20th September 2018 - Quant Watch: Bond-Equity Correlations And Systematic Unwinds

As UST 10Y yields broke above 3% this week, the buzz around the equity implications has gotten louder. After all, the rise in interest rates in Q1 was one of the factors that contributed to the equity sell-off, in conjunction with the VIX tantrum and the large capitulation flows from quant strategies.