In this inflation-driven period, everyone is a macro trader—quant or stock picker, retail or pension fund manager—and the situation is just getting worse.
The correlation between the S&P 500 and the widely watched surprise index for the US economy maintained by Citigroup Inc.
The Federal Reserve is projected to implement disruptive rate rises as a result of hotter-than-anticipated economic data, which would push equities toward new bear market lows.
Similarly, Treasuries continue to be at the mercy of broad indicators like manufacturing and employment, with the asset class showing an increasingly negative correlation with the Citi gauge
which gauges how much data beats or misses estimates. For instance, an inflation overshoot counts as a beat.
With data ruling Wall Street, the stakes are high for Thursday’s report on consumer prices.