美国国债今年夏天意外强劲，击败了从小盘股到大宗商品的其他所有资产。在美国银行的技术团队眼中，说这是一个令人担忧的信号。
由于岌岌可危的通货再膨胀交易拖累小盘股，美国国债期货与罗素2000指数之间的比率在3月份触及历史低点之后已经走高。大宗商品也是类似：由于铜价和油价过去几个月表现不佳，债券杀了一个回马枪。
美国银行表示，以往，当这种比率见底时，通常意味着债券上涨可期——可能削弱到年末风险偏好。这一警告出现之际，全球新冠病例激增，疫苗对德尔塔病毒变种的效力遭到质疑，再加上美联储何时开始减码存在不确定性。
“这种跨资产难题为2021年下半年的风险承担投下了阴影，”美国银行策略师Paul Ciana、Adarsh Sinha和Janice Xue在周二的报告中写道。“比率上升表明了向安全资产轮动和/或再平衡的趋势，在支撑因素仍然存在的情况下，这个趋势将会继续。”
在3月底触及1.77%的高点之后，美国10年期国债收益率已下跌近50个基点，受避险资金流推动——尽管有一系列超预期的通胀报告。收益率的下滑帮助大型科技股重新占据主导地位，纳斯达克100指数2021年上涨超过19%，罗素1000指数上涨近12%。
虽然华尔街普遍预期收益率年底前将上升，而在不确定性加剧的情况下，避险资金流限制了收益率上升幅度。基准10年期美国国债收益率周二小幅走高至1.29%左右，还在过去一个月的区间内。
US Treasury bonds were unexpectedly strong this summer, beating all other assets, from small-cap stocks to commodities.inBank of AmericaIn the eyes of the technical team, this is a worrying sign.
The ratio between US Treasury futures and the Russell 2000 index has risen after hitting an all-time low in March, as precarious inflationary trading dragged down small-cap stocks. Commodities are similar: bonds have taken a back seat due to the poor performance of copper and oil prices over the past few months.
Bank of America said that in the past, when this ratio bottomed out, it usually meant that bonds could be expected to rise — possibly weakening risk appetite until the end of the year. This warning comes at a time when COVID-19 cases are surging around the world, the efficacy of the vaccine against the delta virus variant is being questioned, and there is uncertainty about when the Federal Reserve will begin to reduce the rate.
“This cross-asset conundrum casts a shadow over risk taking in the second half of 2021,” Bank of America strategists Paul Ciana, Adarsh Sinha, and Janice Xue wrote in Tuesday's report. “The rising ratio indicates a trend of rotation and/or rebalancing towards safe assets, which will continue as long as the supporting factors remain.”
After hitting a high of 1.77% at the end of March, US 10-year Treasury yields have fallen nearly 50 basis points, driven by safe haven capital flows — despite a series of inflation reports that have exceeded expectations. The decline in yield has helped big tech stocks regain their dominance,NASDAQThe 100 Index rose more than 19% in 2021, and the Russell 1000 Index rose nearly 12%.
Although Wall Street generally expects yields to rise before the end of the year, in the face of heightened uncertainty, the flow of safe-haven funds limited the increase in yield. The benchmark 10-year US Treasury yield rose slightly to around 1.29% on Tuesday, still within the range of the past month.
