Economy & PolicyCore researchInactiveNew
VIX Term Structure
Updated dailyData needs: mediumlong onlyshort onlylong short
paper
2017
Source
Johnson, T. L. (2017). "Risk Premia and the VIX Term Structure." Journal of Financial Economics, 122(1), 1-29.
Read the paper →
In plain terms
The original unvintaged proxy stays blocked; a named published-spot successor restores its internal rules.
How it works
VX1/VX3 slope predicts S&P returns 5-20d. Steep contango → calm → drift up. Backwardation → vol-shock → underperformance.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
Data dependencies
- Vix term structure
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- ~5-10%/yr
- Reported Sharpe
- ~0.7
- Tested over
- T+0 to T+20d
Johnson 2017: Sharpe ~0.7 on SPY-timed strategy.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore VIX Term Structure on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.