From our latest webinar in our Straight from the Force partner webinar series, Quant insight unpacks cross-asset signals suggesting a shift in US macro dominance - from the disconnect between the Dollar and yields to changing dynamics in Treasuries, FX, and equities.
UST 2 Year Yields
Insight: Notice the sharp fall in Qi model confidence in the bottom chart.
UST 5 Year Yields
Insight: For many months model confidence was above our 65% threshold denoting USTs were in a macro regime.
UST 10 Year Yields
Insight: Falls in model confidence mean something else other than macro is driving price action.
UST 30 Year Yields
Insight: Given the timing of these moves - when Trump escalated his attacks on Powell, sacked the head of the BLS &announced his desire to sack Lisa Cook -it looks like politics.
Qi - UST 10y Bond Macro Factors Sensitivity
Insight: The green bars to the right are positive drivers, i.e. when those macro factors rise, so do 10y yields. There's a clear reflation story at work - stronger metal prices, stronger economic growth, rising inflation expectations are big drivers. So a "run it hot" scenario will hurt duration but, for now, those factors are well behaved encouraging the perception that USTs act as a good recession hedge.
UST 10Y Note - Financial Conditions
Insight: 10s sensitivity to rate vol ("Fed QT expectations") & the money market strip ("Fed rate expectations") is low. For now, 10s are comfortable with a rate cutting cycle that end with a terminal rate around 3%, & comfortable the bond vigilantes are dormant.
Qi Government Bonds Fair Value Table
Insight: 10y UST yields are around 0.75 sigma or 10bp too low versus overall macro conditions. Duration bulls might want to look at Europe - especially Bunds & BTPs - as a more efficient recession hedge.
CNY 10Y Government Bond
Insight: For much of 2025 the fear has been about China's slowdown & the export of deflation around the globe. Qi suggests macro conditions may have bottomed & support higher bond yields. Spot yields have run too far ahead of that scenario for now, however.
S&P 500
Insight: Focus on the blue line - Qi model value captures real-time macroeconomic momentum. It rolled over in mid February , long before April's Liberation Day. Macro momentum has been in a strong uptrend for months, but momentum is showing signs of rolling over.
S&P 500 Macro Sensitivities
Insight: Sensitivity to inflation / credit spreads / rate vol are all rolling over. Equities are becoming more reliant on benign inflation & an easy Fed.
IWM, QQQ, and SPY Sensitivity to US Inflation Expectations
Insight: A long-term historical perspective on Russell 2000 sensitivity to inflation expectations. We're at record lows! Both outright & relative to its large cap & technology peers.
Qi US Dollar FX Fair Value Table
Insight: Dollar-G10 crosses are in strong macro regimes. Every crossbar USDJPY has high model confidence. USDNOK is the one pair cheap to macro for those looking for a USD squeeze. But otherwise, the Dollar looks rich versus aggregate macro conditions suggesting potentially attractive entry levels for $ downside to resume.
