Traditionally, stock investors worried about a market decline might revamp their portfolio to favor sectors featuring stable businesses and generous dividends, such as utilities and consumer staples.
But such a move may no longer make sense in today's environment. In fact, because most expect any selloff to be precipitated by rising bond yields, jumping into high-yielding stocks ahead of a decline could be the exactly wrong move to make.
"With the notion that these are a bond proxy, the safety trade itself is basically what's at risk," said Mike Khouw of Dash Financial.
That thought process can clearly be seen in the market. Investors tend to view utilities and consumer staples as sectors to turn during a drop in the market, but they have found no refuge there over the past month. While the S&P 500 has dropped about 0.5 percent in that time, the index's utilities sector is down 4.4 percent, and consumer staples are down 2.7 percent.
It is no coincidence that this has happened as bond yields have soared. Because so-called safety stocks tend to pay high dividends, they trade more closely with bonds than most stocks do. As bond yields have risen, stocks that act like bonds have become less attractive by comparison.
(Read more: Marc 'Dr. Doom' Faber's shocking call: Go into cash)
The trouble on the chart started in May, as yields rose precipitously.