Immune System

HIGH Mar 8, 2026 93th pctl turbulence

Data Quality: DEGRADED

This report was generated with 5/7 data inputs. Missing: Hy Spread (Fred), Funding Spread (Fred). Scores for missing inputs may show as 0.0 or N/A.

MARKET IMMUNE SYSTEM -- 2026-03-06

STATUS: HIGH Cross-asset turbulence is well above normal, indicating the market is in a stressed regime. Historically, high turbulence marks drawdown troughs more often than onsets (mean-reversion effect). Check the credit stress signal for forward risk assessment.

What's Driving It

[CURRENT STATE] ⬆ Turbulence HIGH -- cross-asset stress well above normal
[CURRENT STATE] ○ Dispersion NORMAL -- names moving in line with the index
[CURRENT STATE] ○ Software NORMAL -- software stress in line with market
[FORWARD-LOOK] ○ BKLN ABOVE 200-day MA -- leveraged loans stable
[CURRENT STATE] ○ Breadth NEUTRAL -- balanced participation

INTERPRETATION

The market is in a highly stressed regime. Turbulence is high but this signal describes current conditions, not forward risk. Historically, high-turbulence periods show the strongest mean-reversion (best 21-day forward returns). However, if credit stress is also elevated, the combination has materially worse outcomes. Check credit stress.

RECOMMENDED ACTIONS (HIGH)

Consider reducing position sizes
Tighten trailing stops on all positions
Raise cash allocation
Monitor daily for escalation to Critical

Detailed Metrics

Turbulence: 19.8 (93th percentile) Magnitude Surprise: 20.5 Correlation Surprise: 0.96x Days Elevated: 2 days Divergence Active: NO Dispersion Ratio: 2.04 (66th percentile) Stealth Stress: NO Breadth (RSP/SPY): 1.01 (neutral) BKLN Trend: ABOVE 200-day MA

Sector Stress Ratios:

    AI / Core:               0.13x
    Software / Core:         0.17x
    Consumer Credit / Core:  0.27x

Market Reference:

    SPX:  672.38  (BELOW 50-day MA)
    VIX:  29.49

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