| 10/20/2008 | Market turbulence indexes now available to investors |
Windham Capital Management, LLC, a leading financial services firm, has made two global market turbulence indexes available. Published on their website, the indexes provide daily measures of turbulence in the global capital markets and the global currency markets. The current level of turbulence is compared to averages over multiple time periods. Recently, the daily market turbulence has exceeded the long run average by over 10 times.
High levels of turbulence are characterized by spikes in volatility and changes in the correlation structure of assets. Developed by Windham, these innovative indexes use a robust mathematical framework to measure the level of market turbulence based on daily asset price movements. Spikes in the turbulence index coincide with well-known market events characterized by widespread risk aversion and a flight to riskless investments.
The Turbulence Index is used by investors to scale their market exposure upon detecting a shift to a turbulent risk regime. Isolating the characteristics of assets during turbulent times has also enabled investors to construct portfolios that are more resilient to these periods.
Windham’s turbulence indexes are updated periodically. To view, please click here.
For additional information you may contact us at 866-533-5529 or fill out an online form.