Global Tail Risk Score

By: Macro Strategy Team

June 5, 2025

By: Macro Strategy Team

Macro Strategy Team

The Global Tail Risk score uses the Pythagorean theorem to convert State Street’s Systemic Risk Index and Turbulence Index into a single metric.

President Donald Trump’s chaotic rollout of tariffs caused a spike in this metric, which has only partially corrected. Movements tend to be echoed in the annual change of the MSCI World equity index. What is interesting to observe is the current disconnect. The Global Tail Risk score is still an elevated 68% even as the MSCI World y/y% shows a 12% gain. Something has got to give.

Author Bios

Macro Strategy Team

The Macro Strategy team provides cross-asset research and market intelligence across developed and emerging economies. Their expertise in FX, equities, and fixed income is complemented by proprietary indicators on investor behavior, inflation, and sentiment—turning complex data into actionable insights that help clients anticipate risks and capture opportunities.

1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.