| Loading… |
Data. Small-cap and large-cap exposure are proxied by two liquid ETFs instead of the underlying indices: IWM (iShares Russell 2000 ETF) for small-caps and SPY (SPDR S&P 500 ETF Trust) for large-caps, with MDY (SPDR S&P MidCap 400 ETF Trust) added as a mid-cap rung in the return table below. Alpha Vantage's TIME_SERIES_DAILY_ADJUSTED series (dividends and splits applied) gives a total-return comparison for all three. The ratio series is indexed to 100 at IWM's May 2000 inception, which sets how far back the page can go (SPY and MDY trade back to the 1990s).
Fed regimes. Each calendar month is classified by the trailing 3-month change in the effective federal funds rate (Alpha Vantage FEDERAL_FUNDS_RATE). A rise of more than 0.10 percentage points is "Hiking," a fall of more than 0.10pp is "Cutting," and anything in between is "Holding." The idea being tested is that small-caps, which on average carry more floating-rate debt and less pricing power than large-caps, should be more sensitive to the direction and speed of rate changes. The sample is modest (a few dozen months per regime, covering only one rate cycle's worth of history since 2000), so treat the regime averages as suggestive, not conclusive.
Correlation. The scatter shows Pearson (OLS) and Spearman rank correlation, as on Factor Analysis, so one or two extreme months can't carry the result. A low r² is expected. One macro variable rarely explains much of a monthly return series, and the regression is there to show how weak or strong that relationship is.
Refreshes once daily after the US market close, since index levels move every trading day. The Fed funds rate and Treasury yield series are pulled in full each run.