State Street Global Markets, the investment research and trading arm of State Street, has launched Turbulence Indices, a suite of indices that measure the unusualness, or turbulence, of market behavior on a daily basis.
According to State Street, its Turbulence Indices will help investors stress test their investment strategies, build versatile portfolios and dynamically scale risk exposure.
Institutional investors can use the indices to stress test their current financial models by assessing the performance of the model under extreme conditions. The indices can also help portfolio managers to build resilient portfolios that can better withstand extreme market conditions.
State Street’s Turbulence Indices cover US and European equities, currency, US fixed income and global asset classes. Each index provides a single, daily measure of turbulence based on the abnormality of its constituents’ returns on that day.
Will Kinlaw, managing director and head of portfolio and risk management research at State Street Global Markets, said: “The Turbulence Indices can be used alongside other measures of volatility to better manage current portfolios and prepare for additional instability in the market. Clients are also able to download our index values and apply them to their own portfolios to more effectively manage risk.”