Track Regime Shifts
in Real Time

The C-Level Economic Sentiment Indicator aggregates the views of corporate executives about the current and future prospects of the US economy.

2004-01-01 2024-07-20

Publicly listed companies schedule quarterly earnings calls with analysts. During these calls, executives often convey not only their perspective on the company's future prospects, but their outlook on the economic business cycle at a sector level and at a macro level.
The Economic Sentiment Indicator aggregates these views into a singular indicator which improves the timely detection of shifts in the US economic business cycle.

Focused and Accessible

A Key Macro Indicator

The value and evolution of the indicator can help quantitative and discretionary investors:

Indicator Performance

To visualize the relevancy of the indicator as an economic cycle early indicator, we compare the evolution of GDP of first releases at release dates (in red) with the indicator value (in blue), and the determination of the stage of the business cycle (background):

Expansion
Recovery
Contraction
Slowdown
US GDP
Indicator
US GDP is presented as annualized growth percentage, based on quarter to quarter growth, using preliminary release at release date, log scale.
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UNDER THE HOOD

Computing the indicator

The economic sentiment indicator is the outcome of a multi-step process to turn individual transcripts into a macro-level business cycle indicator:

Content Collection

RavenPack analyzes the transcripts of earnings calls and business updates from listed companies to identify events mentioned by executives that are relevant to the US economy.

Information Extraction

The search specifically focuses on a subset of event categories, including consumer confidence, retail and vehicle sales, employment, non-farm payrolls and jobless claims, builders confidence, building permits and home sales, factory orders, and industrial production. Additional filters are applied to ensure a US macro focus.

Analytics Enrichment

For each event identified, RavenPack uses sentiment analysis approaches to compute a score by matching stories usually categorized by financial experts as having a positive or negative financial or economic impact.

Signal Construction

Sentiment scores are then aggregated and further smoothed with exponential moving averages to give more weight to recent views.

Indicator Composition

Finally, the evolution of the indicator is reviewed against its values over the past year to determine a business cycle phase between expansion, slowdown, contraction, and recovery.

Economic Sentiment: Indicator Facts
Purpose
  • Assess the US economy today
  • Predict future economic outlook
  • Boost strategies driven by business cycles
FrequencyDaily
FormatCSV
HistorySince January 2003
UniverseUS Macro
Content
  • Date of the signal
  • Sentiment score
  • Business cycle phase: The model's assessment of the current business phase for time ranges from 1 to 6 days. The field takes one of the following values: EXPANSION, RECOVERY, SLOWDOWN and CONTRACTION.
Delivery RavenPack, Snowflake

Access the indicator


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