Net Liquidity Index vs Fed Balance Sheet
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
CNLI refines WALCL by subtracting TGA and RRP balances, isolating the liquidity actually available to financial markets. When CNLI falls while WALCL is stable, TGA or RRP is growing and draining liquidity. CNLI is the more actionable liquidity signal because it reflects what markets can actually access.
Cross-Asset Analysis
This page pairs Convex Net Liquidity Index (convex Net Liquidity Index, Fed Balance Sheet minus Reverse Repo minus TGA. Measures actual liquidity flowing into markets) against Fed Balance Sheet (total assets held by the Federal Reserve, the QE/QT gauge) to surface the specific macro signal that lives in the peer pair relationship. Overlay strategies trade the Convex Net Liquidity Index-Fed Balance Sheet spread through options or swaps when the underlying pair is directly tradable, sizing against realized spread volatility.
Index construction choices inside Convex Net Liquidity Index and Fed Balance Sheet, including weighting methodology and inclusion rules, create persistent tilts that show up in the spread. The Convex Net Liquidity Index-Fed Balance Sheet spread captures the tilt between two variants of the same asset: one may be more defensive, one more cyclical. Corporate action events, including buybacks or spin-offs affecting constituents of Convex Net Liquidity Index or Fed Balance Sheet, can distort the spread relative to its intended factor tilt.
Convex Net Liquidity Index and Fed Balance Sheet occupy the same asset class, and the relative performance between them isolates the specific factor that distinguishes one from the other. Factor tilts expressed through the Convex Net Liquidity Index-Fed Balance Sheet selection allow managers to adjust style exposure without changing their overall asset allocation. Idiosyncratic events in a concentrated peer, such as a single mega-cap earnings miss inside Convex Net Liquidity Index, can move the Convex Net Liquidity Index-Fed Balance Sheet spread without broader factor signal.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between Convex Net Liquidity Index and Fed Balance Sheet?+
Convex Net Liquidity Index and Fed Balance Sheet are connected through shared asset class exposure with different factor tilts. When the underlying asset class shifts, both respond, though with different sensitivities and at different speeds. The spread between Convex Net Liquidity Index and Fed Balance Sheet captures the specific macro signal that flows through this relationship.
When does Convex Net Liquidity Index typically lead Fed Balance Sheet?+
Convex Net Liquidity Index tends to lead Fed Balance Sheet during rotation episodes between the two factor exposures. In those periods, moves in Convex Net Liquidity Index precede corresponding moves in Fed Balance Sheet by days to weeks, depending on the transmission channel and the depth of each market.
How are Convex Net Liquidity Index and Fed Balance Sheet historically correlated?+
Long-run correlation between Convex Net Liquidity Index and Fed Balance Sheet varies by regime. Peers in the same asset class are highly correlated in direction, with the spread reflecting factor tilts and rotation dynamics. The correlation is not stable: it shifts with macro conditions, and the periods when it breaks down are often the most informative moments in the Convex Net Liquidity Index-Fed Balance Sheet relationship.
What macro conditions drive divergence between Convex Net Liquidity Index and Fed Balance Sheet?+
Divergence between Convex Net Liquidity Index and Fed Balance Sheet typically arises from index reconstitution, mega-cap earnings surprises, or liquidity differences between the peers. When one asset's idiosyncratic drivers dominate, the spread moves in ways that the common macro story does not predict, which is usually a signal to look more carefully at the specific drivers at work in Convex Net Liquidity Index or Fed Balance Sheet.
Is Convex Net Liquidity Index a hedge for Fed Balance Sheet?+
Peers like Convex Net Liquidity Index and Fed Balance Sheet do not hedge each other; both rise or fall with the shared asset class, and using the pair as a spread trade is different from using it as a hedge. Effective hedging requires matching the hedge to the specific risk being protected, and the Convex Net Liquidity Index-Fed Balance Sheet pair is best stress-tested under scenarios the investor most worries about before being sized into a real portfolio.
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Data sourced from FRED, CoinGecko, CBOE, and other providers. This page is for informational purposes only and does not constitute financial advice. Past performance does not guarantee future results.