Cross-Asset Risk Appetite Index

Cross-Asset Risk Appetite Index (RiskApp) by CWRP combines multiple asset classes into a single risk sentiment signal to help traders and investors detect when the market is in a risk-on or risk-off regime.

It calculates a composite Z-score index based on relative performance between:
SPY / IEF: Equities vs Bonds
HYG / LQD: High Yield vs Investment Grade Credit
CL / GC: Oil vs Gold
VIX / MOVE: Equity vs Bond Market Volatility (inverted)

Each component reflects capital flows toward riskier or safer assets, with dynamic weighting (Equity/Bond: 30%, Credit: 25%, Commodities: 25%, Volatility: 20%) and smoothing applied for a cleaner signal.

How to Read:

Highlighting

Yellow = Risk-On sentiment (market favors risk assets)

Orange = Risk-Off sentiment (flight to safety)

Black Background = Neutral design for emotional detachment

Table

Equity/Bond Z-Score:
Positive (> +1) --> Stocks outperforming bonds --> Risk-On
Negative (< -1) --> Bonds outperforming stocks --> Risk-Off

Credit Spread Z-Score (HYG/LQD):
Positive --> High yield outperforming --> Investors seeking yield
Negative --> Flight to quality --> Credit concerns

Oil/Gold Z-Score:
Positive --> Oil outperforming --> Economic optimism
Negative --> Gold outperforming --> Defensive positioning

Volatility Spread (VIX/MOVE):
Positive --> Equity vol falling relative to bond vol --> Risk stabilizing
Negative --> Equity vol rising --> Caution / Risk-Off

Composite Index:
> +1 --> Strong Risk Appetite
< -1 --> Strong Risk Aversion
Between -1 and +1 --> Neutral regime

Thank you for using the Cross-Asset Risk Appetite Index by CWRP!
I'm open to all critiques and discussion around macro-finance and hope this model adds clarity to your decision-making.