The portfolio value of rates convexity

Since this summer, a combination of resilient nominal growth, sticky inflation, fiscal concerns and increased competition for capital from AI has shifted market focus from equity to bond risk. The ratio of rates volatility (MOVE) to equity volatility (VIX) has risen from the post-2022 lows reached at the end of 2025. In this GOAL Risk Keeper, we look at rate-exposed hedges for balanced portfolios across both downside and upside scenarios. Receiver swaptions on front-end rates can provide a more convex hedge for a recession, but also benefit from potential relief in the event of lower energy prices. Options on rate-sensitive equities offer an attractive hedge in a rate-relief scenario (or a further energy- or rate-led shock). Equity-down/rates-up hybrids look attractive for 60/40 portfolios.