Does anyone know when the #unemp series is updated? I use it for timing and would have expected it to be updated this weekend based on the new release on NFP Friday.
The economic indicator data that start with a single ‘#’ comes from Compustat. The data comes to us as a table with multiple columns (one for each indicator) and it’s monthly. I believe they update it once a month regardless of the frequency of each item. Furthermore it’s not point-in-time, so revisions of old data overwrite as-reported data. It’s something … should be ok for most. It was probably a side project to just throw something ‘macro’ in there.
We have our own project for proper point-in-time (where appropriate) economic indicators that we download from ALFRED (these indicators start with ‘##’). You can see them in DATA->CHARTS->MACRO. Only a subset of the Macro chart indicators are available at the moment for backtesting in portfolios and screens. It’s on the to-do list to expose all of them for backtesting.
Marco,
It would be greatly appreciated to have the following PIT data from FRED available for backtesting:
UNEMP
CPI
SPPE10 (Shiller CAPE ratio)
Thanks.
I second Georg’s request. Those numbers would be great to have in PIT.