LDEI Index Description
As many of you know, I have been working on an index this year, the Lantern Daily Economic Index, to show how economic data is evolving daily. I’ve long felt that economic data drives interest rates more than is appreciated and now I can prove it. It is the first of its kind; applying economic data on its release date to track the growth of “the totality of the data.”, not surprises as with the Citi Economic Surprise Index. Surprise indices are the only other tools (Citi and Bloomberg have versions) to view the real-time evolution of economic data but they measure a tangential aspect to growth and exhibit counter-intuitive behavior through their history. The LDEI puts all the important data into a singular, straightforward, and objective context that correlates well with interest rates and nominal GDP.
Since I’ve had it, I’ve made 78% of my public calls correct, it has been influential in organizing my thinking about what else is affecting interest rates, and cuts through a great deal of nonsense said about the Treasury market. A 4-page document to explain it in greater detail is attached; describing why it is different, its correlation to interest rates, composition, and development.
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