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Top of Mind for S&P 500 Since the Iran Shock — Who Wins When It Fades?
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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.
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• 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.
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• No sustained rally without lower real yields
  Higher real rates at −75% correlation.
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• The Growth anchors: Higher GDP Nowcast & steeper curve
  Growth signals (GDP Nowcast +89%, 5s30s curve +86%) tell you what the market wants to see.
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So who wins if the Iran shock dissipates?
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Continue reading our analysis by downloading the PDF below

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