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When Do Rising Rates Matter the Most?

Scatter chart showing correlation of 10-year Treasury Yield and Correlation of Treasury Yield vs. S&P 500 Return. Chart subtitle: Rising rates have a bigger impact on equities when Treasury yields are much higher than they are today. Chart description: Y-axis shows Rolling 1-Year Correlation: Monthly Change in Treasury Yield vs. Monthly S&P 500 Return, ranging from -1 to +1. X-axis shows 10-Year Treasury Yield from 0-18%. Two series are scattered: Before the Global Financial Crisis in brown and After the Global Financial Crisis in orange. There is some slight overlap of the two around the 3-4% Treasury Yield mark, but otherwise the majority of the Pre-GFC series is to the right of the 4% yield mark and ranges across the x-axis for the full -1 to +1 correlation. The Post-GFC series is primarily above the x-axis, though there are some below, and in the first 4% of yield. March 31, 2021 is highlighted at a correlation of 0.299 and the Treasury yield at 1.74%. Chart source: Source: Bloomberg as of March 31, 2021. Pre GFC: December 1970 – August 2007. Post GFC: September 2007 (FOMC began reducing the federal funds rate) – March 2021.
Posted on May 3, 2021May 3, 2021 Full size 1433 × 775

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Published inWhen Do Rising Rates Matter the Most?

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