Citi's recent analysis underscores a complex macroeconomic environment affecting the S&P 500, where positive economic indicators are paradoxically leading to negative market reactions. This phenomenon, described as a "good news is bad news" regime, has been driven by negative correlations between the Citi Economic Surprise Index and the S&P 500 since early December. Key factors include negative real rate correlations and a flipped breakeven relationship, with the 10-year yield playing a significant role. Additionally, tariff risks impacting the dollar have led to a more negative equity-greenback correlation. As the Federal Reserve meeting looms, investors are closely monitoring macro influences, particularly the equity market's response to changes in 10-year yields and dollar movements.
The ProShares Short S&P500 ETF (SH) has experienced a modest increase, rising 0.44% to $41.06 as of 3:00 PM on Friday, January 24.