US Investor Sentiment Hits Extreme Greed — Quantlake Herd Index at 80.3

At Friday's close, our Quantlake Herd Index (QHI) gained 1.1 points to 80.3, pushing sentiment into Extreme Greed territory (80–100 pts).

Over the past 5 and 10 sessions the QHI moved +4.5 pts and +15.5 pts respectively. In our data since 2009, SPY has closed higher one month later in 69.3% of all sessions (n=4135). When the QHI sits in Extreme Greed territory, that win rate stands at 58.0% (n=791) — a compression of 11.3 points below our unconditional baseline.

The QHI is our proprietary measure of U.S. investor crowd psychology — a behavioral composite we built to quantify extremes in risk appetite by aggregating signals across equity momentum, market breadth, credit markets, and implied volatility into a single reading from 0 (Extreme Fear) to 100 (Extreme Greed). Learn more about our QHI methodology →

Data: 1 May 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.

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.