Our Models
Turbulence Index
A multivariate, regime-based diagnostic of systemic market stress, designed
to identify periods of structural instability that traditional volatility
or price-based indicators often fail to capture.
What it is
What is the Turbulence Index?
The Turbulence Index is a proprietary diagnostic indicator developed by 20Quant to monitor structural stress in financial markets, with a primary focus on equity markets.
Inspired by academic research on multivariate market turbulence and statistical distance, it evaluates how joint asset behaviour deviates from historical norms. The index is designed as a regime diagnostic tool, not a volatility forecast or return predictor.
Academically Grounded
Grounded and refined in academic research (integrating academing work since 2004) on multivariate market turbulence and Mahalanobis distance.
Multivariate Correlation Among 13 Asst Classes
Measures joint asset behaviour to capture stress emerging through correlation breakdowns.
Regime-Oriented Design
Built to characterise structural risk regimes rather than price direction or momentum.
Availability and coverage
Regular Turbulence Index readings focus on the S&P500 but the supesets als provide insigth for the specific asset classes. Markets and integratesd within our broader state-of-the-market and risk monitoring frameworks.
Why It Matters
Highlighting systemic stress before market reactions
Market instability often manifests through structural dislocations before prices or volatility adjust.
Beyond Volatility
Reveals correlation breakdowns and systemic stress still undetected by implied volatility measures.
Earlier Regime Awareness
Provides actionable insight into risk-off conditions before traditional indicators.
Decision-ready signal
Supports disciplined, auditable risk interpretation within structured portfolio frameworks.
