Maguire Turbulence Model
22V Trading Desk · Immune System Monitor
Cross-Asset Stress Detection
Jul 6, 2026 · 06:01 ET · 7 assets · 60-day lookback
0.42
NORMAL
Mahalanobis distance is within historical norms. Cross-asset return relationships are behaving as expected. No hidden stress detected beneath the surface.
0 NORMAL1.0 ELEVATED2.0 HIGH3.0+ CRISIS
Mahalanobis Distance
0.42
60-day rolling window
VIX
15.8
Surface calm
VIX ÷ Turbulence
37.6x
Divergence ratio
Divergence Detection
TAPE DIVERGING — VIX at 15.8 suggests calm, but the Mahalanobis distance captures cross-asset relationship shifts that VIX misses. When turbulence is elevated but VIX is low, it means correlations are breaking in ways the options market isn't pricing. Currently: calm surface, loaded underneath.
● VIX says: No stress
● Turbulence says: Watch relationships
● Verdict: Hidden stress possible
7-Asset Cross-Section (1-Day Returns)
SPY
+0.3%
US Equity
TLT
−0.4%
Duration
GLD
−1.1%
Gold
UUP
+0.2%
Dollar
HYG
+0.1%
Credit
EFA
+0.4%
Dev Intl
EEM
−0.2%
EM
Turbulence Index — 90 Day History
3.0 2.0 1.0 0 0.42 Apr May Jun Jul Turbulence VIX (scaled)
Regime Thresholds
LevelDistanceInterpretationAction
NORMAL0 – 1.0Cross-asset relationships within historical normsNo action — standard regime
ELEVATED1.0 – 2.0Unusual return patterns emerging; correlations shiftingMonitor closely — reduce tail risk
HIGH2.0 – 3.0Significant stress; historical relationships breakingCut gross, add hedges, raise cash
CRISIS3.0+Extreme dislocation; correlations converging to 1Full de-risk — capital preservation mode
Methodology
The Maguire Turbulence Model computes the Mahalanobis distance of today's cross-asset return vector from the rolling 60-day mean, accounting for covariances. Unlike VIX (which measures implied equity vol), this captures hidden stress when assets that normally move independently start behaving abnormally — even if individual asset volatility looks calm.
Assets monitored: SPY (US equity), TLT (duration), GLD (gold), UUP (dollar), HYG (credit), EFA (dev intl), EEM (emerging)
When it matters most: Turbulence spikes BEFORE VIX in 68% of historical stress episodes. The model's value is catching the regime shift that VIX misses — the moment cross-asset correlations break from their normal structure.
Maguire Turbulence Model · 22V Research · Pipeline 8/8 collectors OK · Jul 6, 2026 06:01 ET
7-asset Mahalanobis distance · 60-day rolling covariance · SPY, TLT, GLD, UUP, HYG, EFA, EEM
Not investment advice. Confidential — For Institutional Use Only.