Shocking economic data

March is almost over, which means that economic data released in early-April (labor report + ISM) will probably be extremely negative. This is to be expected, and one wonders how much of the bad news is baked into markets already. Unemployment will definitely jump, seeing how awful Initial Claims was this week.

Terrible Initial Claims data + other weak economic data caused the U.S. Citigroup Economic Surprise Index to crater over the past 3 days. This is the largest 3 day drop ever:

Since the 3 day drop is so extreme, the only way we can make any historical comparisons is if we look at less extreme cases. When the Economic Surprise Index fell at least -35 over 3 days, the S&P typically rallied over the next month. The sole bearish case came after the S&P made a massive bear market rally in January 2009:

The Citigroup Economic Surprise Index is more useful for predicting gold, the U.S. Dollar Index, and bonds.

Gold usually rallied over the next 6-12 months, which isn't surprising given that all the historical cases occurred while gold was in a bull market:

As for the U.S. Dollar Index, it was slightly bearish over the next 3 months:

And for TLT, this usually led to short term losses over the next few weeks followed by more gains over the next 3 months: