Evidence-based investing research
Login Join
Value Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Interactions of Asset Classes with EFFR

Steve LeCompte | | Posted in: Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate

How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR  and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:

  • Equities:
    • SPDR S&P 500 (SPY)
    • iShares Russell 2000 Index (IWM)
    • iShares MSCI EAFE Index (EFA)
    • iShares MSCI Emerging Markets Index (EEM)
  • Bonds:
    • iShares Barclays 20+ Year Treasury Bond (TLT)
    • iShares iBoxx $ Investment Grade Corporate Bond (LQD)
    • iShares JPMorgan Emerging Markets Bond Fund (EMB)
  • Real assets:
    • Vanguard REIT ETF (VNQ)
    • SPDR Gold Shares (GLD)
    • Invesco DB Commodity Index Tracking (DBC)

Using end-of-month EFFR and dividend-adjusted prices for the 10 ETFs during December 2007 (limited by EMB) through July 2025, we find that:

Subscribe to Keep Reading

Get the research edge serious investors rely on.

  • 1,200+ research articles
  • Monthly strategy signals
  • 20+ years of backtested analysis
$17.99 /month

Cancel anytime

Subscribe Now

Further Reading

Currency Trading, Economic Indicators Asset Class ETF Interactions with the Euro How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco... Calendar Effects Does the Turn-of-the-Month Effect Work for Asset Classes? Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a... Momentum Investing, Strategic Allocation Simplest Asset Class ETF Momentum Strategy Update A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR... Currency Trading, Economic Indicators Asset Class ETF Interactions with the U.S. Dollar How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB... Currency Trading, Economic Indicators, Gold BTC Interactions with GLD, CPI and EFFR Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares... Calendar Effects Asset Class ETF Seasonalities? Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF...