Macro & Markets Glossary

Plain-English definitions of the macro-economic and market terms used throughout the BullrunData API. Each entry explains what the concept means, why it matters for quantitative modeling, and which BullrunData endpoints expose the relevant data.

Yield Curve

The relationship between Treasury bond yields across different maturities, most often observed as the spread between the 10-year and 2-year yields (T10Y2Y) or the 10-year and 3-month yields (T10Y3M).

Sahm Rule

A real-time recession indicator developed by economist Claudia Sahm that triggers when the 3-month moving average of the unemployment rate rises 0.50 percentage points or more above its lowest reading in the prior 12 months.

COT Report (Commitments of Traders)

A weekly report showing aggregate futures positions held by different categories of market participants across major U.S. futures contracts.

Sector Rotation

The strategy or observed phenomenon of capital flowing between different equity sectors — typically the 11 S&P GICS sectors — based on where the economy sits in the business cycle.

Recession Probability

A probabilistic estimate — typically between 0% and 100% — that the U.S. economy will enter a recession within a given forward window, most often 6 or 12 months.

Money Flow Index (MFI)

A momentum oscillator that combines price and volume to measure buying and selling pressure, oscillating between 0 and 100. Often called a "volume-weighted RSI."

Federal Funds Rate

The interest rate at which U.S. depository institutions lend reserve balances to each other overnight. The Federal Reserve's primary monetary policy tool.

High-Yield Credit Spread

The additional yield that below-investment-grade ("junk") corporate bonds offer over comparable-maturity U.S. Treasuries. A key measure of credit stress and risk appetite.