Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

<ul>
<li>In my monthly recap note, I provide a performance update of my weekly trade recommendations in emerging markets FX and rates.</li>
<li>Of the total of 31 trade recommendations made so far, I have recommended closing 21 of which 17 were in the money.</li>
<li>I also go over my open trade recommendations as well as those that I have closed recently.</li>
</ul>


In my monthly recap note, I provide a performance update of my weekly trade recommendations in emerging markets FX and rates.
Of the total of 31 trade recommendations made so far, I have recommended closing 21 of which 17 were in the money.
I also go over my open trade recommendations as well as those that I have closed recently.


Alpha Bites: Performance Summary of Trade Recommendations in FX and Rates – January 2022

<ul>
<li>With rates in India vulnerable to a further correction in the US, I recommend paying India 5y vs receiving Mexico 5y rate in a beta-neutral ratio.</li>
<li>Real rates in India are the lowest among major emerging countries, which along with rising inflation expectations and strong growth should pressure the RBI to raise rates soon.</li>
<li>Mexico is appealing as a receiver against paying in India because the central bank is further along in its monetary tightening cycle as is evident from the high real rates.</li>
</ul>


With rates in India vulnerable to a further correction in the US, I recommend paying India 5y vs receiving Mexico 5y rate in a beta-neutral ratio.
Real rates in India are the lowest among major emerging countries, which along with rising inflation expectations and strong growth should pressure the RBI to raise rates soon.
Mexico is appealing as a receiver against paying in India because the central bank is further along in its monetary tightening cycle as is evident from the high real rates.


Alpha Bites: Pay India 5y Vs Receive Mexico 5y Local Rate

<ul>
<li>The Indian rupee has underperformed because of growth fears from the Omicron variant, RBI staying on hold even as the Fed signaled rate hikes, and outflows from the equity markets.</li>
<li>The growth fears may be overdone and the pressure on the RBI to tighten monetary policy should increase on rising inflation expectations and with the Fed tightening.</li>
<li>Shorting Indonesian rupiah (IDR) against INR makes sense as Bank Indonesia should delay rate hikes due to the weak economic recovery and benign inflation, even if the Fed starts hiking.</li>
</ul>


The Indian rupee has underperformed because of growth fears from the Omicron variant, RBI staying on hold even as the Fed signaled rate hikes, and outflows from the equity markets.
The growth fears may be overdone and the pressure on the RBI to tighten monetary policy should increase on rising inflation expectations and with the Fed tightening.
Shorting Indonesian rupiah (IDR) against INR makes sense as Bank Indonesia should delay rate hikes due to the weak economic recovery and benign inflation, even if the Fed starts hiking.


Alpha Bites: Long Indian Rupee (INR) Vs Short Indonesian Rupiah (IDR)

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<ul>
<li>Last week's spike in US asset prices, including US Treasuries, in the wake of gangbuster US CPI-inflation data for October, has proved short-lived.  </li>
<li>However, EM currencies have outperformed developed currencies since 1st November thanks partly to EM central bank policy rate hikes, a lack of currency contagion and domestic macro data.</li>
<li>We focus on low-volatility Asian currencies, the under-pressure Norwegian Krone, Polish Zloty,  Hungarian Forint and Euro and the importance of the release of UK retail sales data on Friday.</li>
</ul>


Last week's spike in US asset prices, including US Treasuries, in the wake of gangbuster US CPI-inflation data for October, has proved short-lived.  
However, EM currencies have outperformed developed currencies since 1st November thanks partly to EM central bank policy rate hikes, a lack of currency contagion and domestic macro data.
We focus on low-volatility Asian currencies, the under-pressure Norwegian Krone, Polish Zloty,  Hungarian Forint and Euro and the importance of the release of UK retail sales data on Friday.


FX Round-Up – Calm Before the Next Storm

<p>After strengthening through early October, the US dollar has turned trendless. I evaluate the change in performance of EM currencies when the dollar was at a peak versus now. Specifically, I go over the regional and country divergences to identify the outperformers and underperformers. I also highlight the currencies where I see the most value.</p><p>Separately, the attached file is a snapshot of the EM currency market in which I 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.</p>

After strengthening through early October, the US dollar has turned trendless. I evaluate the change in performance of EM currencies when the dollar was at a peak versus now. Specifically, I go over the regional and country divergences to identify the outperformers and underperformers. I also highlight the currencies where I see the most value.Separately, the attached file is a snapshot of the EM currency market in which I 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.

FX Dashboard: Updating EM FX Winners and Losers

Indonesia

The Indonesian rupiah is the official currency of the Republic of Indonesia. 

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

IDR (USDIDR CURNCY)

Alpha Bites: Performance Summary of Trade Recommendations in FX and Rates – January 2022

I provide a performance update of all my trade recommendations along with discussing the open trades. I have closed 21 of the 31 trades recommended...

Gautam Jain, PhD, CFA

Alpha Bites: Pay India 5y Vs Receive Mexico 5y Local Rate

With rates in India one of the most vulnerable to a further correction in the US, I recommend paying the 5-year local rate in India vs receiving...

Gautam Jain, PhD, CFA

Alpha Bites: Long Indian Rupee (INR) Vs Short Indonesian Rupiah (IDR)

I recommend a Long Indian rupee/Short Indonesian rupiah trade as the monetary policies of the two countries are set to diverge with India raising...

Gautam Jain, PhD, CFA

FX Round-Up – Calm Before the Next Storm

Interest rate and FX vol has subsided with directionality in EM and developed market currencies driven by domestic macro data and monetary...

Olivier Desbarres

FX Dashboard: Updating EM FX Winners and Losers

As the US dollar turns trendless, I go over the regional and country divergences to identify the outperformers and underperformers in EM. I also...

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)