Rating The Global Financial System

The Global Financial Complexity Index™ (GFCI™)  is a meta-index which measures the complexity of the global financial system. The GFCI™ is based on the closing values of the indices of the World’s main market indices and is computed on a daily basis. Essential to the global investor, the GFCI™ measures the ‘temperature’ of the entire international financial system.

The index is based on the past six months of trading. Its values are absolute (>0). High values indicate intense interaction between the various market indices which are the following:

AORD,  BSESN,  HSI,  JKSE,  KLSE,  KS11,  N225,  NSEI,  NZ50,  STI,  TWII,  000001.SS,  ATX,  BFX,  FCHI,  FTSE,  GDAXI,  IBEX,  SSMI,  FTSEMIB.MI,  IETP,  STOXX50E,  OMXH25,  OMXSPI,  OMXC20,  DJA,  DJI,  DJT,  DJU,  GSPC,  IXIC,  MID,  NDX,  NYI,  NYA,  RUA,  RUI,  RUT,  SML,  BVSP,  GSPTSE,  MERV,  MXX,  TA100,  BIST 100,  IDX,  TASI,  TA-25,  SET

The function of the GFCI™ is to combine the above 50 indices into one single meta-index.

The GFCI™ has predictive capability. Two examples are illustrated where one may notice how a drop in the GFCI™ precedes a fall in major indices such as the DJI or the NDX.

The GFCI versus the DJI (June 2013 - April 2016). data source: bloomberg

The GFCI is computed on a daily basis but may be delivered at an arbitrary frequency, including near-real time.