Top of Mind for S&P 500 Since the Iran Shock — Who Wins When It Fades?
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Top of Mind for S&P 500 Since the Iran Shock — Who Wins When It Fades?
We ran the correlation of Quant Insight’s SPY macro factor exposures to SPY’s return since Feb 27th. The results tell a clear story of what is top of mind for US risky assets.
- Rate vol is the #1 signal
Higher CB QT Expectations (1y5y swaption vol) has a −92% correlation to SPY returns. The market isn’t just worried about rate levels — it’s worried about rate uncertainty. This is the dominant headwind.
- No sustained rally without lower real yields
Higher real rates at −75% correlation.
- The Growth anchors: Higher GDP Nowcast & steeper curve
Growth signals (GDP Nowcast +89%, 5s30s curve +86%) tell you what the market wants to see.
So who wins if the Iran shock dissipates?
Continue reading our analysis by downloading the PDF below
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