Fight the Fed?, from Steve Ellison
In decades past, lower interest rates were highly bullish for stocks. However, in running a regression of 4-month S&P 500 changes versus the change during the previous 4 months of the 3-month Treasury bill yield, I found that since 1996, the S&P 500 has been more likely to go up after interest rates rise. Following are the most recent data points.
. 4-month change in
. —————–
. 3-month
. 4 months S&P 500 T-Bill
. ending futures yield %
. 8/29/2003 -0.14
.12/31/2003 10% -0.05
. 4/30/2004 0% 0.04
. 8/31/2004 0% 0.62
.12/31/2004 10% 0.61
. 4/29/2005 -5% 0.66
. 8/31/2005 5% 0.59
.12/30/2005 2% 0.55
. 4/28/2006 4% 0.67
. 8/31/2006 -2% 0.26
.12/29/2006 8% -0.02
. 4/30/2007 3% -0.17
. 8/31/2007 -2% -0.73
.12/31/2007 -2% -0.85
. 4/30/2008 -6% -1.8
. 8/29/2008 -8% 0.35
.12/31/2008 -30% -1.57
. 4/30/2009 -3%