Spot The 'Different This Time' Seasonal Fudging In Macro Data

Tyler Durden's picture

We have noted the odd cyclicality in macro data (and its leading effect on the market) and it seems Goldman Sachs has also noticed that something is different this time. For 15 years, the seasonal patterns in Goldman's macro index have been mild to totally negligible; but since 2009, something changed. As the chart below indicates, it really is different this time as the macro cycle has become extremely short and consistent (drop in H1, rise in H2) - and is evident not just top-down but bottom-up in payrolls and ISM for instance. Goldman expounds pages of statistical jiggery-pokery to show what we suspected - that this is not weather or seasonality effects, and is not just US (UK and Europe see same pattern of six month cycles); but appears driven by central-bank policy actions (which have been more concentrated in Q4/Q1). 2013 is playing out exactly as the last three years has - with a downdraft that is set to continue for the next few months - though they note that stability in oil prices this time (and recent expansion of easing efforts - Fed and BoJ) may shift the pattern. For now, it appears the macro cycle is becoming shorter and warrants concern as they are unable to find anything but 'reality' as a driver of this odd cyclical pattern as the real economy fades rapidly after each and every infusion of promises from the Central Banks.


US Macro data is following the same downward path as we have seen for the last three years...


which is a very different pattern than we are used to seeing in macro cycle data...


The shift is not just a top-down adjustment artifact - it is in the underlying data (i.e the real economy) as Payrolls and ISM show below...


And Goldman's macro leading indicator is also following these six-month cycles very clearly...


But it's NOT explained by seasonality (or weather)...


as it appears macro policy decisions have dominated...


as each year Q4/Q1 is dominated by fiscal or monetary policy actions to recover from the exposed reality of the underlying economy...


Will this time be any different? Well, we noted the lead-lag relationship here before, and as stocks test new highs with macro data plumbing new depths, we can only imagine which better reflects reality for now.


As Goldman concludes:

Given that we are now in the part of the year that has typically presaged macro weakness, we will be paying close attention to developments in fundamental factors: policy, financial conditions, oil prices, and shocks from the rest of the world and the Euro area.

Put simply, each year central banks lift their foot modestly to see just what is going on in the real world, and each year the reality is not good - which then pushes them back into action; the question is (with BoJ not going open-ended until 2014, OMT off the table for Spain for now, and Fed QE4EVA 90% priced in) when will the central banks come back and with what...


Charts: Goldman Sachs

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PUD's picture

Oil stable at $100 lol. Whoo Hoo, I can't contain my joy!

tooriskytoinvest's picture

Nouriel Roubini: Political tensions, economic and financial tensions, like currency wars, can lead eventually to protectionism."

DeadFred's picture

The engineer in me says to check the "black box" that does the adjustments, it seems to have a temperature induced leak. Likely it's along one of the thermal expansion seams.

A Nanny Moose's picture

Could be malware. Better yet, a highly targeted cyber-attack.

withnmeans's picture

I had to do some truth research for the results. It is true that Catalonia is trying to become independent "however it is a start to a long process".

Is Texas next?

Say What Again's picture

Will anyone be indected for this?

LawsofPhysics's picture

The world wants to party and the pricing mechanism for everything is corrupt as hell.  The outcome will be no different this time around, hedge accordingly.  I get a kick out of all this technical analysis of a completely bogus "market" when the smart money just keeps frontrunning the Fed/government.  At least we get another buying oppotunity for some of our favorite commodities today, so that is good.

saints51's picture

Yep, looking to buy some more PM's tomorrow. Just keep losing the damn metal in boating accidents. May have to take a boat driving course.

MillionDollarBoner_'s picture


What is this "market" of which you speak...?

LawsofPhysics's picture

Grow up, assets, commodities, and labor get exchanged every day in all kinds of markets.  Most which are not tracked by the MSM.

Inthemix96's picture

Speaking to one of my customers today about the state the world is in and guess what?  This fellow (in his sixties), came out with a pearler.  He still blames Thatcher, 35 years after the old bitch was appointed Prime Minister here its still all her fault.

Dont get me wrong, there is something very wrong with Thatchers years, none more so than the fact she spent 11 consecutive years hosting Jimmy Saville for christmas, the filthy peodophile protectorate, but some folk are still under the illusion of whatever the "Locals" say is so.

Some folk are really stuck in a time-warp that after 35 years, its still their fault??

And you are meant to have hope in this environment?  Bring this fucker down already.  Its getting mighty fucking tedious.

forwardho's picture

statistical jiggery-pokery

What a delightfully pleasant term for bullsh-t.

China Reporter's picture

Thanks to the money printed by Fed, ECB and BoJ, the market can continue to rally. Yay, if you aren't the top 1% to pour the freshly printed notes to the market, you are going to lose everything

Cognitive Dissonance's picture

If you live by the central banks, you'll die by the central banks.

<Just watch out when Ben leads the pack into the shipping lanes.>

Ben leads the way

DeadFred's picture

Snapping turles and large mouth bass. They never see them coming

Ness.'s picture

Did they forget to slam VIX today or is this a sign of the big reversal back to reality moment?

Joe moneybags's picture

What all those charts tell me is that the world's stock and bond markets are oblivious to whatever makes up Goldman's "Macros".

Tombstone's picture

All the fudging, seasonality and hocus-pocus doesn't matter to the markets at this time.  The funds that are coming out of Apple have to go somewhere.  All I hear  about are the $trillions waiting on the sidelines.  Waiting for what?  A pullback?  Nope. The smart money is already in, so it must be the dumb money waiting to surge in at the top.  You can post 1,147 different charts of anything you want, but all the market cares about is bullish greed, which is no different than before in history despite the seriously corrupted system we have today.

John Law Lives's picture

It seems economic data doesn't really matter now, as Morgan Stanley is calling for LSAPs to run AT LEAST through 2014:


“We are skeptical that dissenters within the FOMC on current monetary policy will succeed in overturning the current policy settings before the end of 2014,” the analysts wrote, citing elevated unemployment and so-called tail risks to growth."


How goddam greedy can these TBTF banks get?

LawsofPhysics's picture

"How goddam greedy can these TBTF banks get?"


WWI and WWII are pretty clear on that.

John Law Lives's picture

I fear that the reaching effects of Fed policy run amok will negatively impact more people than either of those events.