Immune System

HIGH Mar 18, 2026 91st 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.

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 does this mean?

The market is under significant stress. Multiple types of investments are moving in unusual, correlated ways — like when everything sells off together. Historically, this level of stress actually marks the worst of the selloff more often than the start of one. But if credit markets are also stressed (check the Credit Stress report), the combination is much more dangerous.

What's Driving It

[CURRENT STATE] ⬆ Turbulence HIGH -- cross-asset stress well above normal Measures how many different investments are moving in unusual ways at the same time — like a fever thermometer for the whole market
[CURRENT STATE] ○ Dispersion NORMAL -- names moving in line with the index Tracks whether individual stocks are moving together or going in wildly different directions. High dispersion under a calm surface is a hidden warning sign
[CURRENT STATE] ○ Software NORMAL -- software stress in line with market Compares how much software/tech stocks are swinging versus the overall market. When this sector is stressed beyond normal, it often spreads
[FORWARD-LOOK] ○ BKLN ABOVE 200-day MA -- leveraged loans stable Tracks risky corporate loans (the kind private equity firms use for buyouts). When this drops below its long-term average, it signals that stress is spreading from stocks into corporate debt — a serious escalation
[CURRENT STATE] ○ Breadth NEUTRAL -- balanced participation Measures whether the whole market is moving together, or if gains are concentrated in just a few big stocks. Narrow breadth (only a few stocks going up) is a warning that the rally is fragile

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.

In plain English

In plain English: the market is very stressed right now. The key question is whether this stress is contained to stocks or spreading to bonds and lending markets. Check the Credit Stress report — if it's also elevated, this becomes a much more serious warning. If credit is calm, history says this is often a good buying opportunity.

RECOMMENDED ACTIONS (HIGH)

Consider reducing position sizes
Tighten trailing stops on all positions
Raise cash allocation (Cash is the only asset that doesn't lose value in a crisis. Having cash ready means you can buy opportunities when the storm passes)
Monitor daily for escalation to Critical

Detailed Metrics

Turbulence: 15.31 (91th percentile)How unusual is today's market behavior compared to the past year? Higher = more unusual.

Magnitude Surprise: 18.4How extreme are today's price moves in absolute size? A bigger number means larger-than-expected moves.

Correlation Surprise: 0.83xAre investments moving together in unusual ways? Above 1.0x means correlations are higher than normal (things are moving in lockstep).

Days Elevated: 1 daysHow many consecutive days has stress been above normal? Longer streaks suggest persistent stress, not a one-day blip.

Divergence Active: NOIs there a contradiction between what the market surface looks like and what's happening underneath? YES means the index looks calm but stress is building below the surface.

Dispersion Ratio: 2.03 (62th percentile)How spread out are individual stock returns? A high number means stocks are going in very different directions — the market can't agree on a direction.

Stealth Stress: NOIs stress hiding? This fires when individual stocks are diverging sharply but the overall index looks calm — a classic sign that trouble is building before it shows up in the headlines.

Breadth (RSP/SPY): 0.99 (neutral)Are most stocks going up, or just a few big ones? Below 0.97 = narrow (bad), above 1.03 = broad (good), in between = balanced.

BKLN Trend: ABOVE 200-day MAIs the risky loan market healthy? BELOW the 200-day average means loans are under pressure — a sign that stress is spreading beyond stocks.

Sector Stress Ratios: How volatile is each sector compared to the overall market? Above 1.0x means that sector is more stressed than average. Above 1.5x is a red flag.

AI / Core: 0.16x

Software / Core: 0.43x

Consumer Credit / Core: 0.17x

HY OAS: N/AThe 'high yield spread' — the extra interest rate that risky companies must pay to borrow. Higher = more fear about corporate defaults. The percentile tells you where this sits versus the past 2 years.

Funding Spread: N/AThe cost of short-term borrowing between banks. Negative = cheaper than normal (good). Positive = more expensive than normal (stress in the financial plumbing).

SPX vs 50-day MA: 661.43 (BELOW 50-day MA)Is the S&P 500 above or below its 50-day trend line? Below = the market is in a short-term downtrend.

VIX: 25.1The 'fear index.' Measures expected market volatility over the next 30 days. Below 15 = calm. 15-25 = normal. 25-35 = elevated fear. Above 35 = extreme fear.

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