The Citigroup
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)