The S&P 500 Risk State is a daily measurement, not a forecast. It reports how much of the index one published rule holds today, and the three market readings behind that decision. The rule reacts to what has already happened; it does not predict what happens next.
As of 18 Aug 2026, the rule holds 100% of the index. The index closed at 767, against a 200-day average of 704. Volatility over the past 20 trading days was 13.3%.
An exit only counts when all three conditions agree: corporate borrowing costs above their one-year norm is not met; the 10-year Treasury yield below its level 40 days ago is not met; consumer staples outperforming discretionary over 60 days is met. Returning to the index needs the price alone.
The conditions exist because the trend rule on its own left the market 48 times. Only 3 of those absences avoided a real decline; 43 were dips it sat out for nothing, costing 4.13% a year between them. With the conditions the rule left 19 times, kept the same 3, and cut the dip cost to 1.80% across 14.
Over 32 years of simulated history to 7 Aug 2026, the rule turned $1,000 into $30,726 against $29,136 for simply owning the index, with a worst loss of -15.7% against -55.2%. Those are simulated results. The rule has never been run forward, it was designed with hindsight over this same history, and it spent 17 years behind the index at its worst.
Read decade by decade, the advantage comes from one of them. The rule trailed the index in the 3 calmer decades (1990s, 2010s, 2020s) and made the difference in the one containing the largest crashes. This is insurance: most of the time it costs return.
The three conditions were each chosen on this index's own history, so the only out-of-sample test available is applying them, untuned, to markets they were never built from. On 5 such markets (Nasdaq 100, US small caps, Developed ex-US, Emerging markets, Japan) return per unit of risk improved on 5 of them and the worst loss fell on all of them, but the rule gave up outright return on 3. These markets move together and with the S&P, so this is one result rather than 5 independent ones.
The record includes episodes the rule handled worse than the index, such as China devaluation, 2015-16. It is published whole rather than filtered.
Educational research only — not investment advice.