Does significant change in correlation between US and SG yields indicate an opportunity?
The discovery and real-time monitoring of macroeconomic data are the two key gaps that the financial researchers face. To bridge this gap, Heckyl has introduced a unique Macroeconomic Data Analytics product.
Historically, Singapore and the US 10-year bond yields have witnessed strong positive correlation. However, the recent rally in US 10-year bond yield above 2.9% (given better-than-expected jobs data) has changed historical correlation with Singapore 10-year bond yield. In fact, this correlation has turned negative in the past 7 days.
(Correlation as on Jun. 6, 2018)
Given the mean-reverting nature of yields, does this signify an opportunity to trade in the fixed income market?
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