Recently Published
Risk Report July 15, 2016
Charts Fragility, Turbulence, and Correlation of US Equity Sectors, Global Assets, and Country Equity.
All time-series are return histories of passive ETFs.
Fragility is the standardized change of the cumulative variance explained by the first two principal components in a rolling PCA. Higher is worse as two components are explaining a higher amount of variance, or put another way diversification is less effective.
Turbulence is the z-score of the Mahalonobis distance. Higher is worse, indicating higher amounts volatility and extreme returns.