Know what your
portfolio is
actually exposed to.
SRX translates macro systemic stress into portfolio-specific risk intelligence — which holdings amplify exposure, how diversification is degrading, and when regime conditions are shifting.
GSRI crossed Elevated on Sept 27, 2007 — 376 trading days before Lehman.
VIX crossed 30 on Nov 12, 2007. GSRI was 69 days earlier.
Standard risk models are blind to regime shifts.
VIX tells you the market is stressed. It doesn't tell you what that stress means for your specific holdings — which positions are amplifying exposure, whether your diversification is still working, or how far a regime shift has progressed.
Most portfolio risk tools are calibrated to normal conditions. During structural decay — the slow buildup of cross-asset correlation and drawdown acceleration that precedes major dislocations — they produce misleading signals.
SRX answers a different question: not how volatile is the market, but what is the current systemic regime doing to this portfolio, specifically.
Six signals.
One regime score.
Each signal uses a convex power function (γ > 1) that accelerates under stress. The correlation signal applies directional conditioning — only downside co-movement scores high, preventing risk-on rallies from triggering false positives. Signal weights are optimized via SLSQP with L2 regularization against 13 historical crisis eras, with leave-one-era-out cross-validation. Scoring thresholds are calibrated via Kalman filter on 10-year live signal history.
GARCH(1,1) conditional vol per asset; rolling std fallback. Calm: 5% ann. Crisis: 60% ann. GSRI uses per-asset GARCH; SRS uses cross-asset mean.
γ = 1.5Amihud illiquidity ratio. Low weight — Yahoo Finance ETF volume conflates primary and secondary market activity. Bounds [0.02, 0.60] in ML optimizer.
γ = 1.3Directional pairwise ρ — scaled by fraction of assets with negative mean returns. BTC excluded. SPY 120-day MA trend conditioned. Strongest structural signal.
γ = 1.4Avg. drawdown from rolling peaks. Highest convexity exponent — crisis non-linearity is sharpest here. * Heuristic prior; ML optimizer finds data-driven weights.
γ = 1.6The SRS and GSRI are macro signals. SRX's Portfolio Impact layer translates them into holding-specific consequences: which assets amplify systemic exposure relative to their weight, whether cross-asset diversification is structurally intact, and what the dominant stress transmission channel is for this portfolio. EC and VTS modifiers use headroom-proportional scaling so they never inflate already-elevated base scores. One-click PDF reports embed all readings alongside AI-generated regime narratives and historical similarity analysis for client-facing use.
Walk-forward protocol.
Zero look-ahead bias.
Thresholds fixed a priori. Same parameters across all 13 periods. Not re-calibrated per event. Eleven crisis detections · Two calm baselines · Thirteen eras total.
Cross-asset correlation and HYG spread widening building through H1 2011. Draghi 'whatever it takes' bottom July 2012.
Equity-credit co-movement deterioration and rising treasury vol building through Jan-Feb 2023 — SVB's duration losses were a direct consequence of the 2022 rate cycle.
China episode stress carried forward into Brexit uncertainty. Shock Multiplier activated on the vote-day dislocation.
Markets -9% in minutes, recovered within hours. Correct result: Shock Multiplier fires; no structural precursor to detect. Tests shock detection, not lead time.
251 trading days. VIX averaged 11. Zero days in Monitoring or above. The model is fully quiet during the lowest-volatility year in modern market history.
Jan 2–10 shows Q4 2018 correction in the 60-day lookback — correct behavior, not a false positive. By January 11 GSRI dropped to 42. April through December 2019 (SPY +31%, VIX avg 15): clean Normal throughout.
VIX measures equity implied volatility. MOVE measures rates market fear. Both spike with the crash, not before it. SRX detects structural decay: slow cross-asset deterioration preceding dislocations by months. The 2013 Taper Tantrum — a pure bond-market event with no equity-credit stress — is a clean non-detection. GSRI leading MOVE in the 2022 rates crisis is the strongest possible result: a multi-asset indicator detecting a rates-driven crisis before the rates fear index itself.
Explore the dashboard
Full GSRI monitor with 10-year history, SRS signal decomposition, portfolio stress testing across five scenarios, historical crisis validation across 13 periods, regime intelligence, ML weight comparison, and one-click PDF report generation. Input your own holdings to see portfolio-specific impact.
Request the technical brief
For risk managers and portfolio strategists. Covers directional correlation construction, adaptive window mechanics, ML weight optimization, Kalman threshold calibration, and the complete 13-era walk-forward validation record.