Financial_Turbulence-Mark-Kritzman-CFA-and-Yuanzhen-Li-2010-

Algorithm to calculate Financial Turbulence for any time period you wish

I created such an Algorithm based on Mark Kritzman, CFA and Yuanzhen Li, 2010. I have not made any changes in their formula based on Mahalanobis distance. Yet my choice of financial assets classes was different (I added Technological assets). Below you can find my choice:

Source Yahoo Finance

In order to obtain a wide image of the global financial turbulence the following assets classes and their respective indexes were used:

The main data focus is on American financial assets due to the major influence that the American economy has on the other economies

US stock assets = S&P 500

Non-US stock assets = SPDR EURO STOXX ETF (FEZ)

US bonds = Invesco BulletShares 2023 Corporate Bond ETF (BSCN)

Techonological assets = NASDAQ Composite (^IXIC)

Commodity assets = Invesco DB Commodity Index Tracking Fund (DBC)

US Real Estate = Vanguard Real Estate Index Fund (VNQ)

I would dare to say that the code is quite self-explanatory (at least this was my goal whilst writing it) However, if you have any questions please do not hesitate to ask me. By the way, my linkedin is https://www.linkedin.com/in/hugo-gobato-souto-669b17161/