QHI Reading: 12-Day Slide, Greed Cools.

Greed Historically Cuts Three-Month Win Rate 9 Points Below Baseline

As of June 12, 2026, the Quantlake Herd Index (QHI) stands at 75.5 in Greed; over the past 10 trading days, the QHI fell 20.6 points. The reading set a new 1-month low at 75.5 and sat 17.0% below its 1-month average of 91.0; the reading stands 41.5% above its 12-month average of 53.3. The configuration reflects a rollover inside an elevated risk-taking regime.

Greed readings have historically been associated with a 63.1% positive 1-month outcome in the SPDR S&P 500 ETF SPY, against a 68.9% unconditional baseline. Mean 1-month SPY return measured 0.8% in Greed versus 1.2% across the full sample. The 5th-percentile 1-month SPY outcome reached -6.1% in Greed and -6.1% at baseline, and the average of the worst 5% of cases was -8.8% versus -9.7%. The 1-month distribution in Greed delivered weaker central outcomes than baseline, with a 5.8-point hit-rate deficit and a 0.4-point mean-return deficit alongside a 0.9-point improvement in CVaR5.

The down streak stands at 12 trading days, longer than 79.0% of historical down streaks and above the 7.9-day average down streak. Greed tenure stands at 3 trading days against a 10.4-day historical average, and Greed occupied 20.5% of QHI history. One-month QHI volatility measured 6.8 versus a 7.4 historical average, or 0.91x its historical average. The structure pairs a long downswing with a short zone tenure and muted variability. The pattern describes an early-stage unwind rather than a full defensive reset.

Greed positioning places the QHI above balance but below Extreme Greed, so the Behavior Gap centers on crowded exposure rather than fear-driven de-risking. A move below 60 would shift the QHI reading into Neutral and change the setup to balanced positioning; a move above 80 would re-establish Extreme Greed.

Accessing Our Data

The full QHI historical series since September 1, 2009 is available via the Quantlake API for systematic integration. Learn more about the QHI methodology →
Data: 12 Jun 2026 · Daily Time Scale.

Romain Gandon
CEO, Quantlake

Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.

Definitions

Quantlake Herd Index (QHI)

The Quantlake Herd Index (QHI) is a proprietary cross-asset behavioral sentiment composite ranging from 0 to 100 that measures extremes in investor psychology across the U.S. financial system.

It aggregates signals from U.S. equity momentum and breadth, equity market concentration dynamics, credit market risk appetite (high-yield vs investment-grade demand), implied volatility conditions, and credit spread behavior. These inputs are normalized into a single behavioral risk barometer reflecting the balance between risk-averse and risk-on investor behavior.

Because markets are influenced by behavioral biases, sentiment extremes frequently precede mean reversion in forward returns.

QHI Regimes

0–20: Extreme Fear

20–40: Fear

40–60: Neutral

60–80: Greed

80–100: Extreme Greed

Statistical Terms

Win Rate (Hit Ratio)
The percentage of historical periods in which SPY produced a positive return over the forward horizon. A win rate above 50% means positive outcomes historically dominated.

Median Return
The midpoint of the return distribution — 50% of outcomes fell above and 50% below this value. Less sensitive to extreme outliers than the average.

p25 / p75 (Expected Range)
The range within which the middle 50% of historical outcomes fell. p25 is the 25th percentile (bottom of the range); p75 is the 75th percentile (top). A tighter range indicates a more predictable regime; a wide range reflects high dispersion.

VaR 5% (Value at Risk)
The 5th-percentile return over the horizon — statistically, SPY has done worse than this figure only 5% of the time. A practical downside threshold: in 95 out of 100 historical observations, the actual outcome was better.

CVaR 5% (Conditional Value at Risk / Expected Shortfall)
The average of the worst 5% of historical outcomes. Where VaR 5% sets the threshold, CVaR 5% tells you what to expect on average when you are in that tail — a more complete picture of severe downside risk.

Full Range (min–max)
The absolute worst and best single-period outcomes recorded in the historical dataset. Useful as extreme-scenario context, but driven by one-off events (e.g. COVID crash, post-GFC recovery) rather than typical behaviour.

Sharpe Ratio
Annualised return divided by annualised volatility, measuring return per unit of risk. Higher values indicate better risk-adjusted performance in that regime.