Two sets of ETFs are used as proxies for monitoring the strength and directional bias of risk-on and risk-off market sentiment. Each index equally weights its set of target ETFs and rebalances at the end of each month.

Risk-On Index
1. SPDR S&P 500 (SPY)
2. Junk bonds (JNK)
3. Commodities (GSG)
4. Canadian dollar (FXC)
5. Australian dollar (FXA)
6. Short VIX Short-Term Futures (SVXY)

Risk-Off Index
1. VIX Mid-Term Futures
2. US Dollar Index (UUP)
3. Japanese yen (FXY)
4. Swiss franc (FXF)
5. US Treasuries (IEF)
6. Gold (GLD)