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. The dashboard shows three zones: 0–49 Defensive, 50–74 Cautionary, and 75–100 Expansion. The full methodology also identifies 0–25 as Critical. Compare weekly readings to see how conditions change.
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.
IC-VMSI™ looks for evidence of institutional capital being added or withdrawn. ICMI™ examines shifts in capital across markets. The Advanced Signal Layer checks evidence that supports or challenges the VMSI™ assessment.
In 34 historical tests of 20-trading-day S&P 500 forecasts, adding VMSI™ reduced two measures of forecast error by 10.5% and 14.5%. These preliminary findings continue to be tested.
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.