General Growth Properties and Kimco Realty are real estate investment trusts that thrive when low interest rates allow even the riskiest borrowers to get loans and pay their rent. The REITs, which sport large dividends, also benefit when bond yields are low, as the debt market offers little in competition to their high-paying shares then in the eyes of investors.
When high-yield prices fell, General Growth and Kimco shares dropped 100 percent of the time, posting average returns of negative 30 percent and 20 percent, respectively, according to Kensho.
Yet General Growth and Kimco hit new highs for the year this week.
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To be sure, the pullback in high yield could be due solely to just the energy-related part of the debt market as the extreme drop in crude prices makes it harder for them to pay their bills. Energy stocks have been hit hard over the last month, yet the S&P 500 continues higher.
But if this is just an isolated incident in one sector of the high-yield debt market causing the drop, it would be the first time that's happened without affecting stocks in the last eight years.
—CNBC's parent NBCUniversal is a minority investor in Kensho.