The Weekly Print
1. Market Regime Snapshot
VIX Term Structure
| Tenor | Level | vs. Spot |
|---|---|---|
| VIX Spot | 14.5 | β |
| VIX 3M | 20.5 | +6.0 (Contango) |
Realized vs. Implied Vol: SPY 20D RV = 8.1%, VIX = 14.5. Spread = -6.4pp (realized vol below implied β calmer than feared).
Cross-Asset Momentum (1-Month)
| Asset | 1M Return | Signal |
|---|---|---|
| SPY (Equity) | -0.4% | π Negative |
| TLT (Bonds) | -0.3% | π Negative |
| GLD (Gold) | +2.1% | π Positive |
| UUP (US Dollar) | +0.0% | π Positive |
Regime: Mixed/transitional regime
Last updated: 2026-09-06 20:27 UTC
2. Factor Performance Dashboard
Source: ETF Proxies (MTUM, VLUE, QUAL, USMV, IWM vs SPY)
Note: ETF proxy returns include market beta and are not directly comparable to factor-neutral French library returns.
| Factor | Weekly | 1M | 3M | Mean (52W wkly) | Std (52W wkly) | Z |
|---|---|---|---|---|---|---|
| Momentum | +1.72% | -1.07% | -0.42% | +0.47% | 2.84% | +0.44 |
| Value | +2.10% | +4.75% | +7.46% | +1.09% | 2.56% | +0.39 |
| Quality | -0.47% | -1.06% | +4.62% | +0.33% | 1.54% | -0.51 |
| Low Volatility | -0.92% | +0.80% | +5.73% | +0.16% | 1.17% | -0.93 |
| Size | -0.02% | -0.95% | +0.57% | +0.12% | 1.50% | -0.09 |
No factor stress signals this week (all within Β±2Ο).
Last updated: 2026-09-06 20:27 UTC
3. Macro Signal Tracker
| Indicator | Current | 1W Change | Signal |
|---|---|---|---|
| HY Spread (OAS) | 265bps | +2bps | β οΈ Widening |
| IG Spread (OAS) | 81bps | +2bps | β οΈ Widening |
| 2s10s Yield Curve | 0.41% | +0.02% | Normal |
| 3M10Y Yield Curve | 0.87% | +0.04% | Normal |
| Fed Funds Rate | 3.63% | N/A | β |
| HY β IG Spread | 184bps | β | Risk sentiment proxy |
Macro Summary: Neutral macro backdrop
Last updated: 2026-09-06 20:27 UTC
4. Quant Research Digest
Three papers I found worth reading this week:
An Entropic Factor Model for Robust Portfolio Replication β Argimiro Arratia et al. arXiv
The authors frame sparse portfolio replication as an ill-posed inverse problem and use an entropic factor approach to regularize it. It offers a practical formulation to avoid the unstable weights and over-leverage that often appear when using simple variance minimization on asset subsets.
The Analyst in the Prompt: Role, Retrieval, and Memory Biases in LLM Financial Analysis β Ahmed Asaad et al. arXiv
This paper tests how user context, role prompts, and memory mechanisms systematically shift LLM conclusions when evaluating the exact same underlying financial evidence. It is a useful reminder of how prompting and context layers can inadvertently inject bias into automated research workflows.
Modeling Trade Durations under Temporal Granularity Effects in Forex Markets β VladimΓr HolΓ½ arXiv
The author proposes an adjusted ACD model to handle the clustering of trade timestamps around integer second marks in high-frequency FX data. It directly addresses an empirical artifact in tick data that standard continuous duration models tend to miss.
Last updated: 2026-09-06 20:27 UTC
5. Stat of the Week
| Stat | Value | Context |
|---|---|---|
| CBOE Skew Index | 152 | Elevated tail risk (>130) |
The Skew Index reached 152 this week while 20-day realized volatility on SPY dropped down to 8.1% and VIX spot hovered at 14.5. It is an interesting spread in the data: realized day-to-day index movement is quite flat, but out-of-the-money put pricing remains elevated relative to median levels.
Last updated: 2026-09-06 20:27 UTC
Generated: 2026-09-06 20:27 UTC