Here Comes The Next “Tantrum”

I'm always warning about VaR shocks. More specifically, I like to remind investors that in the event rates reprice sharply higher, the return correlation between stocks and bonds could well flip positive as equities interpret the sudden spike in yields as a risk-off event.  In short, that means stocks and bonds sell off together, leaving nowhere to hide and sending systematic strats like risk parity into turmoil and forced deleveraging. Well, that's the subject of this morning's chart check.

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