spb/wp47_uqo

1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Cross-check with Treasury ETFs: correlation and regression slope between futures-based and ETF-based intraday factor changes, 2011--2026}6\label{tab:etf}7\setlength{\tabcolsep}{3pt}8\begin{tabular}{lrrrrrr}9\toprule10Sampling / sample & \multicolumn{2}{c}{Level} & \multicolumn{2}{c}{Slope} & \multicolumn{2}{c}{Curvature} \\ \cmidrule(lr){2-3}\cmidrule(lr){4-5}\cmidrule(lr){6-7} & Corr. & $b$ & Corr. & $b$ & Corr. & $b$ \\11\midrule12\multicolumn{7}{l}{\textit{By sampling interval, 2011--2026}} \\131 minute & 0.62 & 0.62 & 0.11 & 0.02 & 0.17 & 0.04 \\145 minutes & 0.77 & 0.75 & 0.30 & 0.07 & 0.33 & 0.10 \\1530 minutes & 0.89 & 0.82 & 0.51 & 0.16 & 0.52 & 0.21 \\16\midrule \multicolumn{7}{l}{\textit{By period, 5-minute sampling (correlation only)}} \\172011--2015 & 0.69 &  & 0.29 &  & 0.24 &  \\182016--2019 & 0.73 &  & 0.24 &  & 0.27 &  \\192020--2021 & 0.78 &  & 0.28 &  & 0.43 &  \\202022--2026 & 0.89 &  & 0.39 &  & 0.50 &  \\21\midrule \multicolumn{7}{l}{\textit{Other samples}} \\22FOMC windows $[-5,+25]$ min, $n=126$ & 0.89 & 0.84 & 0.76 & 0.25 & 0.84 & 0.47 \\23Daily, regular hours & 0.95 &  & 0.67 &  & 0.66 &  \\24\bottomrule25\end{tabular}26\begin{tablenotes}[flushleft]\footnotesize27\item \textit{Notes:} Appendix table. ETF-based factors are built without any regression: each one-minute return of SHY, IEI, IEF, TLH and TLT (09:30--16:00 ET, 2011-01-03 to 2026-10-30, 1,540,740 common minutes) is converted to an implied yield change at the fund's maturity point using fixed approximate modified durations (1.9, 4.4, 7.6, 11.0, 17.0 years; maturity points 1.9, 4.5, 8.5, 15, 25 years) and the three Nelson--Siegel factor changes are the minute-by-minute OLS fit of the five implied yield changes on the loadings. Corr.\ is the correlation between the ETF-based and the futures-based factor change over intervals starting between 09:35 and 15:54 ET (the last interval ends at 15:55); $b$ is the OLS slope of the futures-based on the ETF-based change (not reported where blank). The FOMC-window row sums the changes from 5 minutes before to 25 minutes after the $n=126$ scheduled statements with ETF coverage (the slope of the plot in the ETF figure); ``Daily, regular hours'' cumulates both series over the common minutes of each day (09:30--16:00 ET). No standard errors are reported.28\end{tablenotes}29\end{threeparttable}30\end{table}31