Rapidly expanding exhaust gas is forced out of the engines combustion chamber by the process of combustion and the upward movement of the piston. If the exhaust gas is allowed to cool (dissipate heat) it doesn’t expand as rapidly. It is the expansion and velocity of the exhaust gas that spins the compressor wheel of a turbocharger.
Heat is absorbed by the cast iron turbo exhaust housing and is transferred into the air in the engine bay.
By wrapping the turbo exhaust housing in a genuine Kool Wrap exhaust blanket or beanie, you are keeping the heat inside the compressor housing where it belongs. This means that the turbo will spool up faster and make more turbo boost and potentially more power.
The other advantage is that the engine bay remains cooler and probably the engine intake temperatures. This can prevent melted hoses, cables and wiring.