A Machine Learning Approach to Regime Modeling

Introduced a machine learning-based approach to regime modeling using Gaussian Mixture Models (GMM) applied to historical factor data. Identified and characterized four distinct market conditions ('Crisis', 'Steady State', 'Inflation', 'Walking on Ice') based on factor behavior, including their means, volatilities, and correlations. Provided historical analysis of these regimes and discussed their practical use cases for allocators.