What is the Turbulence Index?
The Turbulence Index is a proprietary financial indicator developed by 20Quant to signal “risk-off” regimes in equity markets—particularly the S&P 500.
It is inspired by academic work on Mahalanobis distances and market turbulence, adapted through:
Multivariate tracking of 13 asset classes
Real-time anomaly detection of market co-movement disruptions
Rather than predicting market returns, it identifies regime shifts—periods where asset class relationships diverge, historically associated with elevated drawdown risk.
What You Get
Whether you just want the latest Turbulence Index reading or full access to models and macro insights, 20Quant offers scalable tools for navigating risk and opportunity.
Our Subscription Plans: Start with signals, scale up to full intelligence and in person support
Looking beyond today’s Turbulence reading? Our full-access tiers combine systematic signals with contextual insight to support tactical and strategic decisions.
Included in these plans:
Ongoing Turbulence Index updates with weekly readings, historical charts, and risk regime tracking
Cross-asset risk monitoring: identifying stress across equities, credit, commodities, and FX
Commentary from traders on regime transitions and volatility shocks
Fundamental risk premium estimates comparing equity and bond attractiveness based on earnings, inflation, and rate assumptions
Global Equity Screening Model, rebuilt with modern factor definitions: profitability, sentiment, and risk. Uses enhanced scoring logic from the YWR QARV and DB Quant research methodologies. Integrates real-world constraints like turnover, decay, and quality filters
For broader macro and thematic insights (e.g. gold, energy volatility, credit dislocations), explore our affiliated publication:
Simplify Partners – Letters to Investors
Get a one-off email showing where the Turbulence Index stands right now — ideal for those who just want the latest signal.
No subscription. No noise. Just the data.
Need a quick update?
Get a one-off email showing where the Turbulence Index stands right now — ideal for those who just want the latest signal.
No subscription. No noise. Just the data.
Our model detected volatility ahead of market spikes for several major downturns.
Using historical data over the last 20 years, the model has detected market movement ahead of major market downturns such as the collapse of Lehman Brothers and COVID.
Collapse of Lehman
99 days early
COVID
99 days early
Trump tariffs
On Feb 19
and Apr 2, 2025
Why the Turbulence Index Matters
Goes beyond VIX: captures correlation breakdowns across assets, signaling statistical anomalies as they happen
Built on Mahalanobis distance: quantifies the “unusualness” of market behavior in real time
Spiked ahead of major drawdowns (2008, 2020, 2022) — not visible in traditional volatility metrics
Enables earlier risk-off decisions — before standard indicators react
25 years of market data
Decades of stock market data enables analysis of conditions that lead to market volatility.
Global perspective
Analysis of macro trends provides further insight into correlations between conditions.
Experienced advisors
A seasoned executive team with 80+ years combined experience oversee the model to assess risk and impact.
"AI-supported"
Our approach uses AI as a supporting tool — never as a substitute for human judgment or investment insight.
