ASR Proprietary Indicators
ASR’s proprietary indicators provide clients with a range of datasets designed
to inform the investment process and aid the construction of portfolios.
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Economic Indicators
Leading Indicators
Leading Indicators provide a 6-12 month leading view on the business cycle in Europe, the US, and Asia.
Compared with the OECD leading indicators, our metrics provide a longer lead on the cycle as well as excluding all market-based indicators.
Surprise Indicators
Surprise Indicators measure the extent to which economic data have deviated from the expectations of professional forecasters on a daily basis over the previous quarter, providing a timely and high frequency indicator of economic news.
Expectations Indicators
A real-time indication of analysts’ economic expectations. The indicators measure a broader definition of ‘economic activity’ but work well as a realtime daily series of Consensus GDP forecasts.
Business Cycle Indicators
Business Cycle Indicators (BCIs) classify the current stage of the business cycle in real time (i.e., recovery, mid cycle, late cycle and recession).
They capture a cycle lasting between three and ten years from peak to trough and are based on five underlying components: the investment to GDP ratio, unemployment rate, corporate margins, consumer willingness to buy durable goods, and growth in credit to the private sector.
Financial Cycle Indicators
ASR’s Financial Cycle Indicators capture movements in the long-run financial cycle. They comprise three financial variables: credit to the private non-financial sector, the ratio of credit to GDP (leverage), and residential property prices.
Trade & Logistics Indicators
Comprising volume data for freight activity at the busiest airports and container ports in Asia, Europe and the US, ASR’s Logistics Indicators are designed to provide a timely read on global trade growth.
Our Air Freight Indicators, which are more sensitive to changes in demand, also provide a crosscheck on a number of cyclical indicators such as the performance of Cyclical vs Defensive Equities, Commodity prices and EPS growth.
Semiconductor Indicators
Tracking the critical input in global manufactured goods. ASR semiconductors pack includes a proprietary memory chip price index based on the leading chips available and tracks the monthly revenues of the topthree Taiwanese chip foundries. In addition, the pack covers global semiconductor prices, sales, exports, production, and equities in detail.
EM Default & Vulnerability Indices
A broad measure of sovereign risk premiums across 79 Emerging Markets. Which complements our narrower EM Vulnerability index.
US & EZ Recession Risk Model
ASR’s proprietary US & EZ Recession Risk Dashboards indicate the likelihood of a recession within the next 2 years.
Strategy Indicators
Asset Allocation Survey
The ASR Quarterly Asset Allocation Survey is in its ninth year, and helps leading global investors understand the consensus and distribution of current views in the market. It’s unique in its ability to forecast the likelihood of certain financial events by mapping implied probabilities to the frequency of these events over the past decade.
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Sentiment Indicators
ASR’s SBIs cover 1,000 Assets, over 177 global markets with 750,000 datapoints and 15 years of history. The Indicators combine several algorithms quantifying behavioural elements such as ‘price anchoring’ and trend ‘overconfidence’ with shorterterm momentum
Global House Price Index
Our housing index looks at risk across three dimensions: property valuations, household leverage, and bank sentiment. It is designed to capture the risks from excessive exuberance of home buyers and their creditors, which can push property valuations well beyond fundamentals, leaving the financial system vulnerable when prices eventually correct.
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Newsflow Indicator
The ASR Macro NewsFlow Indexes are created by using proprietary search strings to interrogate the Dow Jones Factiva database. We monitor the positive and negative news stories around six key macro variables, which combine to form our flagship Composite Newsflow Indicator.
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Dividend Dynamos
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Equity Risk Premium
ASR’s ERP Series combines 9 models to create a composite Series and covers 25 countries / regions, with at least 8 series per country / region plus a Global Composite ERP.
Thematic ETF Tracker
Follows the performance of the ‘ASR Thematic 100’ list, a screen of exchange traded funds that all play on a range of investment themes. We sub-divide these into 14 sub-indices, including demographics, cyber security, robotics & AI, and water.
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