S&P 500 Peaks And VIX Valleys As Market Signals

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Price crash and bear market

24K-Production

The current P/E ratio for the S&P 500 is around 27.5, or roughly one standard deviation above its historic mean as recorded since 2011. Such a market valuation can be described as (moderately) overvalued. The high valuation goes

Signal

ATH

VIX13

ATH & VIX13

Signal frequency

14.7%

19.8%

7.2%

Signal

Average

1.9%

2.1%

1.5%

Median

3.3%

3.4%

3.3%

Probability +ve return

73.7%

75.4%

71.9%

No signal

Average

3.6%

3.6%

3.5%

Median

4.4%

4.5%

4.2%

Probability +ve return

76.2%

76.0%

76.2%

Difference

Average

-1.7%

-1.5%

-2.0%

Median

-1.1%

-1.1%

-0.9%

Probability +ve return

-2.5%

-0.6%

-4.3%

Signal

ATH

VIX13

ATH & VIX13

Signal frequency

14.7%

19.8%

7.2%

Signal

Average

-0.5%

2.3%

11.3%

Median

-15.4%

-13.7%

-11.9%

Probability +ve return

24.9%

31.2%

34.0%

No signal

Average

-13.4%

-14.9%

-13.2%

Median

-21.8%

-22.7%

-21.4%

Probability +ve return

18.6%

16.7%

18.4%

Difference

Average

11.0%

13.8%

22.8%

Median

5.4%

7.2%

8.9%

Probability +ve return

5.4%

11.7%

14.5%