DC Glossary

0DTE (Zero days to expiry) options

• Options contracts that expire at the end of the current day

• A 0DTE option establishes a position on the contract’s same day that it expires, even though that specific option may have already been listed for days, weeks, or months.

• 0DTE allows users to take very short-term positions and hedges on the market. The outcome of the trade is known the same day, and less capital is needed than equivalent strikes with further dated expiries.

AAII: American Association of Individual Investors

• The AAII Sentiment Survey offers insight into the opinions of individual investors by asking them their thoughts on where the market is heading in the next six months and has been doing so since 1987. This market sentiment data is compiled and depicted below for individual use.

• Investor sentiment is measured with a weekly survey conducted from Thursday at 12:01 a.m. until Wednesday at 11:59 p.m. Tracking sentiment gives investors a forward-looking perspective of the market instead of relying on historical data, which tends to result in hindsight bias.

• Source: https://www.aaii.com/sentimentsurvey

Advance-Decline Line

• The cumulative advance-decline (A-D) line measures the extent of participation, or breadth, of a rally or decline for a market index. A rising A-D line means improving market breadth, while a declining A-D line reflects weakening market breadth.

American Truck Association (ATA) Truck Tonnage Index

• The truck tonnage index is an index that measures the gross tonnage of freight which is transported by motor carriers in the United States for a given month. The index serves as an indicator of shipping activity, and consumption of goods in the U.S. Analysts also use the truck tonnage index to determine the state of the U.S. economy as over 70-percent of all freight tonnage is via truck.

• Source: https://www.investopedia.com/terms/t/truck-tonnage-index.asp

Architecture Billings Index

• The AIA/Deltek Architecture Billings Index (ABI) is a leading monthly economic indicator that uses proprietary AIA data to predict nonresidential construction activity 9–12 months ahead

• Source: https://www.aia.org/resource-center/aiadeltek-architecture-billings-index

Arms Index (aka TRIN)

• The Arms Index, also known as the TRIN or Short-Term TRading INdex, is a breadth indicator developed by Richard W. Arms in 1967. The index is calculated by dividing the Advance-Decline Ratio by the Advance-Decline Volume Ratio. Typically, these breadth statistics are derived from NYSE or Nasdaq data, but the Arms Index can be calculated using breadth statistics from other indices such as the S&P 500 or Nasdaq 100. Because it acts as an oscillator, the indicator is often used to identify short-term overbought and oversold situations. A moving average can also be applied to smooth the data series.

• Source: https://school.stockcharts.com/doku.phpid=market_indicators:arms_index

Atlanta Fed GDPNow

• GDPNow is not an official forecast of the Atlanta Fed. Rather, it is best viewed as a running estimate of real GDP growth based on available economic data for the current measured quarter. There are no subjective adjustments made to GDPNow—the estimate is based solely on the mathematical results of the model. In particular, it does not capture the impact of COVID-19 and social mobility beyond their impact on GDP source data and relevant economic reports that have already been released. It does not anticipate their impact on forthcoming economic reports beyond the standard internal dynamics of the model.

• Source: https://www.atlantafed.org/cqer/research/gdpnow

BofA Bull & Bear Indicator

• The BofA Bull & Bear Indicator is a proprietary cross-asset barometer that uses fund flows, positioning data & market technicals to quantify investor sentiment. The indicator is max bullish when it reaches 10 and max bearish when it reaches 0. Sell risk assets when the Bull & Bear Indicator exceeds the “greed” threshold of 8.0. Buy risk assets when the Bull & Bear Indicator falls below the “fear” threshold of 2.0.

• The measure includes 5 components: hedge fund positioning, credit market technicals, equity market breadth, equity flows, bond flows, and long-only positioning.

• Source: BofA

BofA Corporate Misery Indicator

• The Corporate Misery Indicator is our macro-based predictor of the profits cycle and is based on the CPI, Average Hourly Earnings, and the Coincident Indicators. Our theory is that corporate profits are a function of how many units a company sells and their margin per unit. Implicitly, these factors incorporate productivity because enhanced productivity will result in either better margins or more units sold for the same inputs.

• We use the YoY change in the Coincident Indicators as a proxy for units, because the Coincident Indicators are a proxy for Real GDP, a measure of unit growth. We use the spread between the YoY change in the CPI and the YoY change in Average Hourly Earnings to approximate margins. When the indicator declines, it implies that profits are being squeezed. This has historically coincided with a decelerating profits cycle.

• Our theory is that corporate profits are a function of how many units acompany sells and their margin per unit. Implicitly, these factors incorporate productivity because enhanced productivity will result in either better margins or more units sold for the same inputs. When the indicator declines, it implies that profits are being squeezed. This has historically coincided with a decelerating profits cycle. Based on its history since 1978, subsequent to the indicator’s peaks, EPS growth in the next 12-mth declined in 78% of cases.

• Corporate Misery Indicator = CPI (YoY) – Average Hourly Earnings (YoY) + Coincident Indicators (YoY).

• Source: BofA

BofA Global Breadth Rule

• The BofA Global Breadth Rule is a contrarian indicator of equity market breadth. When an overwhelming majority of equity markets around the world become oversold, we turn bullish as equities tend to trough and rebound on the back of overdone pessimism. Buy global equities when a net 88% of markets in the MSCI All Country World Index are trading below both their 200-day moving average and 50-day moving average. Sell global equities when a net 88% of markets in the MSCI All Country World Index are trading above both their 200-day moving average and 50-day moving average.

• Source: BofA

BofA Global Equity Risk-Love

• This indicator tracks positioning, put-call ratios, investor surveys, price technicals and volatility, spreads, and correlations measures:

• Source: BofA

BofA Global Fund Manager Survey

• A survey of over 200 global fund managers controlling over $500bn in AUM.

BofA Global News Pulse

• The Global News Pulse tries to quantify whether significant news globally is trending positively or negatively. The Global News Pulse has had a 79% correlation with the MSCI All Country World Index (ACWI) over the last 15 years, according to our backtesting.

• Source: BofA

BofA Global Risk-Love

• Risk-Love is a contrary investor sentiment indicator. It tries to quantify investor emotions and help us understand swings in investor psychology. When at extremes, the indicator is valuable in anticipating reversals in investor mindset, and thus markets, going forward. We have constructed Risk-Love indicator for major Asian/emerging markets as well as for the world as a whole. We include data on positioning, investor surveys, volatility, spreads, correlations, hedging and market technicals measures. The Global Risk-Love indicator has 35 factors. Buy when it is low and sell when it is extremely high. Since 1988, median 12m forward returns for emerging markets equities were 15% (in US dollar terms) when the EM Risk-Love Indicator was in panic.

• Source: BofA

BofA Global Wave

• Global Wave quantifies global trends in economic activity in order to predict equity market performance and rotation within equities. The Global Wave consists of seven indices including Global Industrial Confidence, Global Consumer Confidence, Global Capacity Utilisation, Global Unemployment, Global Producer Prices, Global Credit Spreads, and Global. Earnings Revision Ratio. Since 1988, the MSCI ACWI has returned 14.4% post troughs in the Global Wave, and -1.2% post peaks in the Global Wave, on average.

• Soure: BofA

BofA Industrial Momentun Indicator

• The BofA Industrial Momentum Indicator is a proprietary tool for identifying major inflection points for global industrial stocks spanning the US, European, and Japanese Machinery, Multi-Industry, Transportation, and Aerospace & Defense sectors. We worked with our Data Analytics team to create an indicator that is intended to lead Industrial sales revisions, earnings growth, and the Global Manufacturing Purchasing Managers' Index (Global Mfg PMI) on a two-month basis.

  • Source: BofA

BofA Regime Indicator

• We aggregate top-down variables that capture earnings and economic growth expectations, inflation, credit conditions and other variables, to yield the following four signals on the business cycle: Early Cycle – below-average but improving trends in macro indicators, Mid Cycle – above-average and improving trends in macro indicators, Late Cycle – above-average but deteriorating trends in macro indicators, and Recession – below average and deteriorating trends in macro indicators. Based on its history since 1990, the indicator tends to identify outperforming investment styles with 75% to 100% success rate.

• Source: BofA

BofA Sell Side Indicator

• Sell Side Indicator (SSI) is a contrarian sentiment barometer that tracks sell side strategists’ average recommended allocation to equities in a balanced fund. 

• The Sell Side Indicator (SSI) is based on our survey of the Wall Street Strategists that submit their asset allocation recommendations to us (currently, there are nine; note that post the Global Financial Crisis, the number of respondents has typically ranged between 6 and 11). For this indicator, we use the simple average of the recommended equity weighting for each strategist as of the last business day of each month. The thresholds for the Buy and Sell readings are rolling 15-year +/- 1 standard deviations from the rolling 15-year mean.

• Source: BofA

BofA Truckload Diffusion Index

• The Truckload Diffusion Indicator is a result of a survey of nearly 1,000 truck shippers. It is a sentiment indicator, with the Indicator focused on shippers outlook for demand for the next 0-3 months (with the other questions focused on truck pricing, supply, and shipper’s inventory levels). We look to discern the trends in the Transportation sector, given trucking represents two-thirds of all tonnage moved in the US and more than 80% of all revenue spent on transportation.

• Source: BofA

BofA Truckload Diffusion Indicator

• The Truckload Diffusion Indicator is a result of a survey of nearly 1,000 truck shippers. It is a sentiment indicator, with the Indicator focused on shippers outlook for demand for the next 0-3 months (with the other questions focused on truck pricing, supply, and shipper’s inventory levels). We look to discern the trends in the Transportation sector, given trucking represents two-thirds of all tonnage moved in the US and more than 80% of all revenue spent on transportation.

• Source: BofA

Buffett Indicator

• The Buffett Indicator (aka, Buffett Index, or Buffett Ratio) is the ratio of the total United States stock market to GDP.

  • Buffett Indicator = (Total US Stock Market Value) / (Gross Domestic Product)

Business Roundtable CEO Economic Outlook Index

• The Business Roundtable CEO Economic Outlook Index is based on a survey — conducted quarterly since the fourth quarter of 2002 — of our member CEOs’ plans for hiring and capital spending, and their expectations for sales, over the next six months. Taking these factors together, the survey signals the direction of the U.S. economy.

• Source: https://www.businessroundtable.org/media/ceo-economic-outlook-index

Cardboard Box Index

• The cardboard box index is considered a reliable measure of manufacturing by some investors because it may reflect aggregate business estimates of future consumer goods sales. It is estimated that close to 75–80% of all non-durable goods are shipped in corrugated cardboard containers. Therefore, the thinking goes, the greater the amount of cardboard boxes ordered, the greater the volume of production planned for goods that will be packed in boxes. Because companies need cardboard to package and ship goods, the production of cardboard boxes is thought to be a leading indicator of manufacturing activity.

• Source: https://www.investopedia.com/terms/c/cardboardboxindex.asp

Cass Freight Index

• Since 1995, the Cass Freight Index® has been a trusted measure of the North American freight market. Our monthly data and the Cass Transportation Index Report provide valuable insight into freight trends as they relate to other economic and supply chain indicators and the overall economy.Data within the Index includes all domestic freight modes and is derived from 36 million invoices and $38 billion in spend processed by Cass annually on behalf of its client base of hundreds of large shippers. These companies represent a broad sampling of industries including consumer packaged goods, food, automotive, chemical, medical/pharma, OEM, retail and heavy equipment. Annual freight volume per organization ranges from $40 million to over $2 billion. The diversity of shippers and aggregate volume provide a statistically valid representation of North American shipping activity.

• Source: https://www.cassinfo.com/freight-audit-payment/cass-transportation-indexes/cass-freight-index

Chicago Business Barometer

• The Chicago Business BarometerTM is a weighted composite indicator made up of five sub-indicators, namely New Orders, Production, Employment, Order Backlogs and Supplier Deliveries. It is designed to predict future changes in U.S. gross domestic product (GDP).

• Survey data is collected online each month from manufacturing and non-manufacturing firms in the Chicago area. Respondents are purchasing/supply-chain professionals, primarily drawn from the membership of the ISM-Chicago (Institute for Supply Management).

• Respondents are asked their opinion on whether a particular business activity has increased, decreased or remained the same compared with the previous month. E.g. Is Production Higher/Same/Lower compared with a month ago? A diffusion indicator is then calculated by adding the percentage share of positive responses to half the percentage of those respondents reporting no change. The three questions related to Buying Policy are measured in days and are not diffusion indicators. The Chicago Business BarometerTM and all sub-indicators are then seasonally adjusted. An indicator reading above 50 shows expansion compared with a month earlier while below 50 indicates contraction. A result of 50 is neutral. The farther an indicator is above or below 50, the greater or smaller the rate of change.

• Source: https://chicago.ismworld.org/news-publications/reports/research-survey/

Chicago Fed National Financial Activity Index

• The CFNAI is a weighted average of 85 existing monthly indicators of national economic activity. It is constructed to have an average value of zero and a standard deviation of one. Since economic activity tends toward trend growth rate over time, a positive index reading corresponds to growth above trend and a negative index reading corresponds to growth below trend.

• The 85 economic indicators that are included in the CFNAI are drawn from four broad categories of data: production and income; employment, unemployment, and hours; personal consumption and housing; and sales, orders, and inventories. Each of these data series measures some aspect of overall macroeconomic activity. The derived index provides a single summary measure of a factor common to these national economic data.

• Source: https://www.chicagofed.org/research/data/cfnai/about

Chicago Fed National Financial Conditions Index

• The Chicago Fed’s National Financial Conditions Index (NFCI) provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and “shadow” banking systems. Because U.S. economic and financial conditions tend to be highly correlated, we also present an alternative index, the adjusted NFCI (ANFCI). This index isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to economic conditions.

• Source: https://www.chicagofed.org/research/data/index

Chicago Fed Survey of Economic Conditions

• The CFSEC asks contacts in the Seventh Federal Reserve District to rate various aspects of economic conditions along a seven-point scale. A series of diffusion indexes is calculated from these responses.

• The CFSEC diffusion indexes are derived from survey questions on organizations’ product demand, hiring, capital spending, input costs, and outlook for the U.S. economy. Respondents report how these aspects of their operations have changed over the past month (or are expected to change in the next 12 months) on a seven-point scale. Each diffusion index is calculated as the difference between the number of respondents with answers above their respective average responses and the number of respondents with answers below their respective average responses, divided by the total number of respondents. The index is then multiplied by 100 so that it ranges from +100 to −100. Respondents with no prior history of responses are excluded from the calculation. As an example, for the CFSEC Activity Index, if 30 respondents report above-average product demand growth, 20 respondents report below-average demand growth and there are 100 total respondents, the index will have a value of +10. On average, there are about 120 survey respondents, representing organizations from a wide range of industries with operations in the Seventh District.

• Source: https://www.chicagofed.org/research/data/cfsec/about

Conference Board CEO Confidence

• The Conference Board Measure of CEO Confidence™ is a barometer of the health of the US economy from the perspective of US chief executives. The Measure of CEO Confidence™ is based on CEOs' perceptions of current and expected business and industry conditions. The survey also gauges CEOs' expectations about future actions their companies plan on taking in four key areas: capital spending, employment, recruiting, and wages.

• Source: https://www.conference-board.org/topics/CEO-Confidence/

Conference Board Consumer Confidence

• The Consumer Confidence Survey® reflects prevailing business conditions and likely developments for the months ahead. This monthly report details consumer attitudes, buying intentions, vacation plans, and consumer expectations for inflation, stock prices, and interest rates. Data are available by age, income, 9 regions, and top 8 states.

• Source: https://www.conference-board.org/topics/consumer-confidence

Conference Board Leading Economic Index

• The ten components of The Conference Board Leading Economic Index® for the U.S. include: Average weekly hours in manufacturing; Average weekly initial claims for unemployment insurance; Manufacturers’ new orders for consumer goods and materials; ISM® Index of New Orders; Manufacturers’ new orders for nondefense capital goods excluding aircraft orders; Building permits for new private housing units; S&P 500® Index of Stock Prices; Leading Credit Index™; Interest rate spread (10-year Treasury bonds less federal funds rate); Average consumer expectations for business conditions.

• Source: https://www.conference-board.org/topics/us-leading-indicators

Consensus Bullish Sentiment Index

• The exclusive weekly CONSENSUS® BULLISH SENTIMENT INDEX was established in 1983 by Consensus, Inc. It is the most complete and accurate measure of contrary opinion available anywhere for 32 individual markets including stock indices, financial instruments, currencies, metals, energy, and agriculture. The Index is intended as a guide only, to provide indication of potential market directions. The theory of contrarian opinion holds that when a predominant number of market analysts are bullish, it is quite likely that the market is approaching an overbought condition, and that a reversal in trend may be imminent. By the same reasoning, when a predominant number of market analysts are bearish, it is quite likely that the market is approaching an oversold condition, and that a reversal in trend may be forthcoming. Although CONSENSUS identifies the 75 percent level as the overbought level and 25 percent as oversold, these points should be interpreted not as absolute reversal points, but rather as approximate levels of potential market shifts. It is also important to note the trends in the data to get a fuller sense of possible market directions indicated. To compile the Index, CONSENSUS draws from an extensive mix of both brokerage house analysts and independent advisory services, to provide the strongest possible database. The data covers a broad spectrum of approaches to the market, including the fundamental, technical, and cyclical: CONSENSUS makes no attempt to discern to which of these approaches traders may be the most responsive.

• Source: https://consensus-inc.com/?q=content/bullish-sentiment-index-3

CTAs: Commodity Trading Advisors

• CTAs are individuals or firms that provide advice and services related to trading and investing in the commodity futures and options markets.

• CTAs often use systematic trading strategies based on technical analysis, quantitative models, or other algorithmic approaches.

• More info: https://www.investopedia.com/terms/c/cta.asp

Death cross (technical analysis)

• The "death cross" is a market chart pattern reflecting recent price weakness. It refers to the drop of a short-term moving average—meaning the average of recent closing prices for a stock, stock index, commodity or cryptocurrency over a set period of time—below a longer-term moving average. The most closely watched stock-market moving averages are the 50-day and the 200-day.Despite its ominous name, the death cross is not a market milestone worth dreading. Market history suggests it tends to precede a near-term rebound with above-average returns.

• Source: https://www.investopedia.com/terms/d/deathcross.asp

Discretionary investors

• Individuals or institutions who entrust their investment decisions to a professional manager who have the authority to buy and sell securities on their behalf.

Dot plot

• The Fed dot plot is a chart that shows you where each FOMC member thinks interest rates will be by the end of the current year, two or three (depending on the time of year) consecutive years after, and the more ambiguous “longer run.” Each “dot” represents a member’s individual view.

• Source: https://www.britannica.com/money/what-is-the-fed-dot-plot

Drewry World Container Index

• The World Container Index assessed by Drewry reports actual spot container freight rates for major East West trade routes. The Index consists of 8 route-specific indices representing individual shipping routes and a composite index. All indices are reported in USD per 40ft Container.

• Market assessments will be collected for the following routes:

  • Shanghai - Rotterdam

  • Rotterdam - Shanghai

  • Shanghai - Genoa

  • Shanghai - Los Angeles

  • Los Angeles - Shanghai

  • Shanghai - New York

  • New York - Rotterdam

  • Rotterdam - New York

• Source: https://www.drewry.co.uk/logistics-executive-briefing/logistics-executive-briefing-articles/world-container-index-correlations-and-methodology

Economic Optimism Index (RealClearMarkets/TIPP)

• The index is a closely watched measure of sentiment that informs the capital-allocating actions of investors, large and small. TIPP develops the index from responses to an online survey of over 1,300 adults nationwide. The index is typically released on the first Tuesday of each month. This flagship index has three equally weighted components:

  • The Six-Month Economic Outlook, a measure of consumers' feelings about the economy's prospects in the next six months

  • The Personal Financial Outlook, a measure of how Americans feel about their personal finances in the next six months

  • Confidence in Federal Economic Policies, a proprietary TIPP measure of how government economic policies are working, according to Americans

• Source: https://www.realclearmarkets.com/articles/2023/11/07/introducing_the_realclearmarketstipp_economic_optimism_index_991097.html

Economic Sentiment Index (Penta-CS)

• The Penta-CivicScience Economic Sentiment Index (“ESI”) is a “living” index that measures U.S. adults’ expectations for the economy going forward, as well as their feelings about current conditions for major purchases. The primary goal of the Index is to accurately measure movements in overall national economic sentiment, and to provide a more sophisticated alternative to existing economic sentiment indices. Unlike other prominent indices that release consumer sentiment estimates infrequently, the Penta-CivicScience Index is updated in real time as responses are collected continuously every hour, every day. Large-scale cross-tabulation of survey responses and consumer attributes enable more granular analyses than are currently possible through prevailing measures.

• Source: https://esi-civicscience.pentagroup.co/about-us/

Economic Surprise Index

• Represents the sum of the difference between official economic results and forecasts. With a sum over 0, its economic performance generally beats market expectations. With a sum below 0, its economic conditions are generally worse than expected.

Employment Index Trend

• As a composite index, the Employment Trends Index (ETI)™ aggregates eight labor market indicators from different sources, each of which has proven accurate in its own area. The main benefit of looking at a composite index is that individual indicators sometimes show erratic movements from month to month that do not necessarily reflect underlying trends. This can happen, for example, because of changes in seasonal patterns, inaccuracies due to small samples, or one-off events. Aggregating a group of individual indicators, filters out this so called “noise” to see the underlying trends more clearly.

• https://www.conference-board.org/data/eti.cfm

Equity risk premium

• Equity risk premium refers to an excess return that investing in the stock market provides over a risk-free rate. This excess return compensates investors for taking on the relatively higher risk of equity investing. The size of the premium varies and depends on the level of risk in a particular portfolio. It also changes over time as market risk fluctuates.

• Source: https://www.investopedia.com/terms/e/equityriskpremium.asp

GEP Supply Chain Volatility Index

• The GEP Global Supply Chain Volatility Index is produced by S&P Global and GEP. The GEP Global Supply Chain Volatility Index is derived from S&P Global’s PMI™ surveys, sent to companies in over 40 countries, totalling around 27,000 companies. These countries account for 89% of global gross domestic product (GDP) (source: World Bank World Development Indicators). The headline figure is the GEP Global Supply Chain Volatility Index. This a weighted sum of six sub-indices derived from PMI data, PMI Comments Trackers and PMI Commodity Price & Supply Indicators complied by S&P Global. The GEP Global Supply Chain Volatility Index is calculated using a weighted sum of the z-scores of the six indices. Weights are determined by analysing the impact each component has on suppliers’ delivery times through regression analysis. The six variables used are 1) JP Morgan Global Quantity of Purchases Index, 2) All Items Supply Shortages Indicator, 3) Transport Price Pressure Indicator and Manufacturing PMI Comments Tracker data for 4) stockpiling due to supply or price concerns, and backlogs rising due to 5) staff shortages and 6) item shortages. A value above 0 indicates that supply chain capacity is being stretched and supply-chain volatility is increasing. The further above 0, the greater the extent to which capacity is being stretched. A value below 0 indicates that supply chain capacity is being under-utilised, reducing supply-chain volatility. The further below 0, the greater the extent to which capacity is being under-utilised.

• Source: https://www.gep.com/knowledge-bank/global-supply-chain-volatility-index

Global Supply Chain Pressures Index

• The GSCPI integrates a number of commonly used metrics with the aim of providing a comprehensive summary of potential supply chain disruptions. Global transportation costs are measured by employing data from the Baltic Dry Index (BDI) and the Harpex index, as well as airfreight cost indices from the U.S. Bureau of Labor Statistics. The GSCPI also uses several supply chain-related components from Purchasing Managers’ Index (PMI) surveys, focusing on manufacturing firms across seven interconnected economies: China, the euro area, Japan, South Korea, Taiwan, the United Kingdom, and the United States.

• Source: https://www.newyorkfed.org/research/policy/gscpi#/overview

Golden cross (technical analysis)

• A golden cross is a chart pattern in which a relatively short-term moving average crosses above a long-term moving average. The golden cross is a bullish breakout pattern formed from a crossover involving a security's short-term moving average (such as the 50-day moving average) crossing above its long-term moving average (such as the 200-day moving average) or resistance level. As long-term indicators carry more weight, the golden cross indicates the possibility of a long-term bull market emerging. High trading volumes generally reinforce the indicator.

• Source: https://www.investopedia.com/terms/g/goldencross.asp

Goldman Sachs Financial Conditions Index

• Our Financial Conditions Indexes are designed to gauge the overall looseness or tightness of financial conditions across the world’s major economies. The GSFCIs can provide valuable information about the GDP growth outlook, the transmission of monetary policy to the real economy, and the importance of financial shocks hitting the economy.

• Source: Goldman Sachs

Goldman Sachs IPO Issuance Barometer

• Gauges how conducive the macro environment is for IPOs, is scaled such that 100 is the typical frequency of IPOs. It is based on five components: S&P 500 drawdown, as measured by how far the index trades from its trailing 52-week high, CEO confidence, ISM Manufacturing Index, 6-month change in the nominal 2-year Treasury note yield, and S&P 500 trailing EV/sales.

• Source: Goldman Sachs

Goldman Sachs Panic Index

• A two-year rolling percentile across four equity volatility metrics.

• Source: Goldman Sachs

Goldman Sachs Sentiment Indicator

• Measures stock positioning across retail, institutional, and foreign investors versus the past 12 months. Readings below -1.0 or above +1.0 indicate extreme positions that are significant in predicting future returns.

• Source: Goldman Sachs

Indeed Wage Tracker

• The Indeed Wage Tracker measures growth in wages advertised in job postings to help policymakers, labor market analysts, employers, and workers understand wage trends quickly and confidently.

• The data in this repository are the average year-on-year percentage changes in wages and salaries advertised in job postings on Indeed, controlling for job titles. To calculate the average rate of wage growth, we follow an approach similar to the Atlanta Fed US Wage Growth Tracker, but we are tracking job titles, not individuals. We begin by calculating the median posted wage for each country, month, job title, region and salary type (hourly, monthly or annual). Within each country, we then calculate year-on-year wage growth for each job title-region-salary type combination, generating a monthly distribution. Our monthly measure of wage growth for the country is the median of that distribution. The data are not seasonally adjusted.

• Source: https://github.com/hiring-lab/indeed-wage-tracker

Investment Manager Index (S&P Global)

• The Investment Manager Index (IMI) is a survey-based indicator of sentiment derived from active fund managers at institutional investment firms and designed to provide a view of forward-looking investment appetite in U.S. equity markets. The monthly survey asks respondents for their subjective view on risk outlook and appetite over the next 30 days, market performance and key drivers, upside and downside risks, and sector outlooks.

• Source: https://www.spglobal.com/marketintelligence/en/mi/info/0920/imi-survey-request.html

Investor Intelligence

• The Advisors Sentiment report surveys the market views of over 120 independent investment newsletters (those not affiliated with brokerage houses or mutual funds) and reports the findings as the percentage of advisors that are bullish, those bearish and those that expect a correction.

• Source: https://www.investorsintelligence.com/content/20784/advisors_sentiment_user_guide_sp.pdf

Logistics Managers’ Index

• Logistics Metrics such as transportation, warehousing, and inventory are leading economic indicators, and can point towards potential movements in the overall economy. In our monthly survey, we gather the responses of over 100 professionals on the movement and direction of eight key logistics metrics. These metrics are aggregated into the Logistics Managers' Index, which is released on the first Tuesday of every month. 

• Source: https://www.the-lmi.com/

Money Flow Index

• The Money Flow Index (MFI) is a technical oscillator that uses price and volume data for identifying overbought or oversold signals in an asset. It can also be used to spot divergences which warn of a trend change in price. The oscillator moves between 0 and 100.

• Unlike conventional oscillators such as the Relative Strength Index (RSI), the Money Flow Index incorporates both price and volume data, as opposed to just price. For this reason, some analysts call MFI the volume-weighted RSI.

• Source: https://www.investopedia.com/terms/m/mfi.asp

NAAIM: National Association of Active Investment Managers

• The NAAIM Exposure Index represents the average exposure to US Equity markets reported by our members.

• The blue line depicts a two-week moving average of the NAAIM managers’ responses. 

• NAAIM member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day of the week, currently Wednesdays. Responses can vary widely as indicated below. Responses are tallied and averaged to provide the average long (or short) position of all NAAIM managers, as a group.

• Source: https://www.naaim.org/programs/naaim-exposure-index/

NAHB Housing Market Index

• The NAHB/Wells Fargo Housing Market Index (HMI) is based on a monthly survey of NAHB members designed to take the pulse of the single-family housing market. The survey asks respondents to rate market conditions for the sale of new homes at the present time and in the next six months as well as the traffic of prospective buyers of new homes.

• The NAHB/Wells Fargo HMI is a weighted average of three separate component indices: Present Single-Family Sales, Single-Family Sales for the Next Six Months, and Traffic of Prospective Buyers. Each month, a panel of builders rates the first two on a scale of “good,” “fair” or “poor” and the last on a scale of “high to very high,” “average” or “low to very low”. An index is calculated for each series by applying the formula “(good – poor + 100)/2” or, for Traffic, “(high/very high – low/very low + 100)/2”. Each resulting index is first seasonally adjusted, then weighted to produce the HMI. The weights are .5920 for Present Sales, .1358 for Sales for the Next Six Months, and .2722 for Traffic. The weights were chosen to maximize the correlation with starts through the following six months. The HMI can range between 0 and 100.

• Source: https://www.nahb.org/news-and-economics/housing-economics/indices/housing-market-index

NFIB Small Business Optimism Index

• NFIB Small Business Optimism Index is a composite of ten seasonally adjusted components calculated based on the answers of around 620 NFIB members. This questions include: plans to increase employment, plans to make capital outlays, plans to increase inventories, expect economy to improve, expect real sales higher, current inventory, current job openings, expected credit conditions, now a good time to expand, and earnings trend.

• Source: https://tradingeconomics.com/united-states/nfib-business-optimism-index

Nasdaq High/Low Logic

• The High Low Logic Index was developed by Norman Fosback. It is calculated as the lesser of the number of new highs or new lows divided by the total number of issues traded. Daily or weekly NYSE data is typically used in the calculation. The concept behind the indicator is that either a large number of stocks will establish new highs or a large number of stocks will establish new lows, but normally not both at the same time. Since the High Low Logic Index is the lesser of the two ratios, high readings are infrequent. When a high indicator reading does occur, it signifies that market internals are inconsistent with many stocks establishing new highs at the same time that many stocks establish new lows. When this happens, it is considers bearish for stock prices. Extreme low indicator readings reveal a uniform market. They are considered bullish for stock prices.

• Source: https://help.tc2000.com/m/69404/l/750503-t2105-high-low-logic-index

Non-dealer positioning

• Refers to the aggregate net long or short positions held by market participants who are not classified as dealers (i.e., market makers).

• Includes institutional investors, hedge funds, individual traders, and other entities.

Penta-CivicScience Economic Sentiment Index (ESI)

• The Penta-CivicScience Economic Sentiment Index (“ESI”) is a “living” index that measures U.S. adults’ expectations for the economy going forward, as well as their feelings about current conditions for major purchases. The primary goal of the Index is to accurately measure movements in overall national economic sentiment, and to provide a more sophisticated alternative to existing economic sentiment indices. Unlike other prominent indices that release consumer sentiment estimates infrequently, the Penta-CivicScience Index is updated in real time as responses are collected continuously every hour, every day. Large-scale cross-tabulation of survey responses and consumer attributes enable more granular analyses than are currently possible through prevailing measures.

• Source: https://esi-civicscience.pentagroup.co/about-us/

Retail imbalance

• The difference between the amount of buy, sell, or limit orders placed by individual investors (i.e., retail investors) and the amount that can be fully matched by the opposite order on an exchange.

Risk-On/Off Indicator (SentimenTrader)

• The Risk-On/Off Indicator, a composite encompassing 21 diverse sentiment and breadth-based measures, increased to the highest level since July 2023, with 90% of its components in a bullish status.

• Source: https://sentimentrader.com/blog/sentimentradercom-risk-onoff-indicator-buy-signal

SLOOS (Senior Loan Officer Opinion Survey)

• Survey of up to eighty large domestic banks and twenty-four U.S. branches and agencies of foreign banks. The Federal Reserve generally conducts the survey quarterly, timing it so that results are available for the January/February, April/May, August, and October/November meetings of the Federal Open Market Committee. The Federal Reserve occasionally conducts one or two additional surveys during the year. Questions cover changes in the standards and terms of the banks' lending and the state of business and household demand for loans. The survey often includes questions on one or two other topics of current interest.

• Source: https://www.federalreserve.gov/data/sloos.htm

Sharp ratio

• The Sharpe ratio compares the return of an investment with its risk. It's a mathematical expression of the insight that excess returns over a period of time may signify more volatility and risk, rather than investing skill.

• The Sharpe ratio's numerator is the difference over time between realized, or expected, returns and a benchmark such as the risk-free rate of return or the performance of a particular investment category. Its denominator is the standard deviation of returns over the same period of time, a measure of volatility and risk.

• Source: https://www.investopedia.com/terms/s/sharperatio.asp

StateStreet Institutional Investor Risk Appetite Index

• The Risk Appetite Indicator quantifies the degree to which the trading patterns of institutional investors are risk seeking or averse, on a scale of -100% (most risk averse) to 100% (most risk seeking).

• The Institutional Investor Risk Appetite Indicator measures the buying and selling of risky assets across 22 dimensions of risk

• These range across asset classes: equities, fixed-income, cash, and foreign exchange

• Key dimensions include stock versus cash allocations, cyclical versus defensive equities, high-yield versus investment-grade corporate bonds, and US Dollar currency flows

• Released monthly

• Source: https://globalmarkets.statestreet.com/research/portal/insights/indicators/risk-appetite

Systematic investors

• Quantitative investors that rely on data-driven insights, quantitative analysis, and algorithmic models to make investment decisions.

Used Vehicle Value Index (Manheim)

• By applying statistical analysis to its database of more than 5 million used vehicle transactions annually, Manheim has developed a measurement of used vehicle prices that is independent of underlying shifts in the characteristics of vehicles being sold. The Manheim Index is increasingly recognized by both financial and economic analysts as the premier indicator of pricing trends in the used vehicle market, but should not be considered indicative or predictive of any individual remarketer’s results.

• Source: https://site.manheim.com/en/services/consulting/used-vehicle-value-index.html

Value Line Geometric Index

• An equally-weighted index tracking the geometric mean performance of ~1,700 stocks across major North American exchanges.

WARN Notices

• Under the WARN Act, employers with 100 or more full-time workers (or 100 or more workers who work at least a combined 4,000 hours a week) are required to inform workers, as well as the local government and the state dislocated worker unit, with written notices at least 60 days in advance of a potential plant closure or mass layoff. The act does not cover employees who have worked fewer than 6 months in the last 12 months or those who work an average of fewer than 20 hours a week. The act covers private and quasi-public employers, including nonprofits, but does not cover regular federal, state, or local government employees. Employers can provide fewer-than-60-day notices for the following (rare) exceptions: closing of a faltering company, unforeseeable business circumstances, or a natural disaster.4 About 65 percent of employment was in establishments with 100 or more workers in 2016, according to evidence from the Census Bureau’s Business Dynamics Statistics.

• WARN defines plant closures as shutdowns for more than six months at a single site of employment if the shutdown results in an employment loss for 50 or more employees and occurs over any 30-day period. A mass layoff is defined as a layoff that lasts for six months or longer and affects 500 or more employees. For businesses with employment losses of between 50 and 499 employees, the relevant threshold for a notice requirement is 33 percent of the workforce or more. The penalty for noncompliance can be severe: The employer is liable to each aggrieved employee for an amount including back pay and benefits for the period of violation, up to 60 days. In addition, the employer is subject to a civil penalty of at most $500 per day.

• Source: https://www.clevelandfed.org/publications/economic-commentary/2019/ec-201921-advance-layoff-notices-as-labor-market-indicator

Weekly Economic Index (WEI)

• The WEI is an index of real economic activity using timely and relevant high-frequency data.

• The WEI is composed of 10 underlying series.To measure consumer behavior, we include the Redbook same-store retail sales index and the Rasmussen Consumer Index. To measure labor market conditions, we include initial and continuing unemployment insurance claims, the American Staffing Association Index of temporary and contract employment, and federal tax withholding data from Booth Financial Consulting. For production, we include U.S. steel production from the American Iron and Steel Institute, U.S. electricity output data from the Edison Electric Institute, a measure of fuel sales based on Energy Information Administration data, and total railroad traffic from the Association of American Railroads.

• Source: https://www.dallasfed.org/research/wei/about

Taylor Rule

• The Taylor Rule (sometimes referred to as Taylor's rule or Taylor principle) is an equation linking the Federal Reserve's benchmark interest rate to levels of inflation and economic growth. Stanford economist John Taylor originally proposed the rule as a rough guideline for monetary policy but has subsequently urged a fixed-rule policy based on the equation, a cause adopted by Republicans seeking to limit the Federal Reserve's policy discretion.

• The Taylor Rule's formula ties the Fed's key interest rate policy instrument, the federal funds rate, to two factors: the difference between the actual and targeted inflation rates and that between the desired and apparent growth in the real Gross Domestic Product (GDP). Because policymakers aim for maximum sustainable growth at the economy's productive potential, the difference between the actual and desired real GDP growth rates can also be described as an output gap.

• Source: https://www.investopedia.com/terms/t/taylorsrule.asp

Zweig Breadth Thrust

• The Breadth Thrust Indicator is a technical indicator used to ascertain market momentum. It is computed by calculating the number of advancing issues on an exchange, such as the New York Stock Exchange (NYSE), divided by the total number of issues (advancing + declining) on it, and generating a 10-day moving average of this percentage.

• The indicator signals the start of a potential new bull market when it moves from a level of below 40% (indicating an oversold market) to a level above 61.5% within any 10-day period. This is a rarely occurring sentiment, which carries tremendous import with market watchers.

• Source: https://www.investopedia.com/terms/b/breadth-thrust-indicator.asp