Risk Posture Composite
The market's aggregate appetite for risk.
RSKP synthesizes cross-asset risk signals into a single regime indicator — measuring whether the market's overall posture is risk-on or risk-off across equities, credit, FX, and commodities.
The Risk Posture Composite (RSKP) measures the aggregate risk appetite across global financial markets. It synthesizes signals from equity volatility, credit spreads, currency safe-haven flows, commodity momentum, and capital flows to determine whether the market is in a 'risk-on' posture (investors seeking higher-return assets) or 'risk-off' posture (investors moving to safety). RSKP is designed to be a leading summary of market regime rather than a lagging reflection of it.
The VIX measures implied volatility in S&P 500 options — specifically, the 30-day expected volatility priced into options contracts. RSKP is broader: it incorporates the VIX as one input alongside credit spreads, FX dynamics (USD vs. risk currencies, JPY carry), gold vs. risk assets, and cross-asset momentum. The VIX is US equity-centric; RSKP is genuinely cross-asset. They often move together, but during episodes of stress isolated to credit or FX, RSKP captures signals the VIX misses.
RSKP below 35 classifies as 'Risk-Off' — markets are broadly positioned defensively across asset classes. Readings between 35–55 represent 'Neutral' regime. Above 55 indicates 'Risk-On,' with investors broadly seeking returns in riskier assets. Extreme readings above 75 have historically preceded mean-reversion — periods of exuberance that often resolve with a sharp risk-off correction.
RSKP is calculated daily using end-of-day market data across its component inputs. Because it aggregates across asset classes, it smooths some of the intraday noise present in individual indicators like the VIX. The composite is designed to be a reliable regime indicator over 1-4 week horizons rather than a daily trading signal.
In low-RSKP (risk-off) environments: long-duration Treasuries, gold, USD, JPY, and defensive equity sectors (utilities, consumer staples, healthcare) tend to outperform. In high-RSKP (risk-on) environments: cyclical equities, high-yield credit, emerging market assets, commodities, and crypto tend to outperform. The key insight is that RSKP gives you the regime; you then apply regime-appropriate positioning logic rather than trying to predict individual asset moves.
