POST UPDATED 12JUN2012
Can’t find the Citigroup’s Economic Surprise Indices on Bloomberg?
POST UPDATED 9JUN2012 I’ve noticed a huge surge in traffic for this post. Got me asking “Why?”. Can’t be my brilliant insight (as if …). Nope – now I realise that the Citi Eco Surprise Indices charts are not available on Bloomberg at the moment. I don’t know why, and I haven’t been able to source the charts elsewhere. I’ll keep investigating and see if I can find a source for these charts.
Citigroup’s Economic Surprise Indices. There are a number of Citigroup Economic Surprise indices. There is one for the US, one for the Eurozone, one for the 10 major economies. There may be more, but these are the 3 I know of. Now, when I say I “Don’t get” these indices, its not like I don’t get how they are constructed, or what they are measuring … I find the information about these things readily available and reasonably clear and intelligible, even if I don’t know the exact algorithms involved in their calculation. Here is the Bloomberg description of the US version of the index, for example:
The Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data surprises (presente releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on arqueo 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. For more information on the indices, please fill in the information request form on page
Yeah, OK. I get it. And, yeah, I like it.
BUT … I suppose what I don’t get is how this index is in any way ‘news’ to market participants. I’m trading the ES, I’m aware of the economic releases, and I’m aware of their relationship to the consensus expectations. I’m aware of these things instantly as soon as I learn of the particular ‘number’. I don’t need an index like the Citi Eco Surprise Index to tell me there have been a series of misses, or a run of better-than-expected results. I see it every day (or, at least, every time there is a release). Not having a go at these indices, they make sense. But I just don’t get why a trader would refer to them …. I suppose a useful, quantifiable summary. But limited usefulness IMO.
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