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Multi-Asset Market Regimes

Recently discovered Blog on Quantitative Trading. In a single word: excellent!

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An astute reader suggested reproducing the results from a recent article on regime analysis by Kritzman et al., Regime Shifts: Implications for Dynamic Strategies in FAJ (May / June 2012). This is a fun exercise to be conducted over a series of posts, as doing so illustrates several important economic principles and some elegant mathematics.

This post begins by identifying macroeconomic market regimes arising from multi-asset economic activity.

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