VMSI™ — VICA Market State Index
Four Market Forces
Market structure can change before price fully reflects it.
VMSI™ integrates four core forces to estimate institutional market state.
Most investors analyze markets in parts. VMSI™ measures the system.
| Component | Current | Prior |
(w/w)
|
Interpretation |
|---|---|---|---|---|
| Composite |
55.2
|
57.6 |
-2.4
|
Institutional conditions weakened as higher volatility, wider credit spreads and reduced global confirmation offset improving participation and positive ETF issuance. |
| Momentum |
58.0
|
60.1 |
-2.1
|
Large-cap growth and small-cap performance weakened, while equal-weight relative strength and improving moving-average breadth partially offset the deterioration. |
| Liquidity |
56.0
|
57.0 |
-1
|
Lower reserve averages and higher Treasury cash balances reduced marginal liquidity support; broader market absorption remained unconfirmed. |
| Volatility & Hedging |
53.4
|
57.2 |
-3.8
|
Rising equity implied volatility, tail asymmetry and short-horizon protection pressure increased convexity sensitivity. Dealer exposure remained model-dependent. |
| Safe Haven Demand |
51.6
|
50.5 |
+1.1
|
Falling Treasury yields supported duration performance, while weaker gold prices and incomplete flow evidence limited confirmation of broad defensive allocation. |
Understanding VMSI™
VMSI™ is an institutional market-state framework that measures how participation, liquidity, credit, volatility, positioning, and capital deployment interact to identify changes in market structure before they are fully reflected in price.
VMSI™ integrates four core market forces with proprietary relationship metrics, an Advanced Signal Layer, IC-VMSI™, and ICMI™ to measure the organization, persistence, and transmission of institutional market state.
VMSI™ is updated weekly after the Friday market close using the most recently completed market data.
The Advanced Signal Layer independently evaluates participation, convexity, capital deployment, geopolitical pressure, and regime persistence to distinguish structural market change from temporary noise.
VMSI™ measures the current institutional market state rather than forecasting a specific price or turning date. The testing objective is to determine whether that measured state contains incremental forward information beyond conventional institutional signals. In availability-aware out-of-sample testing of subsequent 20-trading-day S&P 500 returns, adding VMSI reduced aggregate forecast error relative to the conventional institutional signal set in the tested sample.
VMSI™ is governed by predefined evidence standards, availability-aware out-of-sample testing, independent replication standards, contradiction checks, and explicit falsification criteria so its signals are repeatable, auditable, and capable of being revised or rejected when the evidence fails to support them.
VMSI™ adds a differentiated market-state variable that out-of-sample testing indicates provided incremental information beyond conventional institutional signals, giving investment and risk systems an additional view of capital persistence, transmission, and regime change. In availability-aware out-of-sample testing, adding VMSI™ reduced 20-trading-day S&P 500 RMSE by 14.5% versus the conventional signal model.
VMSI™ is designed to be tested within existing institutional investment systems through its research, methodology, and availability-aware out-of-sample evidence to determine whether it adds a differentiated market-state variable to an institution’s current signal architecture. For institutional research and evaluation requests, contact info@vicapartners.com.
The next phase is designed to test whether VMSI’s observed forward information persists under harder conditions: larger non-overlapping samples, stronger benchmark specifications, alternative horizons, different market regimes and asset classes, and independent institutional testing. If the effect weakens or disappears, the conclusions must change.