The Citigroup Surprise Index for the U.S. measures macroeconomic data vs. expectations. When the economic data is coming in much better than expected, you’ll see a strongly positive number for the Surprise Index, and a strongly negative number for a much worse than expected data.
Here is the Surprise Index for the U.S. over the past 3 years:
I’ve circled in Red the readings in January in 2010, 2011, and 2012, for a clean seasonal comparison. The current January reading is the same as Jan 2010, and much lower than Jan 2011 and Jan 2012. The index has entered negative territory, suggesting that economic data is on balance missing consensus estimates.
The broader market environment is ignoring the downturn in the data for now, and the market’s whims are stronger than any objective measure in the short-term. But it’s one reason not to get too bulled up just because the SPX broke 1500.