Lantern Daily Economic Index (LDEI)

A revolutionary index measuring the totality of the data in real-time.

-Provides the most meaningful and timely read on U.S. economic performance
-Correlates to U.S. Treasury yields and nominal GDP with a lead
-Measures growth of all economic data segments

Long-term chart:

1-year chart:

3-month chart:

5-page document explaining the index:

The Lantern Daily Economic Index (LDEI) measures real-time growth of all economic data segments: real, inflation, and sentiment/survey-based; reflecting “the totality of the data.”

Uniquely, economic data is applied on the day it is released and combined with the rest of most-recently-released data. This is done to blend data with different frequencies and allow for the index’s daily calculation, but most importantly, present economic data when it is known and impacts markets.

This methodology allows the LDEI to measure growth in indicators and be real-time; something that hasn’t been done before. It allows the isolation of what was known about the economy between any two dates, such as how much the economy has improved since the last Fed meeting, or how well interest rates track economic data between two dates. These analyses aren’t possible with existing indices.

The Atlanta Fed’s GDPnow changes daily with new economic releases but uses a subset of data that directly influences real GDP; excluding inflation and “soft” survey/sentiment data. It isolates data into calendar quarters and isn’t a continuous index. The Citigroup Economic Surprise Index reflects all segments of economic data daily but is half-about what economists think the numbers will be. It isn’t a direct measure of economic performance. And, the Chicago Fed National Activity Index (CFNAI), of which this index shares its general methodology and framework, is only calculated monthly and doesn’t include inflation data or much survey/sentiment data. 57% of the indicators in this index are not in the CFNAI. These indices leave an ambiguity about the economy which the LDEI clarifies.

The LDEI is a weighted average of 45 widely-followed economic indicators that fall into seven categories of labor, industry, consumer spending and confidence, inflation, housing, income, and overall (GDP). The index is constructed to have an average of 0 and a standard deviation of 100. Individual economic data series are transformed and normalized into comparable time-series before being averaged with subjective fixed weights according to their perceived impact on markets and the economy. Included indicators are released with weekly, monthly, and quarterly frequencies. The index has been back-tested 27 years to 1998, covering three recessions including their approach and recovery. Indicators have been chosen for their renown, visibility, and duration.

The index was originally created to provide a fundamental basis to movements in U.S. Treasury yields, but it also serves as the most up-to-date and meaningful summary of U.S economic performance for use by journalists, economists, policymakers, business-leaders, financial professionals, and observers.

Historical data, sub-indices, real-time updates, and attribution reports are limited to clients and strategic relationships. Wider distribution is being explored. Free weekly updates are below and many analyses using the index are on the insights page.


Weekly Updates