This edition of Fathom the Strategy introduces Fathom’s Risk-On/Off Gauge (FROG), a probabilistic assessment of market sentiment. It is based on statistical and econometric techniques aimed at identifying two distinct market regimes for the excess returns of equity over bonds. The FROG incorporates information from historical bond–equity correlations and other Fathom proprietary indicators such as the FLI and FLiq. Since 2008, we find that the market has been dominated by a surge in the frequency of risk-off episodes in the...