Factors
Factor Exposures
| Factor | Z-Score | 1W Change | Regime | Signal Impact |
|---|---|---|---|---|
| Momentum (20d) | +0.01 | 0.00 | Neutral | Mean-rev signals favored |
| Volatility (Realized) | -1.14 | 0.00 | Low Vol | Breakouts favored |
| Risk-On/Off (SPX vs Gold) | +0.32 | 0.00 | Neutral | No clear edge |
| FX Momentum (EUR/USD) | +0.14 | 0.00 | Neutral | FX edge reduced |
| Growth/Value (NDX vs SPX) | -1.75 | 0.00 | Value | SPX > NDX |
Cross-Asset Correlation (21-day rolling)
| SPX | NDX | GOLD | EURUSD | GBPUSD | |
|---|---|---|---|---|---|
| SPX | 1.00 | 0.91 | 0.33 | 0.45 | 0.29 |
| NDX | 0.91 | 1.00 | 0.19 | 0.34 | 0.20 |
| GOLD | 0.33 | 0.19 | 1.00 | 0.30 | 0.33 |
| EURUSD | 0.45 | 0.34 | 0.30 | 1.00 | 0.77 |
| GBPUSD | 0.29 | 0.20 | 0.33 | 0.77 | 1.00 |
⚠SPX-NDX correlation 0.91 — diversification limited
⚠EURUSD-GBPUSD correlation 0.77 — diversification limited
Volatility Regime
| Instrument | Ann. Vol | Percentile | Regime | Implication |
|---|---|---|---|---|
| SPX | 8.5% | 12th | Low | Breakouts favored |
| NDX | 20.4% | 75th | High | Reduce position size |
| GOLD | 19.4% | 28th | Low | Breakouts favored |
| EURUSD | 3.2% | 2th | Low | Breakouts favored |
| GBPUSD | 3.6% | 3th | Low | Breakouts favored |
Sector Performance (SPDR ETFs)
1D change · hover for 5D / 20D / YTDXLK+0.23%
TechnologyXLF+0.31%
FinancialsXLV-0.82%
Health CareXLE+0.47%
EnergyXLY+0.33%
Consumer DiscretionaryXLP+1.11%
Consumer StaplesXLI+0.45%
IndustrialsXLB+1.25%
MaterialsXLU+0.62%
UtilitiesXLRE+0.50%
Real EstateXLC+1.02%
Communication ServicesFactor Regime Summary
- •Neutral momentum (Z=0.01) — no clear directional bias from trend factor.
- •SPX-NDX correlation 0.91 — diversification limited. EURUSD-GBPUSD correlation 0.77 — diversification limited. Size positions to avoid correlated drawdown.
- •Low vol regime dominant (4/5 instruments). Breakout strategies favored — position sizing can increase.