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 |
51.7
|
53.1 |
-1.4
|
Cautionary. Weaker participation and volatility conditions outweighed stronger ETF issuance and recovering reserve liquidity. |
| Momentum |
56.9
|
59.5 |
-2.6
|
Short-horizon breadth deteriorated; equal-weight resilience and intermediate participation provided partial confirmation. |
| Liquidity |
52.1
|
50.7 |
+1.4
|
Reserve balances recovered and secured-funding conditions improved, while credit confirmation remained uneven. |
| Volatility & Hedging |
51.1
|
53.8 |
-2.7
|
Rising equity volatility and more negative modeled dealer gamma increased conditional hedging sensitivity. |
| Safe Haven Demand |
53.0
|
52.2 |
+0.8
|
Gold and Treasury-duration strength supported defensive positioning signals without establishing ownership attribution. |
Understanding VMSI™
VMSI™ is VICA Partners’ market-state index. It combines momentum, liquidity, volatility and hedging, and safe-haven demand into a composite score that measures market conditions.
VMSI™ uses a 0–100 scale with four market states: Critical (0–25), Defensive (26–49), Cautionary (50–74), and Expansion (75–100). Higher scores indicate more supportive market conditions; lower scores indicate greater stress. The score describes the prevailing market state—not a prediction of future returns or a buy-or-sell signal.
Compare price movements with the conditions VMSI™ measures. Rising prices alongside weakening liquidity, for example, reveal conflicting evidence worth examining. VMSI™ is not a buy or sell signal.
VMSI™ is updated weekly after the Friday market close, using the latest available data and accounting for reporting delays.
VMSI™ measures overall market conditions. IC-VMSI™ evaluates institutional capital force, including deployment and persistence. ICMI™ examines how institutional capital is migrating across markets. The Advanced Signal Layer provides additional tests of the market-state assessment. Each framework answers a different question; overlapping signals are not treated as independent confirmation.
In VICA’s preliminary Audit 001, adding VMSI™ to a conventional benchmark reduced forecast error by 10.5% (MAE) and 14.5% (RMSE) across 34 historical tests of 20-trading-day S&P 500 returns. However, the improvement did not reach the 5% statistical significance threshold after adjusting for overlapping forecasts. Independent replication and further testing remain necessary.
VICA preserves historical scores, uses defined scoring rules, and tests findings against competing explanations. Conflicting results remain in the record. Conclusions change when the evidence no longer supports them.
Choose one investment decision, one benchmark, and a test with defined success and failure criteria. Compare VMSI™ with existing models. To request an evaluation, contact info@vicapartners.com.