Can Equities & Rates Still Rise Together?
Qi’s Macro Risk Model Says — Not Right Now.
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Since mid-April, the S&P 500 has rallied — but under the surface, the macro sensitivities have shifted meaningfully:
• Positive Sensitivity to 10yr yields is falling.
Earlier in the year, rising yields were seen as a sign of growth / reflation. Now, that sensitivity has been fading.
• Positive Sensitivity to USD is falling.
The equity market is also showing reduced tolerance for a stronger dollar, consistent with concerns on FCIs.
• High Yield credit spreads matter again.
Negative sensitivity to wider HY spreads is rising at YTD highs — this makes for a more fragile risk backdrop if any cracks appear.
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