There has been a lot of talk regarding the recent record decline in the CBOE Volatility Index (VIX) over the weekend and this morning. With a decline of 37% over the last five trading days, the current decline is the largest 5-day decline since 1990. Large drops in the VIX are generally considered to be indicative of investors perceiving there to be less risk in the market going forward. So are they correct?
Earlier today, we sent out a report to Bespoke Premium clients highlighting the performance of the S&P 500 following prior five trading day periods where the VIX fell by 30% or more. In the report we looked to see how the S&P performed over the following week, month, three months and six months. Clients that wish to view this report can click on the link below. If you are currently not a client, sign up today for access.