State Street Associates
State Street Associates is the research arm of State Street Global Markets — a bridge between academic finance and institutional practice that produces named-author quantitative research on risk and asset allocation. It is the institutional home of much of the practitioner regime literature in this vault: David Turkington is a senior managing director there, Sébastien Page worked on Kritzman Page Turkington 2012 while at State Street Global Markets, and William Kinlaw co-authored regime and turbulence research from State Street. (The asset-management arm, State Street Global Advisors / SSGA, rebranded as State Street Investment Management in 2025.)
State Street Associates research strands relevant to this vault include the Financial Turbulence Index and its “correlation surprise” variant (Kinlaw & Turkington 2013), and the Mahalanobis-distance “New Index of the Business Cycle” (Kinlaw, Kritzman & Turkington 2021), which uses a hidden Markov model to classify expansion/recession regimes. It appears here as the institutional source of disclosed-methodology practitioner research that consistently frames regime detection as risk management and scenario analysis rather than as a standalone alpha signal.
State Street is also one of the clearest examples of a regime classifier deployed inside a live, disclosed institutional process. Since at least 2012 the SSGA Investment Solutions Group (ISG) has published a quarterly Market Regime Indicator (MRI) — a proprietary 0–100% macro indicator built from implied equity and currency volatility and fixed-income spreads, which sorts the market into five regimes: Crisis, High Risk Aversion, Normal, Low Risk Aversion and Euphoria. ISG states plainly that it uses the MRI as “one of its inputs into ISG’s global tactical asset allocation decision-making process” — an input to allocation, not a standalone trading system. The MRI’s published validation language (“the result of over twelve months of rigorous testing … the test results showed that the MRI tracked historical market stress events”) describes a back-test against historical stress episodes rather than an audited live performance record. The MRI is therefore strong support for Regime Classification as real institutional practice and a textbook instance of the Live Regime-Model Evidence Gap: regime detection is deployed live for risk-aware allocation, but is disclosed as one input among many, not as a documented standalone profit engine. State Street also markets the All Weather strategy in ETF form (the ALLW ETF, launched March 2025, following a daily model portfolio supplied by Bridgewater Associates).
Connections
- Kritzman Page Turkington 2012 — relates, source: https://rpc.cfainstitute.org/research/financial-analysts-journal/2012/regime-shifts-implications-for-dynamic-strategies-corrected
- Mark Kritzman — relates, source: https://portfoliooptimizer.io/blog/the-turbulence-index-measuring-financial-risk/
- Financial Turbulence Index — proposes_model, source: https://portfoliooptimizer.io/blog/the-turbulence-index-measuring-financial-risk/
- Regime Classification — detects_regime, source: https://www.ssga.com/us/en/institutional/ic/insights/market-regime-indicator-q1-2024
- Tactical Asset Allocation — has_live_evidence, source: https://www.ssga.com/us/en/institutional/ic/insights/market-regime-indicator-q1-2024
- Live Regime-Model Evidence Gap — relates, source: https://www.ssga.com/us/en/institutional/ic/insights/market-regime-indicator-q1-2024
- Bridgewater Associates — relates, source: https://www.bridgewater.com/research-and-insights/the-all-weather-story