Rate Moves Not Extreme Yet

| Multi Asset

How does the recent increase in US 10-year interest rates compare historically? Looking at the performance of the Barclays US Treasuries index, the rise in rates observed in February on the long side of the curve represents a negative monthly performance of -1.8%, greater than 1 sigma. Such a performance represents less than 6% of monthly returns since 1973. Cumulated over three months, the fall in the index reached -3%, which is comparable to the sharp declines observed in Q4 2016 (-3.8%), the “Taper Tantrum” of 2013 (-2.9%) or the violent adjustment in Q2 2009 (-3%). Thus, it is a rare event that should be taken into consideration when assessing its sustainability and potential impact.


Rate Moves Not Extreme Yet
Source: Bloomberg, Unigestion. Data as at 5 March 2021.

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