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Jonathan's avatar

I don't understand the market regime monitor.

I get the first four column headers, they're the classic view of +/- growth crossed with +/- inflation. But what is -L? A fudge factor?

And what do these row headers mean? My guesses ... The first four row headers -- the probabilities -- they look at relative performance of asset classes over different time windows, and correlate them with the four regimes, where a 100% would mean it's a perfect match with a regime. The fifth one, it's how much time on average we're in that regime.

Is my interpretation correct?

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