Market Sentiment Index: SPY Returns in Fear and Greed Regimes
The Quantlake Herd Index reads 94.0, unchanged on the day and inside Extreme Greed (80–100 pts) for a 21st session. SPY's one-month win rate in this regime is 57.6% against a 69.0% baseline.
What the index measures
The Quantlake Herd Index measures U.S. investor crowd psychology. It aggregates equity momentum, market breadth, credit risk appetite and implied volatility into one reading from 0 (Extreme Fear) to 100 (Extreme Greed). Learn how the index is built.
Forward returns in this regime
Extreme Greed has reduced both the frequency of gains and their size. Across 816 readings since 2009, SPY finished higher one month later 57.6% of the time against a 69.0% baseline, and the median gain was +0.6% against +1.7%. The mean return was -0.2% against +1.2%, so a majority of outcomes finished higher while expectancy turned negative.
The loss shape moved with it. One-month Value at Risk reads -8.1% against -6.1%, and the worst 5% of outcomes averaged -14.1% against -9.6%. At three months the Sharpe reads 0.48 against 1.19. The same shape holds at both horizons, with fewer positive outcomes and a deeper left tail.
How mature the regime is
Extreme Greed has held for 21 trading days, against a 21-day historical average, and one-month volatility reads 3.9 against a 7.5 average. The regime has lasted a typical span at 0.5 times its normal variability.
SPY Forward Return Statistics by Regime
Metric
1M · Extreme Greed (80–100 pts) (n=816)
1M · Overall (n=4222)
3M · Extreme Greed (80–100 pts)
3M · Overall
Win Rate
57.6%
69.0%
65.4%
77.2%
Median Return
+0.6%
+1.7%
+2.9%
+4.4%
Expected Range (p25–p75)
-2.3% to +3.1%
-0.8% to +3.7%
-2.0% to +6.3%
+0.5% to +7.6%
VaR 5% / CVaR 5%
-8.1% / -14.1%
-6.1% / -9.6%
-13.4% / -16.0%
-8.2% / -12.6%
Full Range (min–max)
-32.8% to +9.7%
-32.8% to +25.2%
-23.1% to +19.0%
-29.8% to +39.9%
Sharpe Ratio
-0.14
1.07
0.48
1.19
Data: 4 Sep 2026 · Daily Time Scale · QHI data available since 1 Sep 2009 via our API.
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.
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, with 50% of outcomes 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% states what to expect on average inside 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.
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