Discussion and Evaluation of Out-of-Sample Simulation Results
2026-02-08 Market update and regime context Over the past two weeks, global markets have been shaped by a combination of elevated geopolitical uncertainty and episodic relief rallies. Key drivers included renewed volatility around U.S. trade and tariff rhetoric, continued sensitivity to Middle East developments, and uneven reactions to late-cycle macro data releases. This resulted in intermittent volatility spikes rather than a single, sustained stress episode, producing a market environment best described as regime mixing. According to the three-state HMM classification, the period alternated primarily between CoherentStress and Calm, with multiple short transitions rather than a clean regime lock-in. Model performance under mixed regimes In this mixed regime environment, the GCP-data dependent model once again outperformed the control model. As shown in the updated simulations, the cumulative return of the GCP model pulled ahead during periods associated with CoherentStress, while ma
6 August 2025