  Using Random Matrix Theory, we propose a universal and versatile tool to
reveal the existence of "fleeting modes", i.e. portfolios that carry
statistically significant excess risk, signalling ex-post a change in the
correlation structure in the underlying asset space. Our proposed test is
furthermore independent of the "true" (but unknown) underlying correlation
structure. We show empirically that such fleeting modes exist both in futures
markets and in equity markets. We proposed a metric to quantify the alignment
between known factors and fleeting modes and identify momentum as a source of
excess risk in the equity space.
