Trailing percentile ranking of the level of the VIX.
Readings of 40 and below are Bullish. [0, 40]
Readings above 40, but not above 80 are Bearish (Sub-normal). (40, 80]
Readings above 80 are Bullish. (80, 100)
Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future.
Expected returns are for 1-month and 3-month returns of the S&P 500.
The terms "Bullish" and "Bearish" do not mean that returns are expected to be positive or negative; rather, they mean that returns are expected to be higher or lower than normal. In practice, that really only applies to the "Bearish" term, since stocks returns have historically had a positive bias.