In this paper we study the out-of-equilibrium phase diagram of the quantum version of Derrida's random energy model, which is the simplest model of mean-field spin glasses. We interpret its corresponding quantum dynamics in Fock space as a one-particle problem in very high dimension to which we apply different theoretical methods tailored for high-dimensional lattices: the forward-scattering approximation, a mapping to the Rosenzweig-Porter model, and the cavity method. Our results indicate the existence of two transition lines and three distinct dynamical phases: a completely many-body localized phase at low energy, a fully ergodic phase at high energy, and a multifractal "bad metal"phase at intermediate energy. In the latter, eigenfunctions occupy a diverging volume yet an exponentially vanishing fraction of the total Hilbert space. We discuss the limitations of our approximations and the relationship with previous studies.