A 4-page abbreviation of the Core Quantitative Market Review, published free each month: factor decile spreads, cross-sectional dispersion, volatility regime, and correlation structure. The full Core review is available as a sample issue.
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What the cross-section did in September 2026: factor decile spreads, cross-sectional dispersion, the volatility regime, and the correlation structure of U.S. equities. Data through 2026-09-30 · 4 pages.
Read the note (PDF)What the cross-section did in August 2026: factor decile spreads, cross-sectional dispersion, the volatility regime, and the correlation structure of U.S. equities. Data through 2026-08-31 · 4 pages.
Read the note (PDF)Source: publicly available daily prices. The universe is today's index membership, so names that appreciated over the period are over-represented and the spreads carry survivorship bias.
Monthly issues are published on the first Monday, on data through the prior month-end. Next release: 2 November 2026. The Note closes with its methodology note and document details.
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