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.