Macro Sensitivity Screening: 40 Stocks Ranked by Economic Factor Exposure
A quantitative framework for matching stock selection to the macro environment. IP growth, inflation, interest rates, and yield curve - which stocks win and lose in each regime.
The Trade: Positioning for Current Macro Regime
Current Setup
- IP YoY: +1.2% (positive, accelerating)
- CPI YoY: +2.6% (moderate, decelerating)
- 10Y Yield: 4.6% (elevated)
- Curve: +0.4% (steepening)
Favored Profiles
- Pro-cyclical: COP, XOM, COST
- Rate-insensitive growth: MSFT, UNH
- Curve steepeners: CAT, SBUX, F
Historical Edge
Stocks with positive IP sensitivity average +1.3%/mo when IP grows vs +0.8% when it contracts. Energy (COP, XOM) leads pro-cyclical exposure.
Every stock has a macro "fingerprint" - a pattern of sensitivities to economic factors that determines how it performs in different environments. Some stocks rally when industrial production grows (pro-cyclical). Others surge when the Fed cuts rates (rate-sensitive). Understanding these patterns lets you match your portfolio to the macro regime.
This analysis measures the correlation between monthly stock returns and four key macro factors over 50 years of data. The result is a comprehensive sensitivity matrix that reveals which stocks to own - and which to avoid - based on where we are in the economic cycle.
How to Read Sensitivity Scores
Sensitivity is measured as correlation (-1 to +1). A score of +0.10 means the stock tends to rise when the factor rises. A score of -0.10 means the opposite. Scores above |0.10| are statistically meaningful; above |0.15| are strong signals.
I. The Four Macro Factors
- IP Sensitivity - Correlation with Industrial Production YoY growth. Positive = pro-cyclical (rallies with growth). Negative = counter-cyclical (rallies on rate cut hopes).
- CPI Sensitivity - Correlation with inflation. Positive = inflation beneficiary. Negative = inflation loser (margin compression, demand destruction).
- Rate Sensitivity - Correlation with 10-year Treasury yield level. Positive = benefits from higher rates. Negative = hurt by higher rates.
- Curve Sensitivity - Correlation with 10Y-2Y spread. Positive = benefits from steepening. Negative = benefits from flattening/inversion.
Complete Macro Sensitivity Matrix (40 Stocks)
Correlation coefficients between monthly stock returns and macro factors. 594 months of data. Color-coded: green = positive, red = negative. Bold = strong signal (|r| > 0.10).
| Stock | IP | CPI | Rates | Curve | Return | Profile |
|---|---|---|---|---|---|---|
| COP | +0.05 | +0.01 | -0.02 | +0.01 | +1.18% | Pro-cyclical energy |
| XOM | +0.03 | +0.04 | +0.04 | -0.02 | +1.12% | Pro-cyclical energy |
| CVX | 0.00 | +0.05 | 0.00 | -0.01 | +1.17% | Inflation beneficiary |
| COST | +0.02 | +0.03 | +0.02 | -0.09 | +1.66% | Curve flattener |
| LLY | +0.01 | -0.02 | -0.02 | -0.09 | +1.50% | Curve flattener |
| MSFT | -0.01 | -0.05 | +0.09 | -0.05 | +2.33% | Rate-insensitive growth |
| UNH | -0.03 | +0.04 | +0.09 | +0.02 | +2.15% | Rate-insensitive growth |
| JPM | -0.06 | -0.05 | -0.01 | +0.01 | +1.33% | Counter-cyclical bank |
| BAC | -0.08 | -0.03 | +0.03 | +0.01 | +1.41% | Counter-cyclical bank |
| GS | -0.06 | -0.10 | -0.01 | -0.07 | +1.32% | Inflation loser |
| WFC | -0.04 | -0.03 | 0.00 | +0.03 | +1.35% | Curve steepener |
| C | +0.01 | -0.07 | +0.01 | 0.00 | +1.15% | Inflation loser |
| PHM | -0.12 | +0.07 | +0.04 | -0.01 | +2.20% | Counter-cyclical builder |
| LEN | -0.12 | +0.02 | -0.01 | +0.02 | +1.87% | Counter-cyclical builder |
| DHI | -0.09 | -0.07 | -0.04 | +0.01 | +1.89% | Counter-cyclical builder |
| HD | -0.11 | +0.06 | +0.14 | -0.04 | +2.26% | Rate beneficiary |
| LOW | -0.12 | -0.05 | -0.02 | +0.05 | +1.67% | Curve steepener |
| WMT | -0.06 | +0.09 | +0.13 | -0.09 | +1.82% | Inflation beneficiary |
| TGT | -0.05 | -0.02 | +0.03 | -0.02 | +1.39% | Neutral profile |
| AAPL | -0.06 | -0.09 | -0.07 | +0.03 | +2.26% | Rate-sensitive growth |
| NVDA | -0.03 | -0.05 | +0.02 | -0.13 | +4.12% | Curve flattener |
| AMD | -0.10 | -0.01 | -0.02 | +0.02 | +2.37% | Counter-cyclical tech |
| INTC | -0.03 | -0.04 | +0.02 | +0.02 | +1.58% | Neutral tech |
| CAT | -0.05 | -0.08 | -0.08 | +0.07 | +1.29% | Curve steepener |
| DE | -0.06 | -0.06 | -0.07 | +0.02 | +1.29% | Rate-sensitive industrial |
| BA | +0.01 | -0.02 | +0.03 | 0.00 | +1.46% | Neutral industrial |
| HON | -0.03 | -0.05 | -0.02 | +0.04 | +1.13% | Slight steepener |
| MMM | -0.08 | -0.07 | +0.02 | +0.04 | +1.02% | Counter-cyclical |
| CMG | -0.02 | -0.11 | 0.00 | +0.02 | +2.07% | Inflation loser |
| SBUX | -0.03 | -0.10 | +0.05 | +0.07 | +1.94% | Curve steepener |
| NKE | -0.06 | 0.00 | +0.04 | +0.01 | +1.70% | Neutral consumer |
| MCD | -0.06 | -0.02 | +0.02 | 0.00 | +1.24% | Counter-cyclical |
| F | -0.11 | -0.12 | -0.02 | +0.08 | +1.08% | Curve steepener |
| JNJ | -0.07 | -0.01 | +0.03 | -0.04 | +1.16% | Defensive healthcare |
| ABT | -0.06 | 0.00 | +0.04 | -0.05 | +1.36% | Curve flattener |
| PG | -0.04 | -0.04 | +0.03 | -0.01 | +1.07% | Defensive staple |
| KO | -0.02 | -0.03 | +0.08 | -0.02 | +1.16% | Rate beneficiary |
| PEP | +0.01 | +0.03 | +0.07 | -0.03 | +1.17% | Rate beneficiary |
| DIS | -0.05 | -0.05 | +0.03 | +0.02 | +1.19% | Neutral media |
Sensitivity = correlation coefficient. Green shading = positive relationship. Red shading = negative relationship. Bold = strong signal (|r| > 0.10).
IP Sensitivity Distribution
Rate Sensitivity Distribution
II. Five Distinct Profiles
The sensitivity matrix reveals five distinct stock profiles:
1. Pro-Cyclical (Rally with Growth)
Energy stocks (COP +0.05, XOM +0.03) have positive IP sensitivity. They outperform when industrial production grows, reflecting their leverage to economic activity. Best for: expansion regimes.
2. Counter-Cyclical (Rally on Weakness)
Homebuilders (PHM -0.12, LEN -0.12, LOW -0.12) have strongly negative IP sensitivity. They rally when the economy weakens because rate cut expectations drive mortgage rate declines. Best for: late-cycle and recession.
3. Rate Beneficiaries (Rally with Higher Rates)
Surprisingly, some stocks benefit from higher interest rates. HD (+0.14) and WMT (+0.13) have strong positive rate sensitivity. These are cash-flow machines with pricing power that outperform when rates rise. Best for: hiking cycles.
4. Curve Steepeners (Rally with Steeper Curve)
Banks and cyclicals benefit from a steeper yield curve. F (+0.08), CAT (+0.07), SBUX (+0.07) outperform when the 10Y-2Y spread widens. Best for: early recovery when short rates fall faster than long rates.
5. Curve Flatteners (Rally with Inverted/Flat Curve)
Quality growth stocks benefit from curve flattening. NVDA (-0.13), COST (-0.09), WMT (-0.09), LLY (-0.09) outperform when the curve inverts or flattens. Best for: late-cycle quality rotation.
Stock Fundamentals
| Stock | Company | Sector | Mkt Cap ($B) | P/E | Div Yield | Profile |
|---|---|---|---|---|---|---|
| NVDA | NVIDIA Corporation | Technology | $4,531 | 45.6 | 0.02% | Curve Flattener |
| MSFT | Microsoft Corporation | Technology | $3,418 | 32.6 | 0.74% | Rate Beneficiary |
| WMT | Walmart Inc. | Consumer Defensive | $954 | 41.7 | 0.79% | Rate Beneficiary |
| JPM | JPMorgan Chase & Co. | Financial Services | $851 | 15.3 | 1.86% | Counter-Cyclical |
| XOM | Exxon Mobil Corporation | Energy | $548 | 18.8 | 3.08% | Pro-Cyclical |
| COST | Costco Wholesale | Consumer Defensive | $428 | 51.5 | 0.53% | Curve Flattener |
| HD | The Home Depot, Inc. | Consumer Cyclical | $379 | 25.9 | 2.42% | Rate Beneficiary |
| CAT | Caterpillar Inc. | Industrials | $303 | 32.7 | 0.90% | Curve Steepener |
| UNH | UnitedHealth Group | Healthcare | $300 | 17.1 | 2.64% | Rate Beneficiary |
| COP | ConocoPhillips | Energy | $123 | 13.8 | 3.24% | Pro-Cyclical |
| F | Ford Motor Company | Consumer Cyclical | $53 | 11.5 | 5.51% | Curve Steepener |
| PHM | PulteGroup, Inc. | Consumer Cyclical | $25 | 9.7 | 0.71% | Counter-Cyclical |
III. Current Positioning
As of January 2026, the macro environment features:
- IP: Growing (+1.2% YoY) and accelerating - favor pro-cyclical (COP, XOM)
- CPI: Moderate (2.6%) and decelerating - avoid inflation losers (CMG, SBUX, GS, F)
- Rates: Elevated (4.6%) - favor rate beneficiaries (HD, WMT, MSFT, UNH)
- Curve: Steepening (+0.4%) - favor curve steepeners (CAT, SBUX, F)
The Verdict
Match your portfolio to the macro regime using sensitivity profiles.
- Current best fit: COP, XOM (pro-cyclical) + HD, WMT, MSFT, UNH (rate beneficiaries)
- Avoid now: CMG, GS (inflation losers with negative CPI sensitivity)
- Watch for: IP deceleration to rotate into counter-cyclicals (PHM, LEN, LOW, AMD)
- If curve inverts: Rotate to NVDA, COST, LLY (curve flatteners)
Explore the Data
FRED Explorer
Access 800K+ economic time series including IP, CPI, and Treasury yields.
Open FRED Explorer →Related Insights
Methodology
Sensitivities calculated as Pearson correlation coefficients between monthly stock returns and macro factors over 594 months (1976-2025 where data available). IP = Industrial Production YoY growth. CPI = Consumer Price Index YoY growth. Rates = 10-Year Treasury yield level. Curve = 10Y-2Y Treasury spread. Data from FRED and daily stock prices aggregated to monthly.