Employment Report Stats

Ahead of tomorrow's employment report we wanted to highlight some interesting trends ahead of the release.  The first chart below highlights the average magnitude of the surprise in non farm payrolls (NFP) relative to expectations for each month of the year.  For this chart, we took the absolute average of the difference between the actual and estimated change in NFP for each month since 1998.  As shown in the chart, reports in September (for month of August) are actually where economists have been closest to estimating the actual change in NFP.  On average, economists either under or overestimate the actual number by 46K.  The next closest month is November (for month of October) where the average margin of error is 58K.  October has historically been the worst month for economists in predicting the change in NFP for the prior month.  The consensus forecast for reports released in the month of October are typically 80K above or below the actual reported number.

In terms of the average performance of the S&P 500, the index has risen an average of 0.11% on the day of the August employment report (released in September).  This puts September right in the middle in terms of performance on NFP fridays.

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