Macro Sensitivity
Measured, not narrated. No one here is asked how rates affect this stock — the engine regresses the two return series and reports what it finds, and every relationship on this page carries a t-statistic and an observation count so a weak answer reads as weak.
Synthetic demo series — not real market data|t| > 1.96 — significant at the conventional 5% cut-off
Sensitivity matrix — demo instrument · sorted by |correlation|
| Factor | Correlation | OLS β | R² | t-stat | n | Verdict |
|---|---|---|---|---|---|---|
| 10-year Treasury yield | -0.95 | -0.786 | 0.91 | -35.25 | 126 | significant |
| WTI crude oil | 0.18 | 0.348 | 0.03 | 2.02 | 126 | significant |
| CPI, all urban | 0.13 | 7.453 | 0.02 | 1.44 | 126 | not significant |
| Fed funds rate | -0.05 | -0.037 | 0.00 | -0.61 | 126 | not significant |
β is the OLS slope of monthly instrument returns on monthly factor changes. Click a row to inspect that factor below.
Skipped factors
| Factor | Engine’s reason |
|---|---|
| USD/INR | only 19 overlapping dates, minimum is 25 |
Scatter — 10-year Treasury yield change (x) vs instrument return (y)
α = 0.001 · β = -0.786 · r² = 0.91 · t = -35.25 · n = 126 — significant at 5%
Rolling β — 10-year Treasury yield, 36-month window
Each point is the OLS β over the trailing 36 months. A stable line is a relationship; a wandering one is a coincidence with a good quarter.
Instrument risk — demo series, monthly
| Annualised volatility (12 periods/yr) | 16.0% |
| Maximum drawdown | -44.9% |
| Drawdown peak → trough | 2018-07-01 → 2021-06-01 |
| Observations | 127 |
Correlation over a chosen window is not causation — a factor can track a stock for five years and mean nothing. The t-statistic is the honesty term: it says how easily this slope could have come from noise, and it is printed next to every beta on this page for exactly that reason.