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Surprises and markets
Asset prices reflect available information as well as expectations for future
outcomes. Prices should therefore only move in response to unanticipated events,
i.e., surprises. For 10 years, UBS has calibrated ‘surprise indices’ to reflect when
incoming economic data differs from consensus expectations. As theory would
predict, UBS surprise indices have enjoyed tight correlations with financial market
outcomes, particularly in recent years.
􀂄 The full methodology
In this note we outline the methodology of our economic surprise indices. We also
explore how our surprise indices can offer perspectives on global economic
fundamentals, the business cycle and financial market outcomes.
􀂄 Some surprising messages
Our research reveals a number of key conclusions relevant for current investment
decisions. First, a sustained recovery of risk asset prices is unlikely until global
growth expectations adapt to weaker structural fundamentals. We note, for
example, that high energy prices and de-leveraging have changed the relationship
between economic outcomes and asset price developments. Second, correlations
across economic regions and markets remain very high. What is also new is that
the US economy is no longer the sole source of shocks—the US economy and
capital markets respond to external shocks in ways not previously seen in the precrisis
era. Finally, balance sheet health and commodity export exposure have
become increasingly important predictors of economic success.
􀂄 Daily surprise indices on Bloomberg
With this publication, we also note that our full range of growth and inflation
surprise indices can now be found on Bloomberg (see page UGSI). Henceforth,
those indices will be updated on a daily basis.
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