@article {Gibbons85, author = {Joel Clarke Gibbons}, title = {The S\&P 500 Universe: Trend and Volatility Regimes }, volume = {1}, number = {3}, pages = {85--91}, year = {2010}, doi = {10.3905/jii.2010.1.3.085}, publisher = {Institutional Investor Journals Umbrella}, abstract = {All markets pass from one regime to another in the course of time. Statistical models are available to study and quantify the regimes and the transitions. In this article the author looks at monthly data of the history of the Standard \& Poor{\textquoteright}s 500 Index through the filter of a Regime-Switching Model to find evidence of expected return regimes and volatility regimes, and at the transition probabilities from one to another.TOPICS: Mutual fund performance, financial crises and financial market history, volatility measures}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/1/3/85}, eprint = {https://jii.pm-research.com/content/1/3/85.full.pdf}, journal = {The Journal of Beta Investment Strategies} }