GLOBAL MACRO QUANT

GMQ Financial Conditions Index

Conditions & Growth-at-Risk · United States · world-model baseline
as of —
Growth-at-Risk — conditional distribution of forward real GDP growth

Growth-at-Risk vs realized — 1-quarter horizon

5th-percentile GaR (red) and median (gold) vs realized growth (bars). Pseudo-real-time.

Regime probabilities

Latent regime posterior over time (stacked to 1).
Financial conditions

GMQ-FCI composite vs OFR Financial Stress Index

Both sign-normalized: + = tighter / risk-off. Monthly, last 20 years.
Channel monitor — latest, sign-normalized (+ = tighter)
tighter / risk-off neutral looser / risk-on
Out-of-sample calibration (point-in-time, 1991–present)

CRPS vs benchmarks — lower is better

The world-model core (M2) must beat climatology and GARCH here. Today it does not — that is the honest bar.