ⊗	0.18	0.11	0.82
Emerging Expansion	4	Homebuilders (XHB) ★★★	2.67	0.16	0.59	Treasuries 7-10Y (IEF) ⊗	0.37	0.14	0.80
Emerging Expansion	5	Regional banks (KRE) ★★☆	2.52	0.13	0.71	US aggregate bond (BND) ⊗	0.43	0.15	0.70
Robust Expansion	1	Semiconductors (SMH) ★★★	6.48	0.30	0.86	US dollar (DXY) ⊗	-0.31	0.14	0.97
Robust Expansion	2	Metals & mining (XME) ★★☆	6.17	0.28	1.40	Treasuries 20+Y (TLT) ⊗	-0.09	0.08	0.68
Robust Expansion	3	Oil & gas equipment (OIH) ★★☆	5.92	0.26	1.31	Treasuries 1-3M (BIL) ⊗	0.09	0.27	0.81
Robust Expansion	4	Oil & gas exploration (XOP) ★★☆	5.70	0.23	1.32	Treasuries 1-3Y (SHY) ⊗	0.09	0.07	0.83
Robust Expansion	5	Homebuilders (XHB) ★★★	5.51	0.38	0.78	Gold (GLD) ⊗	0.12	0.12	0.90
Cautious Decline	1	US dollar (DXY)	1.80			Homebuilders (XHB) ⊗	-6.17
Cautious Decline	2	Treasuries 1-3M (BIL)	0.17			Real estate (XLRE) ⊗	-5.52
Cautious Decline	3	Treasuries 1-3Y (SHY)	-0.28			Metals & mining (XME) ⊗	-5.14
Cautious Decline	4	Commodities (DBC)	-0.58			Materials (XLB) ⊗	-4.76
Cautious Decline	5	Gold (GLD)	-0.90			US small caps (Russell 2000) ⊗	-4.62
Market Turmoil	1	Treasuries 20+Y (TLT)	3.37			Oil & gas equipment (OIH) ⊗	-12.87
Market Turmoil	2	Gold (GLD)	3.07			Oil & gas exploration (XOP) ⊗	-10.99
Market Turmoil	3	Treasuries 7-10Y (IEF)	1.74			Energy (XLE) ⊗	-7.58
Market Turmoil	4	US aggregate bond (BND)	0.70			Metals & mining (XME) ⊗	-7.42
Market Turmoil	5	US mortgage-backed (MBB)	0.56			Banks (KBE) ⊗	-7.08

Regime signature — posterior-mean monthly readings (raw units)

Feature	Emerging Expansion	Robust Expansion	Cautious Decline	Market Turmoil
eq_us (S&P 500 return)	2.36	3.89	-3.48	-4.31
eq_em (EM equity (EEM) return)	2.21	2.55	-3.52	-4.35
ust (7-10y Treasury (IEF) return)	0.35	0.20	-1.92	1.59
ust_10y_chg (10y Treasury yield change (pp))	-0.01	0.00	0.28	-0.17
ig (IG credit (LQD) return)	0.66	1.17	-2.59	0.27
hy (HY credit (HYG) return)	0.85	1.58	-1.94	-1.26
credit_carry (HY minus IG return (fixed-income carry))	0.18	0.41	0.65	-1.52
credit_spread_chg (Credit spread change (pp))	-0.03	-0.08	0.01	0.20
cmdty (Commodity (DBC) return)	1.28	1.21	-0.80	-3.50
gold (Gold (GLD) return)	1.20	0.30	-0.95	2.36
tips (Inflation-linked bonds (TIP) return)	0.45	0.55	-1.58	0.50
infl_exp_chg (5y forward inflation expectation change (bp))	0.81	3.28	0.39	-11.51
usd (USD index return)	-0.24	-0.26	1.85	0.47
mom (Momentum factor (MTUM) return)	2.68	3.82	-3.27	-3.34
value (Value factor (VLUE) return)	2.69	4.23	-3.74	-5.16
quality (Quality factor (QUAL) return)	2.52	3.98	-3.53	-4.16
lowvol (Low-volatility factor (USMV) return)	1.93	3.02	-3.22	-2.46
smallcap (Small cap (IWM) return)	2.48	4.39	-4.66	-5.59
short_vol (Short-volatility (SVXY) return)	5.29	10.06	-9.27	-15.50
trend (Cross-asset trend-following index)	0.33	0.20	0.00	0.09
vix_lvl (VIX level (log))	2.69	2.84	3.03	3.17
vix_chg (VIX change (log))	-0.04	-0.20	0.23	0.29
vix_slope (VIX / VIX3M - 1 (inverted = stress))	-0.13	-0.14	-0.04	0.01
skew_lvl (CBOE SKEW (equity option skew))	138.56	131.00	133.26	128.70
fi_vol (Bond volatility (MOVE) - FI-skew stand-in)	4.20	4.34	4.59	4.36
credit_spread (Baa-10y credit spread (CDS/HY proxy))	1.99	2.44	2.02	2.53
bond_liq (HYG illiquidity (corporate-bond liquidity))	4.54	5.09	4.86	4.93
stlfsi_lvl (St. Louis Fed Financial Stress Index)	-0.53	-0.09	-0.27	0.35
nfci_lvl (Chicago Fed National Financial Conditions Index)	-0.56	-0.40	-0.43	-0.44
epu_lvl (Economic Policy Uncertainty (log))	4.78	4.66	4.75	4.92
ovx_lvl (OVX commodity volatility (log))	3.43	3.79	3.64	3.89

Asset performance by regime — mean month return % | hit rate (share of positive months) %

Mean return %

Asset	Emerging Expansion	Robust Expansion	Cautious Decline	Market Turmoil
US equities (S&P 500)	2.31	3.92	-3.54	-4.52
US small caps (Russell 2000)	2.37	4.42	-4.62	-5.79
EM equities (EEM)	2.05	2.77	-3.29	-4.82
Treasuries 1-3M (BIL)	0.17	0.09	0.17	0.12
Treasuries 1-3Y (SHY)	0.18	0.09	-0.28	0.41
Treasuries 7-10Y (IEF)	0.37	0.12	-1.90	1.74
Treasuries 20+Y (TLT)	0.62	-0.09	-3.67	3.37
US inflation-linked (TIP)	0.44	0.54	-1.51	0.49
US aggregate bond (BND)	0.43	0.45	-1.60	0.70
US intermediate corporate (VCIT)	0.60	0.94	-1.95	0.35
US investment-grade credit (LQD)	0.64	1.15	-2.59	0.36
US high-yield credit (HYG)	0.82	1.59	-1.97	-1.27
US mortgage-backed (MBB)	0.44	0.43	-1.66	0.56
US municipal (MUB)	0.45	0.55	-1.21	0.27
Commodities (DBC)	1.14	1.49	-0.58	-4.09
Gold (GLD)	1.14	0.12	-0.90	3.07
US dollar (DXY)	-0.17	-0.31	1.80	0.36
Short volatility (SVXY)	5.14	10.08	-9.27	-16.39
Technology (XLK)	3.05	5.10	-2.85	-4.09
Communication services (XLC)	2.47	4.93	-4.58	-4.79
Consumer discretionary (XLY)	2.29	4.47	-4.08	-4.82
Consumer staples (XLP)	1.63	2.57	-2.84	-2.55
Energy (XLE)	2.14	4.33	-2.49	-7.58
Financials (XLF)	2.41	4.18	-3.46	-5.76
Health care (XLV)	2.41	3.12	-3.47	-3.90
Industrials (XLI)	2.35	4.58	-3.98	-5.06
Materials (XLB)	2.24	4.28	-4.76	-5.04
Real estate (XLRE)	2.03	3.05	-5.52	-3.22
Utilities (XLU)	1.61	2.01	-3.40	0.36
Semiconductors (SMH)	4.18	6.48	-3.38	-4.84
Homebuilders (XHB)	2.67	5.51	-6.17	-5.86
Aerospace & defense (ITA)	2.45	3.88	-2.54	-4.71
Oil & gas equipment (OIH)	2.02	5.92	-4.39	-12.87
Oil & gas exploration (XOP)	1.92	5.70	-3.40	-10.99
Metals & mining (XME)	2.73	6.17	-5.14	-7.42
Banks (KBE)	2.44	4.00	-3.17	-7.08
Regional banks (KRE)	2.52	3.72	-2.98	-7.05
Telecom (VOX)	1.97	3.51	-3.97	-3.75
Dividend aristocrats (NOBL)	2.10	3.64	-4.10	-4.08

Hit rate %

Asset	Emerging Expansion	Robust Expansion	Cautious Decline	Market Turmoil
US equities (S&P 500)	89.5	87.5	4.2	0.0
US small caps (Russell 2000)	80.3	82.5	12.5	11.1
EM equities (EEM)	76.3	62.5	8.3	16.7
Treasuries 1-3M (BIL)	73.7	52.5	66.7	66.7
Treasuries 1-3Y (SHY)	72.4	57.5	20.8	77.8
Treasuries 7-10Y (IEF)	59.2	52.5	8.3	83.3
Treasuries 20+Y (TLT)	61.8	47.5	12.5	66.7
US inflation-linked (TIP)	71.1	62.5	12.5	61.1
US aggregate bond (BND)	65.8	60.0	8.3	72.2
US intermediate corporate (VCIT)	73.7	70.0	4.2	66.7
US investment-grade credit (LQD)	72.4	65.0	4.2	55.6
US high-yield credit (HYG)	85.5	77.5	0.0	33.3
US mortgage-backed (MBB)	65.8	70.0	4.2	83.3
US municipal (MUB)	71.1	70.0	12.5	61.1
Commodities (DBC)	60.5	62.5	50.0	11.1
Gold (GLD)	55.3	45.0	29.2	72.2
US dollar (DXY)	44.7	42.5	87.5	72.2
Short volatility (SVXY)	82.9	87.5	12.5	0.0
Technology (XLK)	78.9	82.5	25.0	11.1
Communication services (XLC)	74.5	95.8	11.8	9.1
Consumer discretionary (XLY)	80.3	75.0	16.7	11.1
Consumer staples (XLP)	72.4	70.0	8.3	38.9
Energy (XLE)	65.8	65.0	29.2	11.1
Financials (XLF)	72.4	80.0	12.5	5.6
Health care (XLV)	80.3	80.0	8.3	11.1
Industrials (XLI)	78.9	82.5	0.0	11.1
Materials (XLB)	78.9	75.0	0.0	5.6
Real estate (XLRE)	76.6	67.6	5.0	30.8
Utilities (XLU)	69.7	70.0	20.8	66.7
Semiconductors (SMH)	80.3	85.0	25.0	16.7
Homebuilders (XHB)	68.4	85.0	12.5	27.8
Aerospace & defense (ITA)	72.4	72.5	20.8	27.8
Oil & gas equipment (OIH)	64.5	67.5	29.2	11.1
Oil & gas exploration (XOP)	57.9	62.5	20.8	11.1
Metals & mining (XME)	63.2	72.5	16.7	22.2
Banks (KBE)	68.4	77.5	25.0	11.1
Regional banks (KRE)	65.8	77.5	25.0	16.7
Telecom (VOX)	69.7	75.0	16.7	22.2
Dividend aristocrats (NOBL)	85.1	85.0	0.0	11.1

MONTHLY REGIME HISTORY (newest first, last 36 observations)

Month end	Regime	p(Emerging)	p(Robust)	p(Cautious)	p(Turmoil)	Confidence	GARCH vol (ann.)	Risk appetite	S&P 500
2026-09-30	Cautious Decline	0.6%	2.0%	94.8%	2.6%	94.8%	11.4	-0.22	7,651.54
2026-08-31	Emerging Expansion	92.8%	7.1%	0.0%	0.1%	92.8%	12.4	0.17	7,686.14
2026-07-31	Emerging Expansion	48.8%	40.6%	3.3%	7.4%	48.8%	14.6	-0.46	7,489.72
2026-06-30	Emerging Expansion	94.8%	4.8%	0.0%	0.3%	94.8%	17.9	-0.07	7,499.36
2026-05-31	Emerging Expansion	86.7%	13.2%	0.0%	0.1%	86.7%	21.6	0.47	7,580.06
2026-04-30	Robust Expansion	2.7%	97.3%	0.0%	0.0%	97.3%	15.3	1.30	7,209.01
2026-03-31	Market Turmoil	0.0%	0.1%	5.6%	94.3%	94.3%	10.5	-0.57	6,528.52
2026-02-28	Emerging Expansion	99.2%	0.7%	0.0%	0.1%	99.2%	10.0	-0.31	6,878.88
2026-01-31	Emerging Expansion	100.0%	0.0%	0.0%	0.0%	100.0%	10.2	0.26	6,939.03
2025-12-31	Emerging Expansion	99.4%	0.6%	0.0%	0.0%	99.4%	10.4	0.05	6,845.50
2025-11-30	Emerging Expansion	98.8%	1.2%	0.0%	0.0%	98.8%	10.8	-0.15	6,849.09
2025-10-31	Emerging Expansion	99.3%	0.6%	0.0%	0.1%	99.3%	11.4	-0.03	6,840.20
2025-09-30	Emerging Expansion	99.6%	0.4%	0.0%	0.0%	99.6%	11.1	0.33	6,688.46
2025-08-31	Emerging Expansion	98.3%	1.6%	0.0%	0.0%	98.3%	12.3	0.12	6,460.26
2025-07-31	Emerging Expansion	98.8%	1.1%	0.0%	0.2%	98.8%	14.5	0.07	6,339.39
2025-06-30	Emerging Expansion	95.0%	5.0%	0.0%	0.0%	95.0%	15.1	0.66	6,204.95
2025-05-31	Emerging Expansion	54.4%	45.6%	0.0%	0.0%	54.4%	13.8	0.69	5,911.69
2025-04-30	Market Turmoil	17.9%	14.6%	1.6%	65.9%	65.9%	16.6	-0.59	5,569.06
2025-03-31	Market Turmoil	0.9%	0.2%	8.6%	90.3%	90.3%	11.8	-0.93	5,611.85
2025-02-28	Emerging Expansion	48.1%	0.3%	0.0%	51.5%	48.1%	11.9	-0.26	5,954.50
2025-01-31	Emerging Expansion	99.9%	0.1%	0.0%	0.0%	99.9%	13.3	0.18	6,040.53
2024-12-31	Cautious Decline	0.1%	0.0%	97.4%	2.5%	97.4%	13.4	-0.56	5,881.63
2024-11-30	Robust Expansion	19.8%	80.2%	0.0%	0.0%	80.2%	10.7	0.57	6,032.38
2024-10-31	Cautious Decline	0.0%	0.0%	99.8%	0.2%	99.8%	10.3	-0.43	5,705.45
2024-09-30	Emerging Expansion	97.7%	1.9%	0.0%	0.4%	97.7%	10.7	0.09	5,762.48
2024-08-31	Emerging Expansion	88.5%	11.5%	0.0%	0.0%	88.5%	11.2	-0.02	5,648.40
2024-07-31	Emerging Expansion	99.0%	0.8%	0.0%	0.1%	99.0%	12.8	-0.05	5,522.30
2024-06-30	Emerging Expansion	97.8%	2.2%	0.0%	0.0%	97.8%	14.1	0.15	5,460.48
2024-05-31	Emerging Expansion	94.1%	5.9%	0.0%	0.0%	94.1%	14.7	0.42	5,277.51
2024-04-30	Cautious Decline	0.0%	0.0%	100.0%	0.0%	100.0%	12.3	-0.65	5,035.69
2024-03-31	Emerging Expansion	99.7%	0.3%	0.0%	0.0%	99.7%	13.7	0.26	5,254.35
2024-02-29	Emerging Expansion	97.2%	2.7%	0.0%	0.0%	97.2%	13.0	0.42	5,096.27
2024-01-31	Emerging Expansion	98.8%	0.5%	0.7%	0.0%	98.8%	16.0	-0.15	4,845.65
2023-12-31	Emerging Expansion	77.9%	22.0%	0.0%	0.0%	77.9%	19.0	0.58	4,769.83
2023-11-30	Robust Expansion	1.1%	98.9%	0.0%	0.0%	98.9%	14.1	1.16	4,567.80
2023-10-31	Cautious Decline	2.8%	3.1%	94.0%	0.0%	94.0%	15.6	-0.72	4,193.80

Method: free-data proxies for State Street's 32-feature return + uncertainty panel (Yahoo Finance indices/ETFs incl. EM, credit, commodities, gold, TIPS, USD and the style ETFs; FRED Baa-10y spread, EPU, forward inflation expectations and the STLFSI/NFCI liquidity indexes). Monthly returns/changes -> winsorised at 0.5/99.5% -> robust-scaled -> GARCH(1,1) de-volatilised -> 3 common factors per sleeve -> 4-state t-Mixture with GARCH(1,1) (EM; the label is the causal posterior with a dwell rule). Regimes are contemporaneous, not forecasts, and the style-factor proxies only start in 2011. The paper's fixed-income option-skew slot is filled with MOVE bond volatility (no free skew series exists); the 2s10s curve feature is implemented but left out of the default fit. Our Market Turmoil is a violent-stress state (18 months in the fit window, -4.5%/month, covering 11.4% of periods against the paper's 13.2% of periods at -2.74%/mo), and our Cautious Decline is a defensive-rotation state rather than the paper's energy-shock one. The QCD is our implementation of the paper's Quantile-Conditional Density (the paper names the metric and quotes values but never defines the formula, and the Two Sigma source it cites is unavailable): it measures how far the regime's conditional return distribution sits from the asset's unconditional one (0 = unchanged), not how dispersed it is; the Dispersion column carries that (the regime's month IQR over the asset's own long-run IQR), and the star grade blends the return rank with the dispersion rank. Both need at least 25 classified months, so Cautious Decline (24) and Market Turmoil (18) are left blank. A slow drawdown that recovers by the month-end is therefore not flagged as turmoil, because a monthly panel cannot see the path. Scored on calendar months, the regime flags 5 of the 10 worst S&P 500 drawdowns of its window as Market Turmoil. Our regime shares sit 5.8pp (total-variation distance) from State Street's published ones -- a reference, not a prior. Both sides are measured on calendar months (the identity for a monthly fit).

TACTICAL ASSET ALLOCATION (TAA) - US

Source: StockMarket.xlsm · TAA sheet · As of 2026-09-30 · Regime Cautious Decline · Generated 2026-10-29 19:58

Risk appetite-0.223

Growth tilt-1.1%

Tracking error1.3%

Leeway27.8%

Turnover0.0%

Asset-class allocation (%)

Block	SAA	Current	Active	Change
Equities	57.0	48.8	-8.2	-0.0
Fixed income	40.0	44.3	+4.3	-0.0
Commodities	3.0	6.9	+3.9	+0.0
Gold	0.0	0.0	+0.0	+0.0
Digital assets	0.0	0.0	+0.0	+0.0
Cash	0.0	0.0	+0.0	+0.0
Total	100.0	100.0	-0.0

Active positioning by asset class (pp vs policy)

Equities-8.2

Fixed income+4.3

Commodities+3.9

Gold+0.0

Digital assets+0.0

Cash+0.0

underweightpolicyoverweight

Sleeve detail (%)

Group	Sleeve	SAA	Current	Active	Previous	Change
Equities	US large cap	23.0	20.9	-2.1	20.9	-0.0
Equities	Europe equities	12.0	11.2	-0.8	11.2	+0.0
Equities	Emerging markets	5.0	6.8	+1.8	6.8	-0.0
Equities	APAC equities	7.0	5.3	-1.7	5.3	-0.0
Equities	US small cap	5.0	4.7	-0.3	4.7	-0.0
Equities	US REIT	5.0	0.0	-5.0	0.0	+0.0
Fixed income	US aggregate bond	27.0	26.1	-0.9	26.1	+0.0
Fixed income	US high yield	10.0	13.2	+3.2	13.2	-0.0
Fixed income	US TIPS	0.0	5.0	+5.0	5.0	+0.0
Fixed income	Long treasury	0.0	0.0	+0.0	0.0	+0.0
Fixed income	Intermediate credit	0.0	0.0	+0.0	0.0	+0.0
Fixed income	Long credit	0.0	0.0	+0.0	0.0	+0.0
Fixed income	Intermediate treasury	0.0	0.0	+0.0	0.0	+0.0
Fixed income	Non-US government	3.0	0.0	-3.0	0.0	+0.0
Commodities	Commodities	3.0	6.9	+3.9	6.9	+0.0
Gold	Gold	0.0	0.0	+0.0	0.0	+0.0
Bitcoin	Bitcoin	0.0	0.0	+0.0	0.0	+0.0
1-3M T-bill	1-3M T-bill	0.0	0.0	+0.0	0.0	+0.0

Directional sleeves — figures 6/7 equivalent (% active): the MRI risk-appetite tilt vs the alpha tilt

Block	MRI sleeve	Alpha sleeve	Total
Equity	-0.80	-7.42	-8.22
Commodities	-0.16	+4.03	+3.87
Gold	+0.00	+0.00	+0.00
Bonds	+0.96	+3.39	+4.35
Long bonds	+0.00	+0.00	+0.00
Digital assets	+0.00	+0.00	+0.00
Cash	+0.00	+0.00	+0.00

Block

MRI sleeve

Alpha sleeve

Total

Equity

-0.80

-7.42

-8.22

Commodities

-0.16

+4.03

+3.87

Gold

+0.00

Bonds

+0.96

+3.39

+4.35

Long bonds

+0.00

Digital assets

+0.00

Cash

+0.00

Relative value — figures 8/9 equivalent (% active)

Group	Sleeve	Active
Equity	US large cap	-2.1
Equity	US small cap	-0.3
Equity	Europe equities	-0.8
Equity	APAC equities	-1.7
Equity	Emerging markets	+1.8
Equity	US REIT	-5.0
Fixed income	US aggregate bond	-0.9
Fixed income	US TIPS	+5.0
Fixed income	Long treasury	+0.0
Fixed income	Intermediate credit	+0.0
Fixed income	Long credit	+0.0
Fixed income	Intermediate treasury	+0.0
Fixed income	US high yield	+3.2
Fixed income	Non-US government	-3.0
Fixed income	1-3M T-bill	+0.0

Group

Sleeve

Active

Equity

US large cap

-2.1

Equity

US small cap

-0.3

Equity

Europe equities

-0.8

Equity

APAC equities

-1.7

Equity

Emerging markets

+1.8

Equity

US REIT

-5.0

Fixed income

US aggregate bond

-0.9

Fixed income

US TIPS

+5.0

Fixed income

Long treasury

+0.0

Fixed income

Intermediate credit

+0.0

Fixed income

Long credit

+0.0

Fixed income

Intermediate treasury

+0.0

Fixed income

US high yield

+3.2

Fixed income

Non-US government

-3.0

Fixed income

1-3M T-bill

+0.0

Model output, not a recommendation. Phase-1 verdict: no excess over the strategic policy on the 17-sleeve universe -- the only positive is Bitcoin beta (2014-2021). Reference: DevDoc/taa_state_street_reference.md

SAA is State Street's Jan-2026 benchmark (57% equities / 40% fixed income / 3% commodities), plus a 0% digital-assets sleeve that can only be tilted into. Active = current - SAA; Change = current - the previously recorded book. The MRI sleeve is the growth-block tilt measured by re-running with it off; the alpha sleeve is the remainder.

A sleeve with a 0% SAA can only be over-weighted (no shorting), so its leeway is asymmetric. Prices: Data/MacroMarket/taa_prices.csv.