The VIX term ratio gave no clear monthly Nasdaq return forecast gain with dated inputs in 2018–2025

We tested whether the ratio of three-month to one-month implied volatility improves next-month Nasdaq Composite mean return forecasts. We used dated ALFRED records and fixed ridge models. The reference model used past price variation and one-month VIX. The added model used the log term ratio. The main test has 93 available months in 2018–2025. The added ratio increased squared error by 0.37%. The descriptive 95% six-month block interval for error reduction was -2.78% to +1.45%. The added model also gave no clear gain over the past mean or zero. Its sign accuracy was 65.59%, equal to always predicting a rise. Its nominal 90% residual intervals covered 81.72% of test returns. Three scheduled months had stale inputs and no forecast. Historical training rows used the source version available at each fit. They are backfill, not certified first-release rows. A first-receipt outcome check left the finding unchanged. Separate calculations checked all 774 fitted states and all 129 monthly labels. The package preserves code, 1,161 forecasts, fit states, source hashes, figures, fixed negative comparisons, and repeat instructions. Restricted source and outcome rows are retained under provider terms. This is a forecast test. It gives no evidence of a trading gain.

stock return prediction · VIX term structure · point-in-time data · chronological evaluation · negative result