Factors
Factor Exposures
| Factor | Z-Score | 1W Change | Regime | Signal Impact |
|---|---|---|---|---|
| Momentum (20d) | +0.67 | 0.00 | Positive | Trend signals favored |
| Volatility (Realized) | -0.20 | 0.00 | Mid Vol | Normal sizing |
| Risk-On/Off (SPX vs Gold) | +0.24 | 0.00 | Neutral | No clear edge |
| FX Momentum (EUR/USD) | -0.76 | 0.00 | Neutral | FX shorts favored |
| Growth/Value (NDX vs SPX) | +2.48 | 0.00 | Growth | NDX > SPX |
Cross-Asset Correlation (21-day rolling)
| SPX | NDX | GOLD | EURUSD | GBPUSD | |
|---|---|---|---|---|---|
| SPX | 1.00 | 0.96 | 0.45 | 0.40 | 0.35 |
| NDX | 0.96 | 1.00 | 0.44 | 0.39 | 0.35 |
| GOLD | 0.45 | 0.44 | 1.00 | 0.18 | 0.23 |
| EURUSD | 0.40 | 0.39 | 0.18 | 1.00 | 0.91 |
| GBPUSD | 0.35 | 0.35 | 0.23 | 0.91 | 1.00 |
⚠SPX-NDX correlation 0.96 — diversification limited
⚠EURUSD-GBPUSD correlation 0.91 — diversification limited
Volatility Regime
| Instrument | Ann. Vol | Percentile | Regime | Implication |
|---|---|---|---|---|
| SPX | 10.8% | 47th | Mid | Normal conditions |
| NDX | 17.0% | 65th | Mid | Normal conditions |
| GOLD | 21.8% | 48th | Mid | Normal conditions |
| EURUSD | 3.8% | 17th | Low | Breakouts favored |
| GBPUSD | 6.0% | 51th | Mid | Normal conditions |
Sector Performance (SPDR ETFs)
1D change · hover for 5D / 20D / YTDXLKn/a
TechnologyXLFn/a
FinancialsXLVn/a
Health CareXLEn/a
EnergyXLYn/a
Consumer DiscretionaryXLPn/a
Consumer StaplesXLIn/a
IndustrialsXLBn/a
MaterialsXLUn/a
UtilitiesXLREn/a
Real EstateXLCn/a
Communication ServicesFactor Regime Summary
- •Neutral momentum (Z=0.67) — no clear directional bias from trend factor.
- •SPX-NDX correlation 0.96 — diversification limited. EURUSD-GBPUSD correlation 0.91 — diversification limited. Size positions to avoid correlated drawdown.