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Windham Turbulence Index

What is the Windham Turbulence Index? Where can I get it? Is it available in the Windham Software?

The Windham Turbulence Index is published daily online and is available here on our website. It is currently not available in the Windham Software.

The turbulence measure was developed in 1999 to separate historical returns into those associated with random noise (quiet) and those associated with events (turbulence). We use statistical unusualness as a proxy for market turbulence: a set of returns is statistically unusual if one or more of the returns is significantly above or below average or if returns interact in an uncharacteristic fashion. We end up with a measure for each period indicating its level of unusualness.

The turbulence measure is superior to VIX or volatility because 1) it considers not only high volatility but unusual correlations, and 2) it can be measured for any collection of assets (not just U.S. equities).

Category:Understanding the Software -> Turbulence