citi economic surprise index methodology pdf

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I calculated 1 and 2 month market returns from the initial reading of 55 – an arbitrary, but high historical data point in the series. 31 August 2012 For professional investors only 2 Issued in July 2012 Schroder Investment Management Limited. 8���J�U� ƊV�Hz=R���7n!�^�5�ZXN[�f���Ъ��f��Hz=�4��kEG��_llb�@`�� �X����M��{I������#���&�� After a shutdown-induced delay, GDP data for the final quarter of 2018 were published showing that growth slowed down to 2.6% QoQ annualised in Q4 from 3.5% in Q3. This series attempts to quantify the degree to which economic data are beating or missing expectations. 0000022755 00000 n Citigroup Economic Surprise Index - China (LHS) HSCEI Index (RHS) Fig 3: Pullback in Hang Seng China AH Premium Index 93 95 97 99 101 103 105 107 109 111 113 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Hang Seng China AH Premium index Source: Bloomberg, DBS CIO Office as of 22 November 2013. Index Data; Market Impact Hub – Mapping the impact by COVID-19. yThe same methodology is used across all economies, making the indices comparable to each other. The models were built by quantitative analysts in Citi… The Citigroup Economic Surprise Indexes are a clever concoction that measures the variations in the gap between the expectations and the real economic data. Citigroup Economic Surprise indices (CESIs) were originally designed to provide trading signals for currency moves over the very short term (originally over a time horizon of just one minute). 0000019561 00000 n Exhibit 1: Citi US Economic Surprise Index Source: FactSet, as of 8/27/2020. The Citigroup Economic Surprise Index, or CESI, tracks how economic data are faring relative to expectations. H�\��N�0E�� After an 18-month stay in negative territory, the July 8, 2016 reading put the index above zero [Figure 1]. ����"�2���*V֖au���y���C\��S�IXJyj� �Ҝ�^�W��Z% ⮅n� *����ݠ��2�^M)���3,ަ�ƀy#����h��!27[HJ;i�$=T�Ob�� i�:��l�jHU�F�UZk�B���Tm�.3��)��'\D�Н�5"��W9n�� �����C�OZGjA(q�!4�����F�����1��Q&Ҫx����p��_ �0�\����@ |��F�1 F^�y �#��fϙ[5qRe�qc�%E�nϨ��#�� 0000018216 00000 n 0000019972 00000 n You are able to view research most relevant to your area of interest which include Equity and fixed income research, economic and market analysis and product-specific analysis. The Citigroup Economic Surprise Index, or CESI, tracks how the economic data are faring compared with expectations. Figure 2. CitiGroup tracks an economic surprise index that shows how recent economic reports have been trending versus expectations. They count how many times economic data beat or miss forecasts, and by how much. Citigroup Economic Surprise Index Page 2 / September 26, 2017 / Citigroup Economic Surprise Index 0000006710 00000 n 7 Citi Economic Surprise Index for the U.S. is available in Bloomberg under CESIUSD Index and measures daily data surprises relative to market expectations. Citi Economic Surprise Index - Japan -80 -60 -40 -20 0 20 40 Mar-13 Apr-13 May-13 Jun-13 . The Citigroup Economic Surprise Indexes are a clever concoction that measures the variations in the gap between the expectations and the real economic data. The input consists of the actual econometric data that moves foreign exchange markets – the bigger the data moves forex markets, the more significant its weight in the index. The Citigroup Economic Surprise Index measures the difference, excess or deficit, between collected statistics or indicators and expectations. Index Methodology 12 September 2012 Citi FX Index Methodology v6 FINAL 120912 12/09/2012 16:59 4 Introduction This document constitutes the “Index Methodology” in respect of the Index (as defined below) and is made available by Citibank N.A., London Branch in its capacity as the Index … 0000012321 00000 n 0000006309 00000 n 0000010963 00000 n 0000046215 00000 n (2016), is a policy-related economic uncertainty index based on the frequency of newspaper reports. One pro believes the current trends paint a picture … <> In other words, it stacks up reality versus expectations. To see this, our Chart of the Week plots Citigroup’s US Economic Surprise Index. 43 replies. Exit Attachments. ��������% ����ƽ+O�=����ëO.�.ܿ����[�n_�vn˺�ѝg��ٵv���-�k�?���C�n��;��dG�~����X�)��� j�ĵ endstream endobj 1075 0 obj <>/Filter/FlateDecode/Index[256 767]/Length 49/Size 1023/Type/XRef/W[1 1 1]>>stream h�bbz�����8�f�;��1�G�c4>F�h|���(�Z`� ��9 endstream endobj 1024 0 obj <>/Metadata 254 0 R/Names 1025 0 R/PageLabels 248 0 R/Pages 250 0 R/StructTreeRoot 256 0 R/Type/Catalog/ViewerPreferences<>>> endobj 1025 0 obj <> endobj 1026 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]>>/Rotate 0/StructParents 4/TrimBox[0.0 0.0 612.0 792.0]/Type/Page>> endobj 1027 0 obj [1028 0 R 1029 0 R 1030 0 R] endobj 1028 0 obj <>/Border[0 0 0]/H/N/Rect[347.005 647.522 417.622 632.54]/StructParent 5/Subtype/Link/Type/Annot>> endobj 1029 0 obj <>/Border[0 0 0]/H/N/Rect[442.578 647.522 545.996 632.54]/StructParent 6/Subtype/Link/Type/Annot>> endobj 1030 0 obj <>/Border[0 0 0]/H/N/Rect[293.171 228.057 297.011 213.218]/StructParent 7/Subtype/Link/Type/Annot>> endobj 1031 0 obj <> endobj 1032 0 obj <>stream In other words, it stacks up reality versus expectations. 0000006823 00000 n When the index chart rises upwards, it means that macro data has been better than analysts’ predictions or consensus. 0000006938 00000 n Citigroup Inc. advanced stock charts by MarketWatch. The Citi Economic Surprise Index measures the pace at which economic indicators are coming in ahead of or below consensus forecasts. Subscribe to Datastream. Figure 4. 0000014868 00000 n <>/ProcSet[/PDF/Text/ImageB/ImageC/ImageI] >>/MediaBox[ 0 0 595.32 841.92] /Contents 4 0 R/Group<>/Tabs/S/StructParents 0>> 0000011078 00000 n When the index chart rises upwards, it means that macro data has … 0000054945 00000 n 0000003247 00000 n 0000011731 00000 n 2012-04-05T20:19:00Z The letter F. An envelope. SUMMARY US stocks head up despite noise surrounding taper expectations Mixed back of US economic … 0000004011 00000 n The Citi Economic Surprise Index keeps falling and is at its lowest level since August 2011. Citigroup Economic Surprise Index Post # 1; Quote; First Post: Mar 9, 2015 6:34am Mar 9, 2015 6:34am mlewis | Joined Oct 2011 | Status: Member | 89 Posts. The Citi Economic Surprise index is at its lowest point since mid-November after hitting its highest level since 2011 in January. Bloomberg Database: Citi Economic Surprise Index (ESI) Citi Economic Surprise Index measures the difference between the actual data and the consensus forecasts. Last . Interpreting a surprise index is not easy. Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index Index Methodology Introduction 3 This document constitutes the "Index Methodology" in respect of the Index (as defined below) and is made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. When the line is above zero, data are broadly beating expectations—and vice versa. 0000004166 00000 n CITIGROUP ECONOMIC SURPRISE INDEX & 10-YEAR US TREASURY BOND YIELD: 2003-PRESENT Surprise Index (percent) 10-Year Yield* (13-week change, basis points) yardeni.com * Average for the week ending Friday. Interpreting a surprise index is not easy. 0000017489 00000 n 0000008666 00000 n Updated 28 August 2012. 19 AA ‐5.14.2019 U.S. Citi Economic … 0000016352 00000 n Methodology … Source: Federal Reserve Board and Citigroup. 0000008168 00000 n 0000033512 00000 n US Economic Policy Uncertainty Index, proposed by Baker et al. Dlc Method (big Surprise) 54 replies. ... use the Citi long-term Macro Risk Index to measure global risk aversion and combine it with data on balance of ... We use the Citi Economic Surprise Indices to … Eric Platt and Joe Weisenthal. 0000003856 00000 n 0000009650 00000 n %PDF-1.5 A Positive reading means that data releases have been stronger than their 1‐year average, and a negative reading means that data releases have been worse than their 1‐year average. For a full breakdown of the categories, individual indicators and sub-indicators, weightings and data sources, see the Appendix. They count how many times economic data beat or miss forecasts, and by how much. market cities such as Ahmedabad and Tianjin are witnessing double-digit economic growth and have the ... (EIU) was commissioned by Citigroup to develop a “Global City Competitiveness Index” to rank cities according to their demonstrated ability to attract capital, businesses, talent and visitors. CitiFXSM Economic Factor Model Index ... As at the date of this Index Methodology, the Index Sponsor also acts in the capacity of Index Calculation Agent to calculate and publish the Index in accordance with the Index Conditions. <> 4 0 obj 0000054863 00000 n And the consensus among economists before … 0000045111 00000 n The input consists of the actual econometric data that moves foreign exchange markets – the bigger the data moves forex markets, the more significant its weight in the index. ��5��&2�v���fS.I�!��ȴ�|gY�< �H���"HY�B�L�L��iSmLumͬ3i��Ta6�s��`I�xs$*���;��9cV~Mm�EPV�U��á>�mc�x,4}�����X����2�c�����2����Å-�Cm����i�I�˅N2aQ '� H�Mf�q:���K� |�����,�-v��it@p� return . 0000007118 00000 n The Citi Economic Surprise Index is an interesting data series that measures how data releases have generally compared to economists’ prior expectations. The 131.3 reading for … �����x~��P��-X5�� W��T����Ĉ�x���E���U�2S�g���n%���Ҥrk6��;3l8��U�7� ���4ʕo��S!�aF�HaG����1�՚�l��Bm%cz�)�3�v���#��$pLA��/��@�&�5��4BC��IU��/� View C historial stock data and compare to other stocks and exchanges. A reading above zero means that the data beats expectations on balance, while a negative reading indicates that hard economic data disappoints expectations. 0000016245 00000 n Edit in Datastream. The Citi Economic Surprise Index, which is largely constructed from methodology pro - posed by James and Kasikov (2008), is one well-known attempt to gauge the strength or weak - ness of the economy based on data surprises. 31 … 2 0 obj IBFX Fined By The NFA Today -- No Surprise 47 replies. As at the date of this Index Methodology, the Citigroup Global Markets Limited also acts as Index Calculation Agent, calculating and publishing the Index in accordance with the Index Conditions. 0000018833 00000 n The index rises when economic data exceed economists’ consensus estimates and falls when data are below estimates. �����xu��5�Y��������#U�.k3��hg�L�V�m����Z>o㼞�M%2�H���2�d�[ ����I�C��q�������>%�۪�ߐ�㠫�. We have used the indices to explain currency spot changes over longer periods (most notably here and here in posts which still appear relevant given recent US Dollar moves). When the index is negative, it … 0000055039 00000 n The index rises when economic data exceed economists’ consensus estimates and falls when data are below estimates. 0000005355 00000 n The Citi Economic Surprise index is at its lowest point since mid-November after hitting its highest level since 2011 in January. 3 0 obj Eric Platt and Joe Weisenthal. Citigroup Inc. 1023 0 obj <> endobj xref 1023 54 0000000016 00000 n trailer <<199784493A7B4634BFFAF51B865304E8>]/Prev 599867/XRefStm 2848>> startxref 0 %%EOF 1076 0 obj <>stream After a shutdown-induced delay, GDP data for the final quarter of 2018 were published showing that growth slowed down to 2.6% QoQ annualised in Q4 from 3.5% in Q3. The Citi Economic Surprise Index captures how economies have done relative to expectations and Canada stands out as a massive winner. The Index includes a total of 27 qualitative and fi ve quantitative indicators. stream A positive reading suggests that economic releases have on balance beating consensus Global Current Activity & Economic Surprise Indices The IMF maintained unchanged its global GDP growth forecasts for both 2018 and 2019 at 3.9% at around 2% … The Citi Economic Surprise Index is a perfect example of unique proprietary design which has almost no bearing on those who discuss it. 0000018504 00000 n Citigroup Economic Surprise Index Yardeni Research, Inc. September 26, 2017 Dr. Edward Yardeni 516-972-7683 eyardeni@yardeni.com Debbie Johnson 480-664-1333 djohnson@yardeni.com Mali Quintana 480-664-1333 aquintana@yardeni.com Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box . Timely insights into market movements across asset classes, regions, sectors, and currencies during the turbulent times. Chart 1: Citi U.S. Macro Surprise Index and S&P 500 Index from 2015 to 2017. 0000017819 00000 n 0000028848 00000 n The index measures how actual data readings compare with expectations. 1 Introduction. 0000014214 00000 n Attached Image (click to … �$< ��Y�#����A �K8��� �O݄��fژ`Sf� U�"py2��f6�4c���mټs���m;�;|���'��:�I�7_?�&;k��)� �F��M�}{�;����YK�^�jl9��t~��{����d�=�t?v�����?��e�TY8Ƈ��(2�+jk�0����j-�h�+��5DS@��M��Ҭ�,�\�[RZ���k�-�xKR���>�$��6]����ꇄ�zk���$!��ohHj@��ڿ�/�����R��@�7�?��$������� 3����o�dj t�V8���9��Oz�rHo[�y/�2��H�>�-��7[qm^��yqZ+ݩD^ 0000013557 00000 n /a��&�1��JЂ�Q��4qK$�Dn���㛋@"R��x. Economic Surprise Index: Citigroup, ESI is a weighted historical standard deviation of data surprises (actual vs Bloomberg survey median). 0000015568 00000 n 0000005867 00000 n The Citi Economic Surprise Index is now back in deeply negative territory, having suffered the steepest monthly drop since January last year. Surprise UK Rate Hike! @�h ��d� �¾�����R+��������|T�ol춪�+��|߹�{�� @� �����$ "�uɋI9'�OV���K��o��� ���^ It indicates the ability to send an email. It selects from a broader set of economic events than described in Figure 1 but utilizes a similar methodology. %PDF-1.4 %���� yThe same methodology is used across all economies, making the indices comparable to each other. Indicators of whether data will beat or fall short of expectations are now negative in all major markets, according to Citigroup’s economic surprise indexes. 0000007630 00000 n Access market-leading … 0000016858 00000 n Indicators of whether data will beat or fall short of expectations are now negative in all major markets, according to Citigroup’s economic surprise indexes. <>>> Citibank N.A., London Branch CitiFXSM G10 Beta Indices Index Methodology 10 December 2015 6 Key Information Name of Index: The CitiFXSM G10 Beta Index family comprises the following indices: CitiFXSM G10 Carry Beta Index CitiFXSM G10 Trend Beta Index CitiFXSM Value Beta Index (each an “Index”). Subscribe to Datastream. endobj The models were built by quantitative analysts in Citi… Source: Federal Reserve Board and Citigroup. Of course, this measure doesn’t perfectly reflect sentiment, as it uses professional forecasts only. x��V�n�@}G�?̣��޽+E��VT��UP(8�jc�`E��wֆ�A¬�\�̜=���,O�G������� �A�t^���j4M�Q�d�� �����׉8��A�-�X�Ah��^���^ga��&���� ?10�J�{?���[��!�^���=>{����x���>T&c�ؚ�̶t)�qm֊o0�v��dD�٭��UJ���a����6����-L8��n���2$Z��bD��l4Z�a�u,\�$�Ȣ���J�[ v}0�w��v "�M���q8e�8�F�8�4dk?�ލ���+�|&@x�8p�� ���)�q��~,��mT2X�E_1F1�#�� Citi's popular economic surprise indices suggest investors are pleased with positive economic data in the U.S., Japan, and China, but less so in Europe and EM. The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index Calculation Agent at any time which may be the Index Sponsor or one of its Affiliates. Advertisement . The Citigroup Economic Surprise Index, or CESI, tracks how the economic data are faring compared with expectations. The Citi Economic Surprise Index is an interesting data series that measures how data releases have generally compared to economists’ prior expectations. Yield Book Fixed Income Analytics System. http://product.datastream.com/dscharting/gateway.aspx?guid=5a2a576c-6554-4adb-a20d-0978e6bcb771&action=REFRESH Citi's popular economic surprise indices suggest investors are pleased with positive economic data in the U.S., Japan, and China, but less so in Europe and EM. 0000003809 00000 n hޔUYlW}�el�@l��؄b�SB�%�%! Here's The Truth About The Plunging Citi Economic Surprise Index. CITIGROUP ECONOMIC SURPRISE INDEX & 10-YEAR TREASURY BOND YIELD: 2003-2009 Surprise Index (percent) 10-Year Yield* (13-week change, basis points) yardeni.com * Average for the week ending Friday. close ; return Nikkei ; 12686.52 -1.48% +22.04% : Topix . This paper proposes a new methodology to construct two real-time, real activity indexes: (i) a surprise index that summarizes recent economic data surprises and measures deviation from consensus expectations and (ii) an uncertainty index that measures uncertainty related to the state of the economy. http://product.datastream.com/dscharting/gateway.aspx?guid=5a2a576c-6554-4adb-a20d-0978e6bcb771&action=REFRESH But can economic surprises actually explain—let alone forecast—­financial asset returns? 0000001376 00000 n Topix (14/3/2013 to 14/6/2013) 900 1000 1100 1200 800 Mar-13 Apr-13 May-13 Jun-13 . The Citi Economic Surprise Index is now back in deeply negative territory, having suffered the steepest monthly drop since January last year. The Citi Economic Surprise Index keeps falling and is at its lowest level since August 2011. The Citi Economic Surprise Index is a perfect example of unique proprietary design which has almost no bearing on those who discuss it. 0000017087 00000 n The Hub features FTSE Russell and Yield Book Research data analysis and commentary through research briefs, webinars and videos. 43 replies • Third-quarter GDP growth is projected to show substantial expansion. 0000010344 00000 n 0000004322 00000 n endobj yWe have combined the levels and changes in the risk indices with the cost of carry to provide a transparent, rules-based framework for determining optimal EM currency hedges. 2012-04-05T20:19:00Z The letter F. An envelope. The index rises when economic data exceed economists’ consensus estimates and falls when data come in below estimates. Here's The Truth About The Plunging Citi Economic Surprise Index. WTF! The index shows recent global economic data surprising to the upside Table Of Contents Table Of ContentsTable Of Contents … A popular way to derive a signal from the noise of high-frequency economic releases is via economic surprise indexes, such as those published by Bloomberg and Citigroup Inc. Throughout the last 5 years this index has tended to show a high correlation with near-term market peaks. Trading Discussion / Reply to Thread; Subscribe; 2; Attachments: Citigroup Economic Surprise Index. ; As its name suggests, the index … FXCM and Saxo Bank Acquire Citigroup’s CitiFX Pro Client Book 8 replies. Dlc Method (big Surprise) 54 replies. Citigroup Economic Surprise Index - China (LHS) HSCEI Index (RHS) Fig 3: Pullback in Hang Seng China AH Premium Index 93 95 97 99 101 103 105 107 109 111 113 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Hang Seng China AH Premium index Source: Bloomberg, DBS CIO Office as of 22 November 2013. Surprise UK Rate Hike! ���eٸkI�-8�/C���� �O� The Citigroup Economic Surprise Index measures the difference, excess or deficit, between collected statistics or indicators and expectations. Citi Velocity provides access to all of Citi's industry leading fundamental, quantitative, economic, and strategic investment research to help clients navigate a complex global marketplace. The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index Calculation Agent at any time. 0000003050 00000 n Citigroup Economic Surprise indices (CESIs) were originally designed to provide trading signals for currency moves over the very short term (originally over a time horizon of just one minute). �%o�;�.rɵ%֖99�\�K�����d���)�Sҧ�O�!o"s��,A�0K�%�d �Y�,A�0K�%�d �����+��F�^y�Ǟx�y�y�Ǟxzzxzzzxzzzxz�y�y�y�)g*f*�(�(�(�(�(�(�*�*g*f*g�2�}}���fwEwewEwewEwewEwcwCw���������lp6:���g�����lp6:�����/��\^��7�~��_ I�� endstream endobj 1033 0 obj <>stream 0000002848 00000 n WTF! Source: zerohedge.com. • Employment has rebounded more rapidly than expected, supporting the idea that many layoffs were temporary as firms adjusted to the pandemic. 0000003284 00000 n It indicates the ability to send an email. Edit in Datastream. economic data. U.S. Citi Economic Data Change Source: Bloomberg, DoubleLine Citi Economic Data Change Index measures economic data releases relative to their 1‐year history. H�\��j�@E���^&��WuU��� x1�3 KmGKB����20�GH]��F�n��}��.�9 �!�������mj�;�s�'y�ڮ�?����R�I��9\��iH�ʥ������1ILm�����l�.=���#\B?�̭׮ �8�[=~�/��˲�}�w��)������\�\�i�6\Ǻ SݟCRe�v�[���з��׌ˎ�潞����Y�"?���+� endobj 0000038411 00000 n ; As its name suggests, the index … Citi’s … %���� �'���g��g���5D~?�$�Q��|A����Z����Ah��ˑ6NA$J�Uܑ���]?u���AW����Ĺ{��M�g��:�]�|�����U�h�Έ(��E�º�RE��e�prlH�$�n�Gͳ���I�1;"9�#����t9���K�y �࢏��9�珸7�4�� �6���3��I1��fY�� As Exhibit 1 shows, recent data are beating estimates to an extent unseen in the gauge’s 17-year history. 1/1/2003 – 8/26/2020. Summary: Each Index is constituted by a single Strategy and tracks the return Chart: Economic surprise indices are turning -150 -100-50 0 50 100 150 Aug 10 Nov 10 Feb 11 May 11 Aug 11 Nov 11 Feb 12 May 12 Aug 12 US Eurozone Emerging markets Citigroup Economic surprise index Source: Thomson Reuters Datastream, Schroders. The Citi Economic Surprise Index captures how economies have done relative to expectations and Canada stands out as a massive winner. The Citi Economic Surprise Index is a perfect example of unique proprietary design which has almost no bearing on those who discuss it. View More . A city’s overall ranking in the benchmark Index is a weighted score of the individual categories. • The Citi economic surprise index indicates substantial upside surprise in macroeconomic data releases in recent months. I decided to take a look. Citi Velocity provides access to all of Citi's industry leading fundamental, quantitative, economic, and strategic investment research to help clients navigate a complex global marketplace. Citi Investment Strategies Citi Risk Aversion Indicator Index Methodology 3 Introduction This document constitutes the “Index Methodology” in respect of the Index (as defined below) and is made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. 0000004785 00000 n 0000009122 00000 n Citigroup Economic Surprise Index & Bond Yield Yardeni Research, Inc. July 22, 2016 Dr. Edward Yardeni 516-972-7683 eyardeni@yardeni.com Debbie Johnson 480-664-1333 djohnson@yardeni.com Mali Quintana 480-664-1333 aquintana@yardeni.com Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box . 0000012932 00000 n This paper proposes a new methodology to construct two real-time, real activity indexes: (i) a surprise index that summarizes recent economic data surprises and measures deviation from consensus expectations and (ii) an uncertainty index that measures uncertainty related to … Last YTD week’s week’s . 1 0 obj

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