It’s Happening Again, from Duncan Coker
It is happening again. Starting in mid June the realized volatility of stocks futures, calculated with a 20 day look back, is lower than the realized volatility of 30 year bonds futures. Over the last 10 years it happens about 15% of the time. The returns for stocks are slightly negative during these time compared to the normal positive drift for stocks. Bonds are flat. This makes intuitive sense as the now less risky stocks would underperform the more risky (yet still risk free) bonds.