The alternative data industry is having a macro moment

The recent blackout of US economic data and the dismissal of the head of the BLS brought public attention to an existing problem – official economic statistics may not be as reliable as previously thought. Declining survey responses, which serve as the basis for official figures, as well as delays in data collection, have been identified as key issues that undermine the accuracy of official statistics.

Before these events, there was already growing concern about the accuracy of headline indicators, prompting investors and economists to turn to alternative datasets. The recent scrutiny of official economic data has brought more attention to this issue, triggering a surge in demand for alternative sources. Alternative macro data may soon become ubiquitous.

In this post, we discuss the evolution of alternative macro data sources, trends in industry adoption, and the potential for these datasets to drive greater progress in finance and economics.

THE ALT MACRO GENESIS

 

Perhaps it all began with Alberto Cavallo and a naughty Argentine government that had been accused of manipulating inflation statistics since 2007. Cavallo began MIT’s Billion Prices Project (BPP) after recognizing that aggregating online price data from the websites of major retailers could produce a reliable estimate of inflation in Argentina. Cavallo’s CPI estimate for Argentina averaged more than 20% per year between 2007 and 2011, while the official figure was 8%.

Shortly after, the project began web-scraping price data for additional regions, and in 2011 the commercial arm of the BPP, PriceStats, was established in partnership with State Street. PriceStats now collects price data from over 1,500 multi-line retailers per day and generates daily CPI figures across 25 countries.

US annual inflation rates (year-over-year)

PriceStats US CPI co-moves with official inflation figures

Source: State Street, PriceStats

The BPP demonstrated that alternative solutions can fill gaps in economic data across opaque markets. That was what I had concluded eight years ago when I began researching the applications of alternative datasets for macroeconomic analysis. Fast forward to today, and it seems that developed markets could also improve official figures by incorporating these alternative sources. Perhaps the increasing availability of alternative macro data presents new opportunities for enhancing other aspects of economic life.

A GLOBAL OPPORTUNITY TO REBUILD ECONOMIC MODELS AND HEADLINE INDICATORS

To construct official CPI figures, the BLS typically collects prices on ~80K goods and services each month, which are mostly conducted in-person over three 10-day periods. The monthly figures, which are released after the end of the reference month, are usually lagged by two weeks. Compared to the BLS methodology, web-scraping online prices allows for more timely data collection at a greater scale. Through web-scrapping, PriceStats aggregates 40 million prices to produce daily CPI measures with a 3-day lag.

PriceStats is one example of how alternative data can enhance CPI readings, but other headline indicators could also benefit from alternative sources. Additionally, several economic models could use an alt data adjustment. The consumption function, for example, is a measure of consumer spending relative to disposable income. It has traditionally relied on analogue datasets from the Bureau of Economic Analysis (BEA) that are primarily derived from government surveys and administrative data.

Alternatives to these sources include POS (point-of-sale) scanner data and credit/debit card transactions. These datasets not only allow for greater scale, are also timelier and can offer greater granularity. For instance, NielsenIQ, collects scanner-based sales information from POS systems across 900k retail stores in 85 countries, updated weekly. It provides data on pricing, volume, and promotional activity. Using NielsenIQ or similar datasets could improve the reliability and effectiveness of measuring consumer spending and inflation.

Many of these transactional data sources also offer demographic breakdowns by age, gender, region, and income levels. By incorporating these detailed demographic breakdowns into our analysis, we can enhance the accuracy of the consumption function and uncover new insights that we may not have previously considered.

A SHORT HISTORY OF ALTERNATIVE MACRO DATA ADOPTION

Before the pandemic, the use of alternative data for macro applications across the investment community was limited.  The economic upheaval caused by COVID-19 highlighted various shortcomings in official economic indicators. The significant delays in these data points became more evident as responding to rapid shifts in the economy became increasingly difficult for investors and policymakers. It was during this time that interest in alternative macro data started to gain momentum.

As the economic climate became more unpredictable over time, more hedge funds began to capitalize on increased market volatility by expanding their macro trading capabilities. Several alternative macro datasets that had been on the market for years became more interesting across the economic and financial community.  Investors had previously found these datasets difficult to trade on, as they were not tied to specific stocks and perhaps considered ‘too high-level.’ Beyond web-scraped CPI signals, other datasets such as NLP-derived central bank sentiment and labour market insights built from job postings became more popular among investors.

Interest in these datasets continued to grow amidst ongoing geopolitical uncertainty following the initial impact of COVID-19. While some anticipated that the temporary halt in US official economic data releases and disruptions at the BLS would lead to greater market volatility, many investors had already turned to alternative sources for insights on the country's macroeconomic performance. These events did, however, drive greater scrutiny over the accuracy of official figures and may prove to be the final catalyst that makes alternative economic data mainstream. The alternative data industry is currently having a macro moment.

For more information on this topic and alternative sources of macro data, please contact info@alternatusintelligence.com.

October 22nd, 2025