{ "metadata": { "generated_at": "2026-03-21T09:30:04.904734", "total_meetings": 257, "date_range": { "start": "1994-02-04", "end": "2025-03-19" }, "data_sources": { "spx": "Yahoo Finance ^GSPC", "yields": "FRED DGS2, DGS10", "fed_rate": "FRED DFEDTAR, DFEDTARU, DFEDTARL", "vix": "FRED VIXCLS", "dxy": "FRED DTWEXBGS", "breakevens": "FRED T5YIE", "fomc_dates": "Curated list from Fed calendar" }, "notes": [ "surprise_proxy uses 2Y yield change as proxy for FOMC surprise (not exact futures-derived)", "cycle_phase assigned based on prior/forward rate changes within 4-meeting window", "All SPX returns are percentage returns (not log returns)", "Rate change in basis points; positive = hike" ] }, "meetings": [ { "date": "1994-02-04", "decision": "HIKE_25", "rate_before": 3.0, "rate_after": 3.25, "rate_change_bp": 25, "cycle_phase": "FIRST_HIKE", "surprise_proxy": 0.14, "surprise_size": 0.14, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 4.42, "10y_yield": 5.94, "2y10y_spread": 1.52, "dxy": 96.75, "vix": 15.25, "breakeven_5y": null, "spx_close": 469.81, "spx_1d_return": 0.4151, "spx_1w_return": 0.0788, "spx_1m_return": -0.6173, "spx_3m_return": -3.8505, "spx_6m_return": -1.8731, "spx_12m_return": -0.8408, "2y_1w_change": 0.02, "2y_1m_change": 0.45, "dxy_1w_change": -0.1, "vix_1d_change": 4.5, "breakeven_1w_change": null }, { "date": "1994-03-22", "decision": "HIKE_25", "rate_before": 3.25, "rate_after": 3.5, "rate_change_bp": 25, "cycle_phase": "HIKING", "surprise_proxy": -0.06, "surprise_size": 0.06, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 5.03, "10y_yield": 6.44, "2y10y_spread": 1.41, "dxy": 94.32, "vix": 13.39, "breakeven_5y": null, "spx_close": 468.8, "spx_1d_return": -0.0555, "spx_1w_return": -3.4812, "spx_1m_return": -5.7253, "spx_3m_return": -2.2078, "spx_6m_return": 0.0, "spx_12m_return": 3.0631, "2y_1w_change": 0.16, "2y_1m_change": 0.64, "dxy_1w_change": -0.59, "vix_1d_change": -0.95, "breakeven_1w_change": null }, { "date": "1994-04-18", "decision": "HIKE_25", "rate_before": 3.5, "rate_after": 3.75, "rate_change_bp": 25, "cycle_phase": "HIKING", "surprise_proxy": 0.19, "surprise_size": 0.19, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 5.7, "10y_yield": 7.14, "2y10y_spread": 1.44, "dxy": 94.64, "vix": 17.22, "breakeven_5y": null, "spx_close": 442.46, "spx_1d_return": 0.0181, "spx_1w_return": 2.3166, "spx_1m_return": 1.5617, "spx_3m_return": 2.4748, "spx_6m_return": 5.2728, "spx_12m_return": 14.2634, "2y_1w_change": -0.09, "2y_1m_change": 0.18, "dxy_1w_change": -1.04, "vix_1d_change": 1.24, "breakeven_1w_change": null }, { "date": "1994-05-17", "decision": "HIKE_50", "rate_before": 3.75, "rate_after": 4.25, "rate_change_bp": 50, "cycle_phase": "HIKING", "surprise_proxy": -0.15, "surprise_size": 0.15, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 5.88, "10y_yield": 7.03, "2y10y_spread": 1.15, "dxy": 93.31, "vix": 14.08, "breakeven_5y": null, "spx_close": 449.37, "spx_1d_return": 0.9613, "spx_1w_return": 1.2106, "spx_1m_return": 2.5013, "spx_3m_return": 2.7973, "spx_6m_return": 3.5672, "spx_12m_return": 15.8377, "2y_1w_change": 0.06, "2y_1m_change": 0.0, "dxy_1w_change": -0.56, "vix_1d_change": -0.59, "breakeven_1w_change": null }, { "date": "1994-07-06", "decision": "HOLD", "rate_before": 4.25, "rate_after": 4.25, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_HIKE", "surprise_proxy": -0.03, "surprise_size": 0.03, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 6.11, "10y_yield": 7.32, "2y10y_spread": 1.21, "dxy": 89.34, "vix": 14.7, "breakeven_5y": null, "spx_close": 446.13, "spx_1d_return": 0.5043, "spx_1w_return": 0.5828, "spx_1m_return": 2.7503, "spx_3m_return": 3.499, "spx_6m_return": 3.3712, "spx_12m_return": 23.2175, "2y_1w_change": 0.11, "2y_1m_change": -0.13, "dxy_1w_change": -1.7, "vix_1d_change": -0.22, "breakeven_1w_change": null }, { "date": "1994-08-16", "decision": "HIKE_50", "rate_before": 4.25, "rate_after": 4.75, "rate_change_bp": 50, "cycle_phase": "HIKING", "surprise_proxy": -0.05, "surprise_size": 0.05, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 6.21, "10y_yield": 7.19, "2y10y_spread": 0.98, "dxy": 89.11, "vix": 11.39, "breakeven_5y": null, "spx_close": 465.01, "spx_1d_return": 0.0344, "spx_1w_return": -0.1075, "spx_1m_return": 0.815, "spx_3m_return": -0.572, "spx_6m_return": 3.4795, "spx_12m_return": 20.1587, "2y_1w_change": 0.05, "2y_1m_change": 0.12, "dxy_1w_change": -1.36, "vix_1d_change": -0.67, "breakeven_1w_change": null }, { "date": "1994-11-15", "decision": "HIKE_75", "rate_before": 4.75, "rate_after": 5.5, "rate_change_bp": 75, "cycle_phase": "HIKING", "surprise_proxy": 0.04, "surprise_size": 0.04, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 7.1, "10y_yield": 7.92, "2y10y_spread": 0.82, "dxy": 88.27, "vix": 16.66, "breakeven_5y": null, "spx_close": 465.03, "spx_1d_return": 0.1269, "spx_1w_return": -3.2127, "spx_1m_return": -2.1633, "spx_3m_return": 3.5331, "spx_6m_return": 12.7583, "spx_12m_return": 26.8133, "2y_1w_change": 0.19, "2y_1m_change": 0.49, "dxy_1w_change": 0.3, "vix_1d_change": -0.02, "breakeven_1w_change": null }, { "date": "1994-12-19", "decision": "HOLD", "rate_before": 5.5, "rate_after": 5.5, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_HIKE", "surprise_proxy": 0.0, "surprise_size": 0.0, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 7.59, "10y_yield": 7.81, "2y10y_spread": 0.22, "dxy": 89.7, "vix": 13.02, "breakeven_5y": null, "spx_close": 457.91, "spx_1d_return": -0.1769, "spx_1w_return": 0.4193, "spx_1m_return": 2.6512, "spx_3m_return": 8.1894, "spx_6m_return": 17.0645, "spx_12m_return": 35.4371, "2y_1w_change": 0.15, "2y_1m_change": -0.15, "dxy_1w_change": 0.26, "vix_1d_change": 0.23, "breakeven_1w_change": null }, { "date": "1995-02-01", "decision": "HIKE_50", "rate_before": 5.5, "rate_after": 6.0, "rate_change_bp": 50, "cycle_phase": "LAST_HIKE", "surprise_proxy": 0.07, "surprise_size": 0.07, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 7.33, "10y_yield": 7.66, "2y10y_spread": 0.33, "dxy": 87.78, "vix": 11.73, "breakeven_5y": null, "spx_close": 470.4, "spx_1d_return": 0.5081, "spx_1w_return": 2.2938, "spx_1m_return": 3.1314, "spx_3m_return": 9.324, "spx_6m_return": 20.1573, "spx_12m_return": 30.0659, "2y_1w_change": -0.15, "2y_1m_change": -0.45, "dxy_1w_change": 0.43, "vix_1d_change": -0.23, "breakeven_1w_change": null }, { "date": "1995-03-28", "decision": "HOLD", "rate_before": 6.0, "rate_after": 6.0, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_HIKE", "surprise_proxy": 0.11, "surprise_size": 0.11, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 6.73, "10y_yield": 7.16, "2y10y_spread": 0.43, "dxy": 82.73, "vix": 11.33, "breakeven_5y": null, "spx_close": 503.9, "spx_1d_return": -0.1548, "spx_1w_return": 0.2659, "spx_1m_return": 1.7384, "spx_3m_return": 9.0911, "spx_6m_return": 16.4457, "spx_12m_return": 27.182, "2y_1w_change": -0.02, "2y_1m_change": -0.23, "dxy_1w_change": -0.69, "vix_1d_change": -0.5, "breakeven_1w_change": null }, { "date": "1995-05-23", "decision": "HOLD", "rate_before": 6.0, "rate_after": 6.0, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_HIKE", "surprise_proxy": -0.04, "surprise_size": 0.04, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 6.15, "10y_yield": 6.57, "2y10y_spread": 0.42, "dxy": 84.43, "vix": 11.55, "breakeven_5y": null, "spx_close": 528.59, "spx_1d_return": 0.0038, "spx_1w_return": -0.9478, "spx_1m_return": 2.9115, "spx_3m_return": 5.7928, "spx_6m_return": 12.3669, "spx_12m_return": 22.106, "2y_1w_change": -0.26, "2y_1m_change": -0.47, "dxy_1w_change": -2.95, "vix_1d_change": -0.13, "breakeven_1w_change": null }, { "date": "1995-07-06", "decision": "CUT_25", "rate_before": 6.0, "rate_after": 5.75, "rate_change_bp": -25, "cycle_phase": "FIRST_CUT", "surprise_proxy": -0.22, "surprise_size": 0.22, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 5.56, "10y_yield": 6.05, "2y10y_spread": 0.49, "dxy": 81.33, "vix": 11.52, "breakeven_5y": null, "spx_close": 553.99, "spx_1d_return": 0.4296, "spx_1w_return": 1.2654, "spx_1m_return": 0.8935, "spx_3m_return": 5.1174, "spx_6m_return": 11.1807, "spx_12m_return": 20.7332, "2y_1w_change": 0.05, "2y_1m_change": 0.35, "dxy_1w_change": 0.54, "vix_1d_change": -0.58, "breakeven_1w_change": null }, { "date": "1995-08-22", "decision": "HOLD", "rate_before": 5.75, "rate_after": 5.75, "rate_change_bp": 0, "cycle_phase": "HOLD", "surprise_proxy": 0.02, "surprise_size": 0.02, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 6.1, "10y_yield": 6.57, "2y10y_spread": 0.47, "dxy": 86.24, "vix": 12.6, "breakeven_5y": null, "spx_close": 559.52, "spx_1d_return": -0.4254, "spx_1w_return": 0.0858, "spx_1m_return": 4.8702, "spx_3m_return": 7.2473, "spx_6m_return": 17.1683, "spx_12m_return": 18.4211, "2y_1w_change": -0.17, "2y_1m_change": -0.37, "dxy_1w_change": -0.19, "vix_1d_change": -0.82, "breakeven_1w_change": null }, { "date": "1995-09-26", "decision": "HOLD", "rate_before": 5.75, "rate_after": 5.75, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": -0.01, "surprise_size": 0.01, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 5.88, "10y_yield": 6.28, "2y10y_spread": 0.4, "dxy": 84.7, "vix": 12.9, "breakeven_5y": null, "spx_close": 581.41, "spx_1d_return": -0.0636, "spx_1w_return": 0.16, "spx_1m_return": 0.1823, "spx_3m_return": 5.2528, "spx_6m_return": 11.7937, "spx_12m_return": 15.4349, "2y_1w_change": -0.08, "2y_1m_change": -0.24, "dxy_1w_change": -0.13, "vix_1d_change": -0.32, "breakeven_1w_change": null }, { "date": "1995-11-15", "decision": "HOLD", "rate_before": 5.75, "rate_after": 5.75, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": 0.06, "surprise_size": 0.06, "surprise_direction": "HAWKISH", "is_emergency": false, "2y_yield": 5.53, "10y_yield": 6.0, "2y10y_spread": 0.47, "dxy": 83.63, "vix": 12.95, "breakeven_5y": null, "spx_close": 593.96, "spx_1d_return": 0.5691, "spx_1w_return": 0.7475, "spx_1m_return": 3.8656, "spx_3m_return": 11.3627, "spx_6m_return": 8.6672, "spx_12m_return": 18.4878, "2y_1w_change": -0.02, "2y_1m_change": -0.15, "dxy_1w_change": -0.09, "vix_1d_change": -0.43, "breakeven_1w_change": null }, { "date": "1995-12-19", "decision": "CUT_25", "rate_before": 5.75, "rate_after": 5.5, "rate_change_bp": -25, "cycle_phase": "CUTTING", "surprise_proxy": -0.07, "surprise_size": 0.07, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 5.36, "10y_yield": 5.81, "2y10y_spread": 0.45, "dxy": 85.05, "vix": 13.16, "breakeven_5y": null, "spx_close": 611.93, "spx_1d_return": -0.9789, "spx_1w_return": 0.3873, "spx_1m_return": -0.9086, "spx_3m_return": 4.8208, "spx_6m_return": 9.3328, "spx_12m_return": 21.6446, "2y_1w_change": -0.09, "2y_1m_change": -0.31, "dxy_1w_change": -0.61, "vix_1d_change": -1.39, "breakeven_1w_change": null }, { "date": "1996-01-31", "decision": "CUT_25", "rate_before": 5.5, "rate_after": 5.25, "rate_change_bp": -25, "cycle_phase": "LAST_CUT", "surprise_proxy": -0.09, "surprise_size": 0.09, "surprise_direction": "DOVISH", "is_emergency": false, "2y_yield": 4.93, "10y_yield": 5.6, "2y10y_spread": 0.67, "dxy": 87.38, "vix": 12.53, "breakeven_5y": null, "spx_close": 636.02, "spx_1d_return": 0.3836, "spx_1w_return": 2.187, "spx_1m_return": 0.6934, "spx_3m_return": 2.8521, "spx_6m_return": -0.7626, "spx_12m_return": 22.0355, "2y_1w_change": -0.01, "2y_1m_change": 0.51, "dxy_1w_change": -0.73, "vix_1d_change": 0.11, "breakeven_1w_change": null }, { "date": "1996-03-26", "decision": "HOLD", "rate_before": 5.25, "rate_after": 5.25, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": 0.03, "surprise_size": 0.03, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 5.72, "10y_yield": 6.25, "2y10y_spread": 0.53, "dxy": 86.55, "vix": 17.8, "breakeven_5y": null, "spx_close": 652.97, "spx_1d_return": -0.6218, "spx_1w_return": 0.3507, "spx_1m_return": -0.4288, "spx_3m_return": 2.1241, "spx_6m_return": 4.3647, "spx_12m_return": 20.9183, "2y_1w_change": 0.02, "2y_1m_change": 0.23, "dxy_1w_change": 0.13, "vix_1d_change": -0.04, "breakeven_1w_change": null }, { "date": "1996-05-21", "decision": "HOLD", "rate_before": 5.25, "rate_after": 5.25, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": 0.01, "surprise_size": 0.01, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 6.03, "10y_yield": 6.65, "2y10y_spread": 0.62, "dxy": 88.7, "vix": 16.0, "breakeven_5y": null, "spx_close": 672.76, "spx_1d_return": 0.8413, "spx_1w_return": -0.0788, "spx_1m_return": -1.6053, "spx_3m_return": -1.1222, "spx_6m_return": 8.6762, "spx_12m_return": 21.9246, "2y_1w_change": 0.02, "2y_1m_change": 0.28, "dxy_1w_change": 0.3, "vix_1d_change": 0.2, "breakeven_1w_change": null }, { "date": "1996-07-03", "decision": "HOLD", "rate_before": 5.25, "rate_after": 5.25, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": -0.02, "surprise_size": 0.02, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 6.2, "10y_yield": 6.78, "2y10y_spread": 0.58, "dxy": 87.72, "vix": 14.21, "breakeven_5y": null, "spx_close": 672.4, "spx_1d_return": 0.0, "spx_1w_return": -2.4301, "spx_1m_return": -3.3284, "spx_3m_return": 2.2204, "spx_6m_return": 12.4063, "spx_12m_return": 33.6556, "2y_1w_change": 0.14, "2y_1m_change": -0.12, "dxy_1w_change": 0.33, "vix_1d_change": 0.02, "breakeven_1w_change": null }, { "date": "1996-08-20", "decision": "HOLD", "rate_before": 5.25, "rate_after": 5.25, "rate_change_bp": 0, "cycle_phase": "PAUSING_AFTER_CUT", "surprise_proxy": 0.0, "surprise_size": 0.0, "surprise_direction": "NEUTRAL", "is_emergency": false, "2y_yield": 5.97, "10y_yield": 6.59, "2y10y_spread": 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"mean": 4.9656, "median": 5.1174, "std": 10.674, "win_rate": 0.7143 }, "spx_6m_return": { "n": 7, "mean": 9.571, "median": 11.1807, "std": 14.6225, "win_rate": 0.7143 } }, "flat_plus_hold": { "n": 74, "spx_1m_return": { "n": 74, "mean": 0.7129, "median": 1.6473, "std": 4.0602, "win_rate": 0.6216 }, "spx_3m_return": { "n": 74, "mean": 2.7402, "median": 3.4913, "std": 7.2902, "win_rate": 0.7162 }, "spx_6m_return": { "n": 74, "mean": 5.6045, "median": 6.483, "std": 9.563, "win_rate": 0.7162 } }, "all_inverted": { "n": 33, "spx_1m_return": { "n": 33, "mean": 0.608, "median": 0.3069, "std": 3.3817, "win_rate": 0.5455 }, "spx_3m_return": { "n": 33, "mean": 1.3946, "median": 1.1813, "std": 6.6064, "win_rate": 0.6061 }, "spx_6m_return": { "n": 33, "mean": 3.9814, "median": 4.8713, "std": 8.7905, "win_rate": 0.697 } }, "all_steep": { "n": 116, "spx_1m_return": { "n": 116, "mean": 0.3446, "median": 1.1247, "std": 4.7126, "win_rate": 0.6724 }, "spx_3m_return": { "n": 116, "mean": 1.279, "median": 3.1951, "std": 7.6526, "win_rate": 0.6552 }, "spx_6m_return": { "n": 116, "mean": 2.5688, "median": 4.7139, "std": 11.3552, "win_rate": 0.681 } } }, "test7_vix": { "high_vix_over25": { "n": 56, "spx_1d_return": { "n": 56, "mean": -0.8137, "median": -0.5595, "std": 2.7496, "win_rate": 0.375 }, "spx_1w_return": { "n": 56, "mean": -0.7459, "median": -0.7346, "std": 3.957, "win_rate": 0.4464 }, "spx_1m_return": { "n": 56, "mean": 0.3525, "median": 1.7174, "std": 6.4217, "win_rate": 0.6786 }, "spx_3m_return": { "n": 56, "mean": 3.2666, "median": 5.9539, "std": 9.6565, "win_rate": 0.7143 } }, "mid_vix_15to25": { "n": 115, "spx_1d_return": { "n": 115, "mean": 0.1091, "median": 0.2996, "std": 1.1985, "win_rate": 0.5913 }, "spx_1w_return": { "n": 115, "mean": 0.0889, "median": 0.3672, "std": 2.1337, "win_rate": 0.5739 }, "spx_1m_return": { "n": 115, "mean": 0.6125, "median": 1.2614, "std": 3.6752, "win_rate": 0.5913 }, "spx_3m_return": { "n": 115, "mean": 1.5058, "median": 2.9785, "std": 7.2703, "win_rate": 0.6522 } }, "low_vix_under15": { "n": 86, "spx_1d_return": { "n": 86, "mean": 0.0659, "median": 0.0267, "std": 0.6413, "win_rate": 0.5465 }, "spx_1w_return": { "n": 86, "mean": -0.041, "median": 0.1452, "std": 1.3678, "win_rate": 0.5698 }, "spx_1m_return": { "n": 86, "mean": 0.4505, "median": 0.8317, "std": 2.8343, "win_rate": 0.6628 }, "spx_3m_return": { "n": 86, "mean": 2.2099, "median": 3.1971, "std": 5.1375, "win_rate": 0.7093 } }, "vix_crush": { "n": 27, "spx_1d_return": { "n": 27, "mean": -1.0089, "median": -0.2851, "std": 2.7686, "win_rate": 0.3704 }, "spx_1w_return": { "n": 27, "mean": -1.2046, "median": -0.2822, "std": 3.8004, "win_rate": 0.4074 }, "spx_1m_return": { "n": 27, "mean": -0.3827, "median": 0.5396, "std": 4.3235, "win_rate": 0.5926 }, "spx_3m_return": { "n": 27, "mean": -0.4254, "median": 2.2267, "std": 10.2175, "win_rate": 0.5556 } }, "vix_spike": { "n": 13, "spx_1d_return": { "n": 13, "mean": -0.1867, "median": 0.4151, "std": 2.8304, "win_rate": 0.5385 }, "spx_1w_return": { "n": 13, "mean": -0.5413, "median": 0.0788, "std": 3.2685, "win_rate": 0.5385 }, "spx_1m_return": { "n": 13, "mean": -0.9835, "median": 1.11, "std": 6.3222, "win_rate": 0.5385 }, "spx_3m_return": { "n": 13, "mean": 0.0818, "median": 1.3631, "std": 6.7684, "win_rate": 0.5385 } }, "high_vix_plus_cut": { "n": 16, "spx_1d_return": { "n": 16, "mean": -0.6447, "median": -0.427, "std": 2.4549, "win_rate": 0.4375 }, "spx_1w_return": { "n": 16, "mean": -0.6775, "median": 0.5287, "std": 3.7743, "win_rate": 0.5625 }, "spx_1m_return": { "n": 16, "mean": 1.1979, "median": 1.8703, "std": 4.6215, "win_rate": 0.75 }, "spx_3m_return": { "n": 16, "mean": 1.6749, "median": 2.7076, "std": 10.019, "win_rate": 0.6875 } }, "high_vix_plus_hold": { "n": 40, "spx_1d_return": { "n": 40, "mean": -0.8813, "median": -0.6898, "std": 2.8562, "win_rate": 0.35 }, "spx_1w_return": { "n": 40, "mean": -0.7732, "median": -0.7762, "std": 4.0274, "win_rate": 0.4 }, "spx_1m_return": { "n": 40, "mean": 0.0144, "median": 1.3317, "std": 6.985, "win_rate": 0.65 }, "spx_3m_return": { "n": 40, "mean": 3.9033, "median": 6.2789, "std": 9.4326, "win_rate": 0.725 } } }, "test8_dxy": { "dxy_up_fomc_week": { "n": 85, "spx_1m_return": { "n": 85, "mean": 0.533, "median": 1.1355, "std": 3.8295, "win_rate": 0.6588 }, "spx_3m_return": { "n": 85, "mean": 1.6673, "median": 3.7647, "std": 7.7146, "win_rate": 0.7176 } }, "dxy_down_fomc_week": { "n": 62, "spx_1m_return": { "n": 62, "mean": 0.6048, "median": 1.5949, "std": 5.1018, "win_rate": 0.7258 }, "spx_3m_return": { "n": 62, "mean": 2.6874, "median": 2.8994, "std": 7.3073, "win_rate": 0.7258 } }, "dxy_flat_fomc_week": { "n": 110, "spx_1m_return": { "n": 110, "mean": 0.4192, "median": 0.4233, "std": 3.925, "win_rate": 0.5636 }, "spx_3m_return": { "n": 110, "mean": 2.1619, "median": 3.3834, "std": 6.9289, "win_rate": 0.6364 } }, "dxy_ic_with_spx": { "spx_1m_return": { "ic_spearman": -0.0498, "p": 0.4268, "n": 257 }, "spx_3m_return": { "ic_spearman": -0.0265, "p": 0.6727, "n": 257 } } }, "test9_breakeven": { "breakeven_down": { "n": 40, "spx_1m_return": { "n": 40, "mean": 0.2135, "median": 1.4448, "std": 4.8798, "win_rate": 0.65 }, "spx_3m_return": { "n": 40, "mean": 3.214, "median": 3.5472, "std": 7.0727, "win_rate": 0.775 } }, "breakeven_up": { "n": 53, "spx_1m_return": { "n": 53, "mean": 0.7579, "median": 1.9675, "std": 5.3476, "win_rate": 0.6981 }, "spx_3m_return": { "n": 53, "mean": 2.2151, "median": 4.5957, "std": 8.292, "win_rate": 0.6981 } }, "breakeven_flat": { "n": 88, "spx_1m_return": { "n": 88, "mean": 0.4788, "median": 0.8441, "std": 3.1769, "win_rate": 0.6591 }, "spx_3m_return": { "n": 88, "mean": 1.9019, "median": 2.6439, "std": 6.1687, "win_rate": 0.6818 } }, "breakeven_down_plus_hike": { "n": 2, "spx_1m_return": { "n": 2, "mean": -1.0791, "median": -1.0791, "std": 1.8407, "win_rate": 0.5 }, "spx_3m_return": { "n": 2, "mean": 4.5979, "median": 4.5979, "std": 0.736, "win_rate": 1.0 } }, "breakeven_down_plus_cut": { "n": 3, "spx_1m_return": { "n": 3, "mean": -1.5667, "median": 0.8755, "std": 4.69, "win_rate": 0.6667 }, "spx_3m_return": { "n": 3, "mean": -0.2148, "median": 2.201, "std": 3.9885, "win_rate": 0.6667 } } }, "test10_combined_model": { "n": 257, "r_squared": 0.0309, "adj_r_squared": 0.0077, "f_pvalue": 0.2447, "coefficients": { "rate_change_bp": { "coef": 1.3174, "pvalue": 0.0112, "tstat": 2.5564 }, "surprise_proxy": { "coef": -0.4214, "pvalue": 0.3634, "tstat": -0.9106 }, "2y_yield": { "coef": -0.5777, "pvalue": 0.3485, "tstat": -0.9393 }, "vix": { "coef": 0.6886, "pvalue": 0.1783, "tstat": 1.35 }, "dxy_1w_change": { "coef": -0.1899, "pvalue": 0.6823, "tstat": -0.4098 }, "2y10y_spread": { "coef": -0.4863, "pvalue": 0.4311, "tstat": -0.7887 } }, "note": "Standardized coefficients. Larger |coef| = stronger predictor." } }, "current_regime": { "most_recent_meeting": "2025-03-19", "current_decision": "HOLD", "current_cycle_phase": "HOLD", "current_rate": 4.375, "current_2y_yield": 3.99, "current_10y_yield": 4.25, "current_spread": 0.26, "current_vix": 19.9, "current_vix_regime": "mid", "current_surprise_direction": "DOVISH", "similar_phase_forward_returns": { "spx_1m_return": { "n": 139, "mean": 0.9776, "median": 1.5729, "std": 3.6691, "win_rate": 0.6691 }, "spx_3m_return": { "n": 139, "mean": 2.8958, "median": 3.7685, "std": 6.3113, "win_rate": 0.7338 }, "spx_6m_return": { "n": 139, "mean": 5.8328, "median": 6.2459, "std": 8.2814, "win_rate": 0.7626 }, "spx_12m_return": { "n": 139, "mean": 11.9612, "median": 13.055, "std": 11.9756, "win_rate": 0.8345 } }, "similar_rate_level_forward_returns": { "spx_3m_return": { "n": 59, "mean": 2.1283, "median": 2.385, "std": 6.738, "win_rate": 0.6441 }, "spx_6m_return": { "n": 59, "mean": 4.7577, "median": 4.1482, "std": 8.8047, "win_rate": 0.7119 } }, "n_similar_phase": 139, "n_similar_rate": 59 }, "practical_summary": "Current FOMC regime: HOLD at 4.375% \u2014 cycle phase: HOLD\nMarket surprise: DOVISH (2Y yield moved -0.05% on meeting day)\nAfter similar HOLD phases (n=140): SPX +2.9% avg over 3 months, 74% win rate\n6-month: SPX +5.9% avg, 76% win rate" }