ES Substantially Underperforms Broader Risk As Scramble Into Defensives Returns 4% in 3 Weeks For "QE Unwind" Basket
Comparing ES to the broader RISK basket discussed extensively previously, it appears that following several days of decoupling of the S&P contract to broader risk, today we saw the opposite, when around 1 pm the two series diverged and never looked back. The selling pressure was certainly focused on stocks, led by financials and energy stocks. The shift to defensives is becoming palpable: following our pair trade advice to retrench into consumer staples and utilities while shorting discretionary and industrials (better known as the QE Unwind trade) would have returned almost 4% since inception on May 16.
And outperformance of Defensives, aka the QE Unwind trade.
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