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Mindforge LogoMINDFORGE INTELLIGENCE
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MINDFORGE INTELLIGENCE
Market State Detector

THE CALM
DIVIDEND

[ Hedging Cost Optimization ]

SYSTEM CONTEXT
Market State Detector (MSD) : Daily regime classification. Delivered pre-market. Research tool, not trading signal.
CALM : Default state. Stable conditions, low implied volatility. Historically 71% of trading days.
CORE FINDING

The market was Calm 71% of the time.

If you hedged like it wasn't, you overpaid.

Backtest window: 2012–2024 + 2025 OOS • Median VIX (Calm): 14.3 • Research use only. Not investment advice. Mindforge is not a registered investment adviser. mindforge.tech/terms | mindforge.tech/validation-and-methods

FOR INSTITUTIONAL RESEARCH ONLY • MINDFORGE.TECH

PROOFTHE SAVINGS PROOF
savings-proof
Calm is expensive if you hedge like it isn't.
Model
Budget-weighted hedge allocation: 50% spend during Calm, 150% during Stress vs. static always-on hedging
Assumed budget
100 bps/yr (illustrative mid-range hedge budget)
Savings math
Savings rate = Calm share − 50% = 70.7% − 50% = 20.7%. At 100 bps budget → 21 bps/yr saved • 2025 OOS: 35.6% (36 bps/yr)
savings-proof-print
Calm is expensive if you hedge like it isn't.
Model
Budget-weighted hedge allocation: 50% spend during Calm, 150% during Stress vs. static always-on hedging
Assumed budget
100 bps/yr (illustrative mid-range hedge budget)
Savings math
Savings rate = Calm share − 50% = 70.7% − 50% = 20.7%. At 100 bps budget → 21 bps/yr saved • 2025 OOS: 35.6% (36 bps/yr)
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
PROOFTHE CONFIDENCE PROOF
confidence-proof
After a spike, baselines wait. MSD timestamps re-entry.
The problem
After volatility spikes, arbitrary waiting rules ("wait 10 days after VIX peak") leave money on the table
MSD solution
Calm classification signals when conditions have normalized. No arbitrary countdown.
The delta
SPX move captured between MSD re-entry and baseline re-entry = participation window you'd otherwise miss
confidence-proof-print
After a spike, baselines wait. MSD timestamps re-entry.
The problem
After volatility spikes, arbitrary waiting rules ("wait 10 days after VIX peak") leave money on the table
MSD solution
Calm classification signals when conditions have normalized. No arbitrary countdown.
The delta
SPX move captured between MSD re-entry and baseline re-entry = participation window you'd otherwise miss
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
PROOFTHE STABILITY PROOF
stability-proof
Calm lasts. That's why it saves money.
The point
Calm isn't noise. It's a sustained regime. Median streaks last long enough to reduce hedge spend meaningfully.
Typical conditions
Median VIX: 14.3 • Median 10-day SPX return: +0.84%
2025 validation
Out-of-sample stability confirms the pattern persists. Not just a historical artifact.
stability-proof-print
Calm lasts. That's why it saves money.
The point
Calm isn't noise. It's a sustained regime. Median streaks last long enough to reduce hedge spend meaningfully.
Typical conditions
Median VIX: 14.3 • Median 10-day SPX return: +0.84%
2025 validation
Out-of-sample stability confirms the pattern persists. Not just a historical artifact.
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
PROOFTHE REAL RISK: FALSE CALM (COVID 2020)
false-calm
Assuming Calm during Systemic Stress is the catastrophe.
MSD timestamp
Systemic Stress classification
Delta
VIX expansion shown (Feb 24 → Mar 16)
Purpose
Show catastrophic cost of misclassification
Historical note
MSD has never classified Calm during a Systemic Stress episode (2012–2024 backtest).
false-calm-print
Assuming Calm during Systemic Stress is the catastrophe.
MSD timestamp
Systemic Stress classification
Delta
VIX expansion shown (Feb 24 → Mar 16)
Purpose
Show catastrophic cost of misclassification
Historical note
MSD has never classified Calm during a Systemic Stress episode (2012–2024 backtest).
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
PROOFCOST-NEUTRAL DEPLOYMENT
cost-neutral-model
The arithmetic works at scale.
MSD Subscription
$80,000/year (early adopter pricing, subject to change)
Illustrative scenario
$500M AUM • 100 bps hedge budget
Savings rate
20.7% of hedge budget
How the 21% baseline is derived
Savings rate = Calm share − 50%. Calm share (2012–2024) = 70.7% → 70.7% − 50.0% = 20.7% • 2025 OOS: 35.6%
Annual savings (illustrative)
$1.035M/year
Net benefit (illustrative)
$0.955M/year (12.9x ROI)
Adoption note
Assumes full adoption. Partial compliance retains proportional savings.
cost-neutral-model-print
The arithmetic works at scale.
MSD Subscription
$80,000/year (early adopter pricing, subject to change)
Illustrative scenario
$500M AUM • 100 bps hedge budget
Savings rate
20.7% of hedge budget
How the 21% baseline is derived
Savings rate = Calm share − 50%. Calm share (2012–2024) = 70.7% → 70.7% − 50.0% = 20.7% • 2025 OOS: 35.6%
Annual savings (illustrative)
$1.035M/year
Net benefit (illustrative)
$0.955M/year (12.9x ROI)
Adoption note
Assumes full adoption. Partial compliance retains proportional savings.
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
COMPARISONTHE MODEL
WITH MSD
✓ Classify Calm (~70% of days) → reduce hedge notional
✓ Timestamp re-entry after volatility spikes
✓ Maintain full hedge when Stress/Systemic active
WITHOUT MSD
✗ Hedge every day at baseline
✗ Over-hedge during Calm regimes
✗ Pay premium drag in low-vol periods
✗ Miss re-entry timing after spikes
Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms | mindforge.tech/validation-and-methods
MSD provides regime classification. Sizing decisions remain with portfolio management and risk governance.
ACCESSPILOT

VERIFY IT LIVE

60 Days. Full Access.

INCLUDES
  • • Daily classification via email or API
  • • 5+ year historical classification access
QUALIFICATION

Institutional 60-day pilot for qualified research teams.

RESTRICTED TO INSTITUTIONAL USE
CALM + CRISIS
This brief: how MSD-informed sizing reduces hedge costs during Calm.
To see how MSD timestamps regime shifts pre-market, see The Crisis Classification Brief.
PHONE

+1 (646) 847-9889

EMAIL

research@mindforge.tech

⚠️ Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser.
mindforge.tech/terms | mindforge.tech/validation-and-methods

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Research use only • Not investment advice • Past performance ≠ future results • Full terms

Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms · Methods