POST UPDATED 12JUN2012
Can’t find the Citigroup’s Economic Surprise Indices on Bloomberg?
Me either.
Here’s one that updates each day (just the US index):
http://fingfx.thomsonreuters.com/2011/12/01/161819d183.htm
Found it from here – big thank-you:
https://twitter.com/#!/scottybarber
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 (actual releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance 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 {CESI }
http://www.bloomberg.com/quote/CESIUSD:IND
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.
I could be wrong, often am.
FMTrading Blog 
its useful
(i) Because you can use it to see whether future stock-returns are predictable on the basis of the index (since 2008 they have been; before that, they have not). So it could be useful as a market timing tool.
(ii) Related to (i), since historically they have not been predictive, perhaps you should not have been paying attention to the releases as it is: they produce simply ‘noise’. As Buffet said, the 10 minutes he spends looking at Macro every year is 10 minutes wasted. That said, its worked since 2008 … perhaps because everyone has been looking at it; interestingly, I might have expected the reverse to be true: bad expectations miss means more QE which is good for stocks.
(iii) As a nice little summary for media types to put forward their latest spurious theory on Bloomberg TV/CNBC so that the masses continue to allow themselves to get fleeced by those who know slightly more than they do (knowledge is another pyramid scheme, innit).
As an aside, it’d be interesting to see whether the CESI index is predictable for cyclicals … I can see that e.g. for the SPX, ~45% of earnings are going to be more affected by fundamentals in other international geographies, and by FX movements, both of which may correlate with the US econ/$ but with some lag of sometimes several years. But for cyclicals, their fortunes are so dependent on current economic fundamentals that one might expect some correlation.
I also note that a study found no correlation http://fmwww.bc.edu/ec-j/semf2012/Scotti.pdf, and also found some bias in the CESI although I have only skimmed this so can’t give further details. This article is about a year old so perhaps I shouldn’t have bothered to comment! but anyway, your post was interesting so …