MacroTrade
Sensitivity MatrixDelivery · 0–1Y
Leave-One-Out Attribution
No variable moved from baseline
Two-Variable Surface
X
▾
%Y▾
%| Core CPI YoY | 0.00 | 1.00 | 2.00 | 3.00 | 4.00 | 5.00 | 6.00 |
|---|---|---|---|---|---|---|---|
| 0.00 | 19.4 | 15.3 | 11.6 | 8.8 | 6.4 | 3.9 | 1.0 |
| 2.00 | 15.6 | 11.8 | 8.1 | 4.7 | 2.0 | -1.6 | -4.8 |
| 4.00 | 12.7 | 8.9 | 5.3 | 1.7 | -2.1 | -4.8 | -7.9 |
| 6.00 | 9.1 | 5.1 | 1.7 | -3.8 | -6.1 | -8.4 | -10.7 |
| 8.00 | 5.2 | -2.3 | -5.4 | -7.7 | -10.0 | -12.1 | -14.2 |
| 10.00 | -3.7 | -7.0 | -9.3 | -11.5 | -13.5 | -15.6 | -17.6 |
| 12.00 | -8.5 | -10.7 | -12.9 | -15.0 | -16.9 | -18.9 | -20.8 |
Fed Funds Target across Core CPI YoY
−20.8%
+20.8%
Horizon Ladder
HorizonReturn (%)
3M0.00%
6M0.00%
1Y0.00%
2Y0.00%
3Y0.00%
4Y0.00%
Inflation Assumption
%
Real Return (Inflation-Adjusted)
| Horizon | Nominal (%) | Cumulative CPI Assumed (%) | Real (%) | Inflation Drag (pp) |
|---|---|---|---|---|
| 3M | 0.00% | +0.69% | -0.69% | -0.69% |
| 6M | 0.00% | +1.39% | -1.37% | -1.37% |
| 1Y | 0.00% | +2.80% | -2.72% | -2.72% |
| 2Y | 0.00% | +5.68% | -5.37% | -5.37% |
| 3Y | 0.00% | +8.64% | -7.95% | -7.95% |
| 4Y | 0.00% | +11.68% | -10.46% | -10.46% |