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Using Random Matrix Theory, we propose a universal and versatile tool toreveal the existence of "fleeting modes", i.e. portfolios that carrystatistically significant excess risk, signalling ex-post a change in thecorrelation structure in the underlying asset space. Our proposed test isfurthermore independent of the "true" (but unknown) underlying correlationstructure. We show empirically that such fleeting modes exist both in futuresmarkets and in equity markets. We proposed a metric to quantify the alignmentbetween known factors and fleeting modes and identify momentum as a source ofexcess risk in the equity space.

Excess Out-of-Sample Risk and Fleeting Modes