Data, models, tools

An extensive range of proprietary economic data, models, and tools underpins all the work we do. These inform our Global Outlook, as well as forming the basis of consultancy work as we design and develop bespoke solutions for clients

Live charts for many of Fathom’s proprietary indicators can be found in the Chartbook on Datastream from Refinitiv. Those marked * are only available to our clients through our website Chartbook, which can be found in the client zone.

Our global indicators

  • Macroeconomic

    Economic Resilience Index*

     

     

    The Economic Resilience Index measures an economy’s ability to withstand negative shocks. The resilience index includes public debt, the current account, market regulation, governance, and voice and accountability.

  • Macroeconomic

    Economic Sentiment Indicators

     

    Fathom’s ESIs measure underlying economic activity by distilling the information from numerous consumer and business surveys into a single composite indicator, updated monthly.

  • Macroeconomic

    Economic Vulnerability Index*

     

    The Economic Vulnerability Index measures an economy’s proneness to suffering negative shocks. Our vulnerability index includes measures of income, trade openness, export concentration, dependence on strategic imports and financial vulnerability.

  • Financial market

    Fathom Leading Indicator*

     

     

    The FLI can be interpreted as a measure of expected macro conditions drawing from a set of broad and widely followed economic variables. We think this forms a simple and plausible heuristic for how market observers form and update their expectations around the market cycle.

  • Macroeconomic

    Fathom Macroeconomic Policy Indicator

     

    This weights together both fiscal and monetary policy to give an overall indicator of the macroeconomic policy stance. A positive score implies that policy is loose, and a negative score that it is tight. The FMPI is calibrated so that a reading of plus one implies that the stance of macroeconomic policy is sufficiently loose to raise growth in demand by one percentage point relative to growth in supply.

  • Geopolitical

    Fathom Misery Index

     

     

    For the consumer, both increasing living costs and rising unemployment are painful — the so-called ‘misery index’ adds together the unemployment rate and inflation rate. A high reading on the misery index signals low consumer confidence, and hence subdued consumer spending and economic growth.

  • Geopolitical

    Fathom Political Index*

     

     

    The Fathom Political Index measures a country’s level of political freedom. The index includes measures of voice and accountability, rule of law, corruption and institution type. These were chosen to include a broad measure of political set-up, and association with the international ‘rules-based order’.

  • Financial market

    Fathom Risk-Off Gauge

     

     

    Fathom’s Risk-Off Gauge (FROG) provides a probabilistic assessment of market sentiment. It is estimated from the excess return of a global equity index over the return of the ten-year US government bond. It is based on statistical and econometric techniques aimed at identifying two distinct market regimes.

  • Financial market

    Fathom’s Long-term Expected Returns*

     

    Fathom’s Long-term Expected Returns (FLEx) model provides a clear and rigorous framework for estimating long-term portfolio returns. Broadly speaking, it considers long-term returns as the result of three components: the risk-free rate, a long-term risk premium and a valuation adjustment.

  • Macroeconomic

    Financial Vulnerability Indicator

     

    Fathom’s Financial Vulnerability Indicator (FVI) is a comprehensive assessment of sovereign, currency and banking risk for 176 countries of the world. It combines the latest machine-learning techniques, cutting-edge academic literature and large amounts of data in a timely and intuitive set of indicators.

  • Macroeconomic

    Probability of Exit and Default

     

    Our unconditional market-implied probabilities of sovereign default and euro exit indicators use CDS spreads and zero-coupon bond yields to gauge investors’ perceptions of default and exit risk in the euro area member states.

  • Macroeconomic

    Sovereign Fragility Index

     

     

    The SFI is a composite indicator of sovereign financial fragility based on fundamental macroeconomic drivers, independent of market judgement and fluctuations in the business cycle. Fundamental risk is driven by the level, as well as the composition of, government debt, private sector debt, domestic bank assets, and the net international investment position.

Our global models and tools

Global Economic and Strategic Allocation Models (GESAM)

Fathom’s GESAM, used to construct our Global Outlook, are among only a handful of commercially available macroeconomic models in the world. The models cover more than 80% of global GDP and incorporate data that stretch back 150 years. They are grounded in theory and estimated empirically. They are supported by a suite of financial tools and can be used to do scenario analysis. Combined, they offer our clients an unmatched understanding of the near-term prospects for the global economy and asset markets.

RiCArdo

Fathom’s RiCArdo database provides a detailed database of international trade flows in the high-tech sectors specified by President Xi’s Made in China 2025 (MIC 2025), since 2005. It covers more than 200 countries, which can be ranked by absolute trade flows in US dollars, by market share or by revealed comparative advantage (RCA). Using RiCArdo, we can assess which countries it would impact most if China succeeded in its MIC 2025 plan. But for now, we find that China has only made limited progress in upgrading its vast manufacturing base since 2015, with its high-tech export share still lagging well behind Japan, Germany and the US on this measure. That’s not to say that it hasn’t gained market share, though: it has, and at the expense of the US.

Our China indicators

  • China macroeconomic

    China Exposure Index

     

     

    The CEI measures the relative share price performance of US-listed firms with revenue exposure to China, providing a useful measure of US/Sino trade tensions. Lower values are consistent with higher trade tensions (and underperformance of US firms that do business in China).

  • China macroeconomic

    China Growth Strategy*

     

     

    Fathom’s China Growth Strategy (CGS) indicator combines four metrics which between them monitor China’s progress in external, internal and financial rebalancing. The component parts have been summed and z-scored to create the CGS. An upward shift in the measure indicates rebalancing, and a downward shift is indicative of doubling down on the old tried-and-tested growth strategies of the past.

  • China housing

    China House Price-to-Income Ratio

     

    A measure of affordability of residential housing in China, Fathom’s measure is based on the average size of a residential property relative to the average annual household income. In 2013 Beijing was the least affordable region, with a lofty house price-to-income ratio of 30 years.

  • China macroeconomic

    China Momentum Indicator

     

     

    This monthly indicator is a world-leading measure of China’s real growth rate. Having long been sceptical of China’s official GDP statistics, we have developed our own indicator to gain a better insight into that country’s economic activity. Our updated CMI 3.0 uses twelve indicators, and tracks a broader range of trade and housing data.

  • China macroeconomic

    China Non-Performing Loans*

     

    Despite signs of rising financial stress, China’s official non-performing loan ratio remains suspiciously low. For this reason, we publish our own estimate. This is presented as a range, with the lower value reflecting the steps China has taken to reduce the stock of NPLs in recent years, specifically the absorption of bad debt onto the PBoC’s balance sheet.

     

  • China housing

    China Time Taken to Finish Construction

     

    Our proprietary measure uses the stock of floor space under construction and that completed each year to show the time taken to complete the construction of residential property in China. It reflects both the mothballing of properties in the construction phase as well as a reluctance to declare them as ‘vacant’ even when they are complete.

  • China housing

    China Time Taken to Sell All Housing

     

    On a national basis, the amount of floor space completed each year is more or less equal to the amount sold in China. However, once the amount of floor space under construction is also taken into account, this rises to between three and six years depending on the province.

  • China housing

    China Time Taken to Sell Completed Housing

     

    This indicator shows that on a national basis, the sum of completed and vacant residential floor space roughly equals the amount sold per year. In other words, on average, in any given year, demand for housing has equalled supply. This has been made possible by extending construction times in China, as monitored by another of our proprietary indicators.

  • China macroeconomic

    China Urban Under-employment Indicator*

     

    China’s official urban jobless rate has barely budged over the last decade, despite huge fluctuations in the rate of economic growth over that period. Taking published estimates of labour productivity at face value, but using Fathom’s estimate of China’s underlying growth momentum in place of official GDP, we have produced our own estimate of spare capacity in China’s labour market.

Our China models and tools

Capital Flows Tracker

Our world-leading tool sheds light on China’s true investment patterns and strategic motivations and is particularly important as China faces increased scrutiny over its investment activity. The Capital Flows Tracker accurately monitors China and Hong Kong’s financial footprint since 2005 by bringing together and combining a range of diverse datasets. It disaggregates capital flows into M&A and greenfield investment, and is available bi-laterally and by sector. It includes the following details for each deal: country, company, sector, target address, deal status and deal value — including Fathom’s estimates where that information is not publicly available. It is updated through the year.

Centrality Tracker

The Centrality Tracker provides a comprehensive measure of the ties binding countries to the key economic powerhouses — China, the EU and the US. The tool covers more than 150 countries, which together account for more than 95% of global GDP. It includes detailed variables on trade, finance, commodities and development. The Tracker identifies underlying economic relationships since 2005, outperforming traditional macroeconomic models when assessing international spillovers from economic shocks such as COVID-19. It also casts new light on a variety of questions, such as: What is the size of, and sensitivity to, China’s economic and financial footprint in Africa? Is Latin America more closely aligned to the US, EU or China, and what has changed?

Fathom's Interaction with China and US Index

Fathom’s Interaction with China Index and Fathom’s Interaction with US Index provide detailed measures of China and the US’s engagement with every country in Africa, based on more than 100 variables each. They reveal that China’s interaction with Africa has increased significantly over the last 20 years, and in 2010 overtook US levels of engagement. China still remains ahead, despite increased energy from the US. But greater engagement with China tends to be worse for a country’s real GDP growth and GDP per capita. In other words, we find that engagement with China over the US is linked to worse outcomes in African countries. But being engaged with neither is worse still.

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