US Macro Trend Index

The US Macro Trend Index (MTI) measures the strength of the directional bias of US economic activity. MTI reflects analysis of two business cycle indexes:  ADS Index, published by the Philly Fed, and the Weekly Economic Index (WEI) via the New York Fed. Each index takes a different approach to monitoring US economic activity in real time, using a variety of indicators, some of which are published at daily and weekly frequencies. The goal with MTI is to quantify the degree of deceleration and acceleration in the overall macro trend via ADS and WEI. As such, MTI is not a measure of growth or contraction per se; rather, MTI is an index quantifying the strength or weakness of the overall trend.

MTI is a tool for developing context for assessing the overall strength or weakness of the current economic trend and quantifying the trend’s evolution.

MTI is designed as follows:

1. Calculate the mean of the 1-, 2-, 5- and 10-period differences for ADS.
2. Calculate the mean of the 1- and 2-period differences for WEI.
3. Calculate the mean for 1 and 2; transform to Z-scores on a rolling 1-year basis.