Validating CNN Fear and Greed Index as Return Predictor

"CNN Fear and Greed Index as Return Predictor" reports findings from a draft study that the CNN Fear and Greed Index (F&G) may be useful for U.S. stock index timing. The authors of that paper generously provided their hand-collected sample of daily CNN F&G levels for 4/7/21 through 3/8/24. We partly validate and extend that sample using daily values from the Timeline view of Fear & Greed Index as of 8/12/24. We then relate daily CNN F&G and daily changes in CNN F&G to daily returns for SPDR S&P 500 ETF Trust (SPY). Using the validated/extended sample of daily CNN F&G and contemporaneous daily dividend-adjusted prices for SPY during 4/7/21 through 8/12/24, we find that: