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Market Risk Classifier · Event Risk Brief · 2025-001

Concluded · 2025-03-032025-02-28 · inputs through 2025-02-27 closeLive report →
What happened · scored by what the market did next
✓ Escalated within days

The system issued a more severe classification within 10 trading sessions — the hold ended with an escalation, not a miss.

The Call

STABLE (WATCH) was in effect. VIX was up 35% in five sessions; the call did not move.

Volatility jumped this week; the system classifies it as not a regime change.

RISK SHAPE
WHIPSAW
WHIPSAWSHIFTINGELEVATEDSHOCKCRISIS
WHAT THE SYSTEM DID
HELD THROUGH IT
the system classifying STABLE while VIX rises 25%+ in a week
LAST 20 SESSIONS · VIX (ORANGE) + S&P 500 (WHITE)
STABLETRIGGER WINDOW · LAST 5 SESSIONS21.114.8VIX6,1445,862S&P01/3002/1202/27
VIX · CBOE VOLATILITY INDEX
21.13
5-SESSION CHANGE +34.9%
S&P 500
5,861.57
5-SESSION CHANGE -4.2%
CONCLUDES WHEN EITHER · 3 CONDITIONS+
(a) The system escalates to a more severe state (escalated).(b) VIX's 5-session change falls back below +25% with no escalation (the scare faded).(c) No escalation within 10 sessions and the S&P 500 falls 5%+ within 20 sessions (the call was wrong).

Classification uses the prior session close (2025-02-27).

Historical Precedent48 MATCHES SINCE 2012
QUERY: risk shape == STABLE (WATCH) AND VIX 5-session change >= +25% · 3,309 SESSIONS SINCE 2012 · 48 MATCHES
MEDIAN PATH · 48 MATCHES · INDEXED TO 100 AT THE MATCHED MORNING
TRIGGER WINDOWTHE MATCHED MORNING · TODAY'S POSITION10077VIX102.3100.0S&P−20 SESSIONS0+15 SESSIONS

Median forward path of all 48 matched mornings. Historical pattern, not a forecast.

94%
THE SYSTEM CLASSIFIED STABLE CORRECTLY OR ESCALATED WITHIN DAYS · 45 OF 48 MATCHES
6%
THE SYSTEM WAS WRONG · CLASSIFIED STABLE THROUGH A 5%+ S&P 500 FALL · 3 MORNINGS: 2014-09 · 2015-07 · 2022-04
HISTORICAL MARKET CLASSIFICATION OUTCOMES
69%
25%
6%
33 OF 48The scare faded. The system classified STABLE and no hard fall followed
12 OF 48The system escalated within days. It issued a more severe classification within 10 trading sessions
3 OF 48The system was wrong. It classified STABLE while the S&P 500 fell 5% or more within 20 sessions: 2014-09 · 2015-07 · 2022-04
↳ CLOSEST MATCHES TO TODAY · PRIOR-CLOSE VIX < 22 (TODAY: 21.13) · 43 OF THE 48+
31 OF 43The scare faded.
10 OF 43The system escalated within days.
2 OF 43The system was wrong. 2014-09 · 2015-07

Free · issued pre-open when conditions warrant

Event Log4 SESSIONS
2025-02-25 · DAY 1 · STABLE · VIX 18.98 (+28.5%) · SPX 5,983.25 (-2.1%)
2025-02-26 · DAY 2 · STABLE · VIX 19.43 (+26.6%) · SPX 5,955.25 (-2.8%)
2025-02-27 · DAY 3 · STABLE · VIX 19.10 (+25.1%) · SPX 5,956.06 (-3.1%)
2025-02-28 · DAY 4 · STABLE · VIX 21.13 (+34.9%) · SPX 5,861.57 (-4.2%)
Sector ImplicationsTAP TO EXPAND +

10-DAY FORWARD RETURN VS STABLE PERIODS · STRESS-CLASSIFIED DAYS

CYCLICAL BASKET

+1.9pp

XLE · XLB · XLF · XLI · XLY

DEFENSIVE BASKET

-0.5pp

XLV · XLP · XLU

10-DAY FORWARD RETURN DIFFERENTIAL BY SECTOR (STRESS VS STABLE)

XLEEnergy
+2.9pp
XLFFinancials
+2.7pp
XLBMaterials
+1.7pp
XLKTechnology
+1.7pp
XLIIndustrials
+1.2pp
XLYConsumer Disc.
+0.9pp
XLUUtilities
+0.6pp
XLPStaples
-0.6pp
XLVHealthcare
-1.5pp
Sector returns measured from the classification date forward. Backtest: 2012-2024, 154 stress-classified days. Out-of-sample: 2025-2026, 24 stress-classified days. Historical analysis, not investment advice.

This report is preserved at its permanent address · the live report continues every trading morning →

Outcome definitions, system methodology, and the full classification record

Validation & Methods →

Historical base rates since 2012: history, not a forecast. Past classifications do not guarantee future accuracy. Research use only. Mindforge is not a registered investment adviser. Full terms: mindforge.tech/terms · Methodology: mindforge.tech/validation-and-methods

Research use only. Not investment advice. Past performance ≠ future results. Mindforge is not a registered investment adviser. Full terms · Methods

Event Risk Brief 2025-001 | Mindforge | Mindforge