ARGUS/Regime Monitor
ARGUS
Regime monitor
Statistical detection of correlation structure flips, volatility regime changes, and factor rotations. When regimes shift before prices do — that's edge.
SHIFT DETECTED · 14d ago
Low vol carry → Elevated volatility
30 Apr 2026 · magnitude 0.62 · 2018-Q4: similar magnitude shift, 91 days persistence.
Bond-equity corr
+0.18
from -0.24
Vol regime
elevated
Factor rotation
quality + low-vol
Persistence est.
60–110 days
Implications
- · Risk parity strategies degrading.
- · 60/40 hedge breaks down — consider commodity overlay.
- · Momentum factor lagging.
- · Quality + low-vol leadership.
- · Reset portfolio risk models.
Correlation matrix · 30d
| Pair | Current | Previous | Change | Flag |
|---|---|---|---|---|
| OSEBX × BUND10Y | +0.18 | -0.24 | +0.42 | FLIPPED |
| OSEBX × BRENT | +0.47 | +0.32 | +0.15 | — |
| OMXS30 × EURUSD | -0.31 | -0.18 | -0.13 | — |
| OMXH25 × NASDAQ100 | +0.62 | +0.71 | -0.09 | — |
| OMXC25 × BUND10Y | +0.22 | -0.18 | +0.40 | FLIPPED |
| OSEBX × TTF Gas | +0.41 | +0.18 | +0.23 | — |