Quant Memo

Live · quant-only · updated end of day

The Quant Monitor

Not prices or charts, the derived, statistical view of markets a quant actually watches: factor performance, the market regime, correlation structure, and the volatility risk premium.

market regime

stressed

vol 14.6% · as of 2026-07-13

Regime Radar

Four independent reads on what kind of market this is.

Realized volatility

14.6%

77th percentile (1y)

Turbulence

90th pct

how unusual today's moves are

Avg cross-asset corr

0.43

Mixed

Trend vs mean-revert

Mean-reverting

lag-1 autocorr -0.150

Factor Weather

How the classic equity factors are doing versus the market this month (SPY +3.3%). Green = beating the market.

High Beta
+1.0% (+4.3%)
Size
+0.1% (+3.4%)
Momentum
-0.1% (+3.2%)
Quality
-0.3% (+3.0%)
Low Volatility
-0.5% (+2.7%)
Value
-1.6% (+1.7%)

Right number is versus the market; (parenthesis) is the factor ETF's own 1-month return. Read the factor investing primer.

Correlation Structure

60-day cross-asset correlations. Avg 0.43; diversification available 57%.

SPY
QQQ
IWM
EFA
EEM
TLT
IEF
LQD
HYG
GLD
DBC
VNQ
US Equity
92
78
75
83
44
55
58
70
74
-18
0
Nasdaq
92
73
66
91
37
46
50
62
61
-7
-23
Small Cap
78
73
80
78
60
70
73
78
65
-33
26
Dev ex-US
75
66
80
76
58
68
72
81
72
-31
27
Emerging
83
91
78
76
47
54
57
64
60
-16
-15
Long Bonds
44
37
60
58
47
91
92
69
36
-57
25
7-10y Bonds
55
46
70
68
54
91
94
85
53
-55
39
IG Credit
58
50
73
72
57
92
94
84
52
-54
30
High Yield
70
62
78
81
64
69
85
84
64
-37
34
Gold
74
61
65
72
60
36
53
52
64
-23
24
Commodities
-18
-7
-33
-31
-16
-57
-55
-54
-37
-23
-32
REITs
0
-23
26
27
-15
25
39
30
34
24
-32
−1
+1hover a cell

Vol Lab

Realized vol (21d)

14.6%

VIX (implied)

16.8

Variance risk premium

+2.2

implied > realized (fear premium)

VIX term structure

+1.79

contango (calm)

Dispersion Monitor

Cross-sector return spread: 3.2 (30th pct).

Low, macro-driven, everything moves together

Computed from free public end-of-day data. Updated every few hours, this is a statistical/quant view, not a live price feed or trading signal. Educational only, not investment advice.