The Citigroup Economic Surprise Index, a popular measure that tracks how economic data progress relative to the consensus forecasts of Wall Street economists, has been headed straight down since October 1, and is close to going negative.
Below is a full description of the indicator, from Bloomberg:
The Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data surprises (actual releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance [been] beating consensus. The indices are calculated daily in a rolling three-month window. The weights of economic indicators are derived from relative high-frequency spot FX impacts of 1 standard deviation data surprises. The indices also employ a time decay function to replicate the limited memory of markets.
The index sits at 5.4 today, well below the 53.3 reading registered on the first day of the month.
A few datapoints that have surprised to the downside, dragging this measure down:
- September ADP Employment Change, Oct. 1 (166,000 actual; 180,000 expected)
- September ISM Non-Manufacturing Composite, Oct. 3 (54.4 actual; 57.0 expected)
- October Empire Manufacturing, Oct. 15 (1.52 actual; 7.00 expected)
- October NAHB Housing Market Index, Oct. 16 (55 actual; 57 expected)
- September Existing Home Sales, Oct. 21 (5.29 million actual; 5.30 million expected)
- September Change in Nonfarm Payrolls, Oct. 22 (148,000 actual; 180,ooo expected)
- August FHFA House Price Index, Oct. 23 (0.3% actual; 0.8% expected)
- October University of Michigan Confidence, Oct. 25 (73.2 actual; 75.0 expected)
- September Pending Home Sales, Oct. 28 (-5.6% actual; 0.0% expected)
- October Dallas Fed Manufacturing Activity, Oct. 28 (3.6 actual; 10.0 expected)
- September Producer Price Index, Oct. 29 (-0.1% actual; 0.2% expected)
- September Advance Retail Sales, Oct. 29 (-0.1% actual; 0.0% expected)
- October Consumer Confidence Index, Oct. 29 (71.2 actual; 75.0 expected)
Initial jobless claims releases were also worse than expected in three of the four releases this month, although the data aren’t “clean” due to technical issues related to computer upgrades and the government shutdown.
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