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Wavelength Capital Management
545 Madison Avenue
16th Floor
New York, NY 10022

Investor Relations
Phone: 917-678-8840


Wavelength Capital Management is an SEC–registered1 investment adviser located in New York. Wavelength may only transact business in those states in which it is notice filed or qualifies for a corresponding exemption from such requirements. Wavelength's website is limited to the dissemination of general information regarding its investment advisory services to United States residents residing in states where providing such information is not prohibited by applicable law.

Accordingly, the publication of Wavelength's website on the Internet should not be construed as Wavelength's solicitation to effect, or attempt to effect, transactions in securities or the rendering of personalized investment advice for compensation over the Internet.

Investing involves the risk of loss and investors should be prepared to bear potential losses. Past performance may not be indicative of future results and may have been impacted by events and economic conditions that will not prevail in the future. No portion of this commentary is to be construed as a solicitation to buy or sell a security or the provision of personalized investment, tax or legal advice. Certain information contained in this report is derived from sources that Wavelength believes to be reliable; however, the Firm does not guarantee the accuracy or timeliness of such information and assumes no liability for any resulting damages.

For information pertaining to the registration status of Wavelength, please view the United States Securities and Exchange Commission’s website at A copy of Wavelength's current written disclosure statement discussing Wavelength's business operations, services and fees is available from Wavelength upon written request. Wavelength does not make any representations as to the accuracy, timeliness, suitability, completeness or relevance of any information prepared by any unaffiliated third party, whether linked to Wavelength's website or incorporated herein, and takes no responsibility therefore. All such information is provided solely for convenience purposes only and all users thereof should be guided accordingly.

1SEC registration does not indicate a certain level of skill or training.

Wavelength Macro Analytics

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At Wavelength, macroeconomic relationships are central to our investment process. We believe that market prices are set based on expectations for growth and inflation in the future, and as a result changing expectations drive prices in the present.

The Wavelength Economic Surprise Index is designed to provide a framework for these dynamics by measuring surprises relative to consensus market expectations for a set of key macroeconomic indicators. A positive reading means that data releases have been stronger than expected and a negative reading means that data releases have been worse than expected.


The Wavelength Economic Surprise Index is a rules-based index designed to capture the “surprise” factor in various economic data as measured by the difference between consensus expectations and actual economic releases. Index data is sourced through Bloomberg, LP and includes the following measures of economic activity: US Industrial Production, US Employees on Nonfarm Payrolls, Adjusted Retail and Food Services Sales, ISM Manufacturing Purchasing Managers Index, US Personal Income, and US Gross Domestic Product. The difference between the Bloomberg Survey Median and actual release is measured the day of each release and normalized using the standard deviation of historical releases for each factor. These factors are then decayed over time and weighted using a proprietary matrix based on their expected contribution to economic growth. The index is reconstituted daily and published weekly on

If you have any questions about the Wavelength Economic Surprise Index or other macro analytics resources, please contact Investor Relations at or 212-958-1178.