Credit strategists at Goldman Sachs are out with a note analyzing which economic data surprises drive returns in different fixed income assets.

Here is a chart ranking the most important macro indicators by their impact on total returns in different investment grade and mortgage products (measured in percentage points on the x-axis):

The above chart shows that surprises in labor market data releases are the most important driver of returns, followed by ISM and retail sales numbers.

The findings in Treasury markets are similar: govies react most strongly to surprises in payrolls numbers, followed by ISM and retail sales numbers. This chart ranks the reaction of different maturities of Treasuries to economic data surprises (x-axis measured in percentage points):

Goldman notes here that mortgage yields "respond to macro surprises in a quasi-identical way" as the Treasuries shown above do. They also note that to their surprise, "the impact of housing data on mortgage yields is not statistically significant."