Corroborating Findings that the S&P 500 Index Predicts VIX Futures

"Use Short-term S&P 500 Index Indicators to Predict VIX Futures?" describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term VIX futures exchange-traded funds (ETF)? To investigate, we look at predictive relationships between daily SPDR S&P 500 ETF Trust (SPY) returns and daily returns for:

• ProShares VIX Short-Term Futures ETF (VIXY), which seeks daily investment results, before fees and expenses tracking the performance of the S&P 500 VIX Short-Term Futures Index.
• ProShares Short VIX Short-Term Futures ETF (SVXY), which seeks daily investment results, before fees and expenses tracking one-half the inverse (-0.5x) of the performance of the S&P 500 VIX Short-Term Futures Index.

Using daily dividend-adjusted values of SPY since January 2011, and daily split-adjusted values of VIXY since January 2011 and SVXY since October 2011, all through most of June 2024, we find that: