S&P 500 vs Fed Balance Sheet — Daily CSV Download (Liquidity vs Equities)
The relationship between the S&P 500 and the Fed’s balance sheet has defined the post-GFC investment era. From 2009 to 2022, the correlation between QE expansion and equity prices was remarkable — leading to the widely cited thesis that “stocks follow the Fed’s balance sheet.” But the Net Liquidity decomposition reveals a more nuanced picture. This dataset tracks both series for direct comparison.
Dataset: S&P 500 vs Fed Balance Sheet (2003–2026) · Updated —
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Source: FRED series SP500 · S&P Dow Jones Indices & Federal Reserve (WALCL) via FRED
Macro Takeaway
This indicator is a key component of the macro-financial monitoring framework. Its current level relative to its historical distribution — captured in the percentile and z-score above — provides immediate context for whether conditions are historically normal, stretched, or compressed.
Cross-referencing with the Fed balance sheet and the Net Liquidity Index helps situate this indicator within the broader macro regime.
Dataset Overview
| Indicator | S&P 500 vs Fed Balance Sheet (2003–2026) |
|---|---|
| Geography | United States |
| Frequency | Weekly |
| Period | 2003–2026 |
| Variables | date, sp500_level, walcl_trillions |
| Format | CSV, Excel (XLSX) |
| Sources | S&P Dow Jones Indices & Federal Reserve (WALCL) via FRED |
| Last updated | — |
Dataset Variables
The CSV and Excel files contain the following columns.
| Column | Type | Description |
|---|---|---|
date | Date (YYYY-MM-DD) | Observation date |
sp500_level | Float | S&P 500 index level |
walcl_trillions | Float | Fed total assets in trillions USD |
Column names match the CSV headers exactly.
Download the Complete Dataset
The full dataset is available in CSV and Excel formats.
FRED Direct CSV Access
The underlying data is available from FRED under series code SP500:
https://fred.stlouisfed.org/graph/fredgraph.csv?id=WALCL
Direct CSV Access — Eco3min Structured Dataset
https://eco3min.fr/dataset/sp500-vs-fed-balance-sheet.csv
This URL returns the complete dataset in CSV format. It can be used directly in pandas, R, curl, or any data tool.
Using the Dataset in Python
import pandas as pd url = "https://eco3min.fr/dataset/sp500-vs-fed-balance-sheet.csv" df = pd.read_csv(url, parse_dates=["date"]) print(df.head()) print(df["sp500_level"].describe())
Using the Dataset in R
library(readr) url <- "https://eco3min.fr/dataset/sp500-vs-fed-balance-sheet.csv" df <- read_csv(url) head(df) summary(df$sp500_level)
Both examples load the dataset directly from the URL — no download or API key required.
Methodology
S&P 500 index (FRED: SP500) and Fed total assets (FRED: WALCL, weekly). Both series presented on dual axes for visual comparison. Correlation computed over rolling windows.
This dataset is updated weekly via automated pull from the FRED API.
Historical Regimes
Historical regime analysis for this dataset will be added in a future update. The key stats block above provides immediate context for the current reading relative to the full historical distribution.
Related Macroeconomic Datasets
The S&P 500 vs balance sheet chart is one of the most reproduced images in macro Twitter. But the “Liquidity Illusion” research shows the relationship is more complex — Net Liquidity (WALCL − TGA − RRP) is a better predictor of equity direction than WALCL alone.
- Fed Balance Sheet (WALCL) — The Fed asset series
- Net Liquidity Index — The adjusted liquidity measure — better predictor
- S&P 500 Price Index — The equity side
- S&P 500 / M2 Ratio — Alternative: equities vs broad money
- Fed Balance Sheet-to-GDP Ratio — Balance sheet normalized by economic size
Related Research
This dataset provides the raw materials for testing the “stocks follow the balance sheet” thesis — and the Net Liquidity study that complicates it.
Macroeconomic Dataset Hub
This dataset is part of the Eco3min macro-financial data repository.
Explore the Eco3min Dataset Hub
Sources
- S&P Dow Jones Indices & Federal Reserve (WALCL) via FRED