TY - JOUR T1 - U.S. Stock Returns and VIX Futures Curve JF - The Journal of Wealth Management SP - 107 LP - 117 DO - 10.3905/jwm.2018.21.2.107 VL - 21 IS - 2 AU - Todd Feldman AU - Alan Jung AU - Shengle Lin Y1 - 2018/07/31 UR - https://pm-research.com/content/21/2/107.abstract N2 - The authors investigate the question of whether the VIX futures term structure curve can detect inflection points in the U.S. stock market. They find that transformations of the slope of the VIX futures term structure, such as exponential moving average of past slopes, curvature, and polynomial fitting, outperform the simple slope and can be used as factors to improve probabilistic models that predict downturns in the U.S. stock market.TOPICS: Futures and forward contracts, statistical methods, performance measurement ER -