IVV Risk Monitor
Historical test of next-trading-day large-move alerts
Alerts
Hits
False alarms
Misses
Risk and alert outcomes
The dashed line is the 12.41% alert threshold. Each forecast uses data available on the preceding IVV trading day.
HitFalse alarmMiss
- Forecast date
- Outcome
- Predicted risk
- Actual absolute return
Model comparison
Both logistic regressions use the full 2024–2025 test period.
| Metric | 20-day volatility | 20-day volatility + VIX |
|---|---|---|
| ROC-AUC | 0.696 | 0.780 |
| Alerts | 49 | 35 |
| Hits | 12 | 13 |
| False alarms | 37 | 22 |
| Misses | 31 | 30 |