JPM | Marissa’s Macro Musings - Why Rate Vol Is Now Every Portfolio Manager’s Problem

Research evidence excerpt

JPM | Marissa’s Macro Musings - Why Rate Vol Is Now Every Portfolio Manager’s Problem

Specialist Sales

US Specialist Sales J P M O R G A N

31 July 2026

JPM | Marissa’s Macro Musings - Why Rate Vol Is Now Every

Portfolio Manager’s Problem

Marissa Gitler

+1 212 622 2934

marissa.gitler@jpmorgan.com

US Thematics focuses on key macro views, market debates, and favored investment themes.

Bottom Line: Yesterday’s historic momentum snapback masked a more important structural shift: rate vol has become the

central cross-asset risk transmission mechanism, driven by Fed credibility concerns and a self-reinforcing dealer gamma

feedback loop. The asymmetry is skewed toward an explosive bond selloff. If that hits, the damage won’t flow through rate-

sensitive defensives, it will tear through high-beta, momentum, and crowded growth positions where credit and risk-aversion

loadings are highest. While equity fundamentals are strong, markets are still at risk in a vol co-movement regime with no

modern precedent.

The State of Equities (Bull / Bear)

Yesterday’s market surge was one for the ages. The prevailing narrative that overtook 95%+ of market conversation was a regross

in semi’s and momentum after a “non-fundamentally driven” drawdown took place. For size, the 10% rise in our momentum

basket (JPPQMO) was the largest 1D increase in 5 years (+5.7z, the second largest in the history of our data). While certainly

extreme, context does matter. The factor’s 30% drawdown this month created a scenario in which the surge could be more easily

“explained” outside of the statistics. More importantly, the lack of prior historical context made it fairly impossible to

arithmetically forecast follow-on price action.

There has been a decent amount of narrative-fitting post-bounce (on both sides).