Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

Long-end rates in EM have not kept up with the rally in US rates, with the notable exception of Turkey. The rally in Turkish rates has been impressive especially when factoring in the recent spike in inflation. Nevertheless, Turkish rates should continue to outperform as we expect the central bank to ease later this year and the macroeconomic and technical backdrops have improved. However, any position in Turkey is inherently risky because of political meddling in monetary policymaking.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Long-end rates in EM have not kept up with the rally in US rates, with the notable exception of Turkey. The rally in Turkish rates has been impressive especially when factoring in the recent spike in inflation. Nevertheless, Turkish rates should continue to outperform as we expect the central bank to ease later this year and the macroeconomic and technical backdrops have improved. However, any position in Turkey is inherently risky because of political meddling in monetary policymaking.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Are Rates in Turkey Due for a Reprieve?

Following the higher-than-expected CPI data in the US, rates volatility has risen which raises the question of whether the flattening trend that had taken hold in the US and EM should persist. In the long run, we still expect curves to flatten, but in the short term, the shape of the curve is likely to be data-driven. As a result, our current trade recommendations, which include a flattener in Colombia and a steepener in Russia, are idiosyncratic.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Following the higher-than-expected CPI data in the US, rates volatility has risen which raises the question of whether the flattening trend that had taken hold in the US and EM should persist. In the long run, we still expect curves to flatten, but in the short term, the shape of the curve is likely to be data-driven. As a result, our current trade recommendations, which include a flattener in Colombia and a steepener in Russia, are idiosyncratic.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Should Curve Flattening Persist with Rising Rates Volatility?

We evaluate where in Asia would it be worthwhile to be long duration under our baseline scenario of US rates volatility staying low for the rest of the summer. To do so, we use carry, potential capital gains, and the correlation with the US as the primary metrics.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

We evaluate where in Asia would it be worthwhile to be long duration under our baseline scenario of US rates volatility staying low for the rest of the summer. To do so, we use carry, potential capital gains, and the correlation with the US as the primary metrics.Separately, the attached file is a snapshot of the EM 10y rates market in which we seek to identify the leaders and laggards among countries by comparing the performance of each to its history as well as to other countries based on their respective betas to an EM rates index.

Rates 10y Dashboard: Where in Asia Is Duration Risk Worthwhile?

US long-end yields may be headed for a summer lull. If so, it could set up a period where EM rates make up for some of their previous underperformance. We identify the countries that stand to benefit if this scenario plays out.Separately, the attached file is a snapshot of the EM currency market in which we seek to identify the leaders and laggards among currencies by comparing the performance of each to its history as well as to other currencies based on their respective betas to an EM currency index.

US long-end yields may be headed for a summer lull. If so, it could set up a period where EM rates make up for some of their previous underperformance. We identify the countries that stand to benefit if this scenario plays out.Separately, the attached file is a snapshot of the EM currency market in which we seek to identify the leaders and laggards among currencies by comparing the performance of each to its history as well as to other currencies based on their respective betas to an EM currency index.

Rates 10y Dashboard: Which Countries Stand to Benefit as EM Rates Volatility Falls?

In our monthly trade ideas recap note, we provide a performance update of the trade recommendations in FX and rates that we make on a weekly basis and discuss those we closed last month. We have made a total of 18 trade recommendations so far, of which 13 are in the money.

In our monthly trade ideas recap note, we provide a performance update of the trade recommendations in FX and rates that we make on a weekly basis and discuss those we closed last month. We have made a total of 18 trade recommendations so far, of which 13 are in the money.

Alpha Bites: Trade Ideas Performance Summary – July 2021

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CLP 10Y (CHSWP10 CURNCY)

Rates 10y Dashboard: Are Rates in Turkey Due for a Reprieve?

Long-end rates in Turkey have rallied despite the recent spike in inflation. Despite risks, we expect the outperformance to continue on the back of...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Should Curve Flattening Persist with Rising Rates Volatility?

Higher rates volatility raises questions regarding the flattening trend in the US and EM. In the long run, curves should flatten, but in the short...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Where in Asia Is Duration Risk Worthwhile?

We evaluate where in Asia would it be worthwhile to be long duration using carry, potential capital gains, and the correlation with the US as the...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Which Countries Stand to Benefit as EM Rates Volatility Falls?

With US long-end yields likely headed for a summer lull, EM rates could make up for some of their previous underperformance. We identify the...

Gautam Jain, PhD, CFA

Alpha Bites: Trade Ideas Performance Summary – July 2021

We provide a performance update of all our trade recommendations along with discussing those we closed last month. We have made a total of 18...

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)