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Tracking [Upside|Downside] Economic Data Surprise

Tyler Durden's picture





 

SocGen has a useful tracker of Consensus vs Actual economic data, or a +/- Surprise indicator, which is presented below as updated for everything through today's NFP, excluding the disappointing Service ISM. While it is unclear how the firm's assigns a surprise relevance rating to any given economic data point, if the firm finds the Mfg ISM worthy of a +2, then it should finds today's Service ISM at about -3, which unfortunately would not help out the firm's pretty squiggly regression line, and would certainly eliminate the upward slope.

 


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Fri, 09/03/2010 - 17:09 | Link to Comment Nolsgrad
Nolsgrad's picture

volatility smile?

Fri, 09/03/2010 - 17:14 | Link to Comment hungrydweller
hungrydweller's picture

But the sidebar ad says I can "profit with Cramer"!  WTF!

Sat, 09/04/2010 - 08:08 | Link to Comment Azannoth
Azannoth's picture

sure you can just short sell everything he sais to buy

Fri, 09/03/2010 - 17:47 | Link to Comment Let them all fail
Let them all fail's picture

is it just me or does this regression line seem pointless, it doesn't mean shit.  This data is in no order to validate any line like this, am I wrong?

Fri, 09/03/2010 - 18:10 | Link to Comment drheywood
drheywood's picture

*takes pipe out of mouth and nods*

Pointless, yes, yet, it's based on points.

*puts pipe back*

It boggles the mind.

Fri, 09/03/2010 - 18:24 | Link to Comment Aknownymouse
Aknownymouse's picture

the only way this regression line would have any meaning is if it were a straight line.  It would then be the average of the misses.  Otherwise - as you said being a polynomial - it also measures the order of the categories the way they elected to put them which means nothing.  If they resorted the categories the graph would be totally different.

 

Overall - the whole thing is really useless.  All it figures out is that the data comes with a +/- 3% accuracy or whatever.  Just people trying to justify their salary wtih useless info.

Fri, 09/03/2010 - 18:26 | Link to Comment SheepDog-One
SheepDog-One's picture

Threw this immediatly onto the compost heap

Fri, 09/03/2010 - 18:03 | Link to Comment Iam Rich
Iam Rich's picture

What can be said.  Stunning visual clarity.  Volatility smiley face, just perfect Nols.  I bet a 10th order poly fits a lot better, and it would have at least 8 smily faces with some frownies and maybe a few embedded eyeballs,  LD noses, etc.  A simple stochastic would let you know your smiley is overbought and time to load up on frownies. I bet they need a good smiley pick me up given the level of Greek/Spanish/Italian/etc. they own.

 

TD you ought to have an Olympics of totally useless curves like this for everyone to submit.  Winner of the most useless becomes a contributor.

Fri, 09/03/2010 - 18:12 | Link to Comment papaswamp
papaswamp's picture

deleted

Fri, 09/03/2010 - 18:25 | Link to Comment SheepDog-One
SheepDog-One's picture

Looks like a pile of crap to me.

Fri, 09/03/2010 - 18:40 | Link to Comment bugs_
bugs_'s picture

Seems vaguely bullish.

Fri, 09/03/2010 - 18:55 | Link to Comment FischerBlack
FischerBlack's picture

I just plotted the quantities in Excel and the best fit polynomial regression line looks exactly like the one in the chart with an r-squared of .1712. For the non quants here, r-squared of 1 means the line perfectly fits the datapoints, 0 means no fit. .17 is obviously not a good r-squared value for drawing conclusions or making projections.

As an aside, the standard error is 1.65 which on a -3 to 3 scale is useless.

 

Sat, 09/04/2010 - 07:04 | Link to Comment denali
denali's picture

With this little data the results have to be close to random.  Clearly this tells us nothing, but if they have ten or twenty times as much data, we might have something.  This type of analysis does have a correct feel - that is, when all the data comes in higher than projections of it, this would have a positive impact on the market.  Feeling right, however, does not mean it works.

Sat, 09/04/2010 - 09:12 | Link to Comment ATTILA THE WIMP
ATTILA THE WIMP's picture

Gosh! I thought it was closer to .1713

Where is Knuckles the Clown when we need him?

Fri, 09/03/2010 - 20:01 | Link to Comment rosiescenario
rosiescenario's picture

...I don't know, but a glance at that chart indicates that your shortgun needs some choke work....

Fri, 09/03/2010 - 22:31 | Link to Comment fxrxexexdxoxmx
fxrxexexdxoxmx's picture

Carlson chokes are the best. Carlson chokes are made in the USA.

Sat, 09/04/2010 - 04:38 | Link to Comment Troy Ounce
Troy Ounce's picture

Graph looks like a smirking chimp.

Mon, 09/06/2010 - 23:36 | Link to Comment pointingtrade
pointingtrade's picture

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