Is the proprietary Goldman Sachs Panic Index, conventionally interpreted as good (bad) for future stock market returns when very high (very low), useful for market timing? Because the data series for the index is not publicly available, we ask Claude to estimate the data series from a publicly available chart. Claude generated estimates of end-of-week values of the index that smooths the daily chart, with comments as follows:
- This is a pixel reconstruction of a chart image, not sourced data.
- The chart image exhibits excellent calibration. Extreme values validate within ~0.1 on a scale of 1 to 10, about as good a cross-check as pixel extraction can get.
The last reading in the series is not a full week. With limitations in mind, we perform correlation and ranking tests on interactions between the estimated series and S&P 500 Index (SP500) returns. Using estimated end-of-week Panic Index values and end-of-week SP500 levels during mid-August 2024 through mid-August 2026, we find that:
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