This chart tracks the 60-day rolling correlation between daily returns on the S&P 500 (Gross Return) and the Bloomberg US Aggregate bond index, in USD, using 25 years of daily data (Oct 2001 – Oct 2026).

The defining move of recent weeks has been in bond markets, and it is a real yield shock, not an inflation shock. The US 10-year real yield peaked at 2.94% on 5 October, its highest since November 2008 and nearly a full point above where it started the year, with around half of that move since July alone. Of the roughly 110bps rise in the nominal 10-year this year, about 100bps is real yield as inflation expectations have barely moved.

Strong jobs data raises the odds of a September hike After months of a cooling labour market, US job growth accelerated sharply in August, catching markets off guard. Nonfarm payrolls surged by 162,000, nearly three times the 56,000 economists had forecast, with an additional 55,000 in upward revisions to June and July.