Macrobond is pleased to announce the launch of Citi’s Macro Indices on the Macrobond Application. The indices are a set of value added tools, developed by the CitiFX Quantitative Investor Solutions team for use in market analyses and trading.
The Macro Indices consist of:
- Citi Economic Surprise Indices measure economic data releases relative to market expectations in major economies and emerging markets.
- Citi Inflation Surprise Indices measure realized inflation compared to market expectations in major economies and emerging markets.
- Citi Macro Risk Indices measure risk aversion based on prices of financial assets that are typically sensitive to risk. The long-term MRI measures the level of risk aversion while the short-term index measures changes.
- Citi Commodity Terms of Trade Indices measure the terms of trade of major economies and emerging markets, attributable to trade in raw commodities. The indices are useful in analyzing the performance of commodity-sensitive currencies and the impact of commodity price changes on economies.
- Citi FX Positioning Alert Indicators measure correlations between the returns of for-profit FX traders and positions in the EUR, JPY, GBP and CHF. Strong correlations indicate saturated positions in currencies.
- Citi Early Warning Signal indices measure country risk in emerging market economies based on variables that have historically been good predictors of currency crises.
The Citi’s Surprise Indices are available in the leading indicators category for major countries and regions. For more information, please contact the Macrobond team or CitiFX Quantitative Investor Solutions
Citi, a leading global financial services company, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Additional information may be found at www.citigroup.com.