{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T21:41:25Z","timestamp":1792791685772,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":94,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Factor investing builds on a multi-factor structure of returns that is assumed to be stable, yet under stress that structure reorganizes: signals that looked distinct overlap, and diversification across factors fails when it is needed most. Stress monitors-volatility, average correlation, the Absorption Ratio (AR), and Financial Turbulence (FT)-signal that markets are stressed, not what has structurally changed. Yet a rotation of factor leadership, a broad crash, and a widening of dispersion call for different responses: reassessing allocations, tightening risk on existing exposures, or reexamining hedges. We recast stress monitoring as attribution. Returns and factor exposures are encoded jointly as a rolling four-way tensor whose Tucker decomposition yields three moderesolved subspace distances, for the time, factor, and asset modes, which report where in the structure a change ran. Each class of stress carries a falsifiable prediction of which mode should move. On U.S. equities over 1996-2024, 16 stress regimes extracted mechanically from index drawdowns were labeled from the record, blind to every indicator. 10 of 16 regimes respond as predicted (exact label-permutation \ud835\udc5d = 0.00072): factor rotations drive the factor mode to the top percentile of its own history, the Quant Meltdown among them, an episode invisible to all but FT. Neither a naive attributor built from standard stress quantities nor the classical AR rejects that null. Run daily on past data only, the diagnostic surfaces 15 persistent factor-mode episodes outside these regimes, 14 with no index drawdown. The contribution is attribution, not detection: it tells the allocator what moved and complements existing alarms.<\/jats:p>","DOI":"10.2139\/ssrn.7472065","type":"posted-content","created":{"date-parts":[[2026,9,18]],"date-time":"2026-09-18T05:23:06Z","timestamp":1789708986000},"source":"Crossref","is-referenced-by-count":0,"title":["Market Regimes through the Lens of Multi-Factor Structures: Attributing the Structural Nature of Market Stress"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-1355-5661","authenticated-orcid":true,"given":"Noriaki","family":"Saito","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kiyoshi","family":"Izumi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","journal-title":"of which 2 others also reach 10. 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