Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

Between July and October, Asian currencies underperformed against the rest of EM. In this note, I address the question: Is the period of underperformance for Asian currencies now behind? With the economic recovery back on track as coronavirus cases drop amid high levels of vaccinations, further monetary easing no longer in the cards, and FX interventions slowing, I expect Asian currencies on aggregate to trade broadly in line with the rest of EM in the near term but not outperform. From a strategy standpoint, I would opportunistically target specific currencies that have underperformed, such as the Thai baht.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.

Between July and October, Asian currencies underperformed against the rest of EM. In this note, I address the question: Is the period of underperformance for Asian currencies now behind? With the economic recovery back on track as coronavirus cases drop amid high levels of vaccinations, further monetary easing no longer in the cards, and FX interventions slowing, I expect Asian currencies on aggregate to trade broadly in line with the rest of EM in the near term but not outperform. From a strategy standpoint, I would opportunistically target specific currencies that have underperformed, such as the Thai baht.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.

Is the Period of Underperformance for Asian Currencies Over?

A month ago, I recommended hedging broad EM currency exposure with the euro. In this note, I first evaluate how well the hedge worked and then address the question of whether to continue to hold the hedge or not. I demonstrate that the hedge has been very effective based on the hedged returns and I also recommend continuing to hold on to the hedge as risks remain on the horizon.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.

A month ago, I recommended hedging broad EM currency exposure with the euro. In this note, I first evaluate how well the hedge worked and then address the question of whether to continue to hold the hedge or not. I demonstrate that the hedge has been very effective based on the hedged returns and I also recommend continuing to hold on to the hedge as risks remain on the horizon.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.

How Effective Has the Euro Hedge Been for EM FX?

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.

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

In this edition of Alpha Bites, I list my current open trade recommendations in EM FX and rates along with links to notes where I discuss the trades in more detail. The tables include expected returns on the trades on a 3-month horizon assuming mean reversion in this period.

In this edition of Alpha Bites, I list my current open trade recommendations in EM FX and rates along with links to notes where I discuss the trades in more detail. The tables include expected returns on the trades on a 3-month horizon assuming mean reversion in this period.

Alpha Bites: Current Trade Recommendations in EM FX and Rates

With the dollar strengthening this month, EM currencies have suffered, which is reminiscent of a similar episode in Q1. However, there is greater differentiation this time around, both on a regional basis as well as at the country level. We go over the outliers to identify the reasons they did not react entirely based on their respective betas. If there is no explanation for the deviation, then the idiosyncratic behavior is likely not justified and may represent a trading opportunity.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.

With the dollar strengthening this month, EM currencies have suffered, which is reminiscent of a similar episode in Q1. However, there is greater differentiation this time around, both on a regional basis as well as at the country level. We go over the outliers to identify the reasons they did not react entirely based on their respective betas. If there is no explanation for the deviation, then the idiosyncratic behavior is likely not justified and may represent a trading opportunity.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.

FX Dashboard: Winners and Losers in EM FX Amidst Dollar Strengthening

Malaysia

The Malaysian ringgit is the official currency of the Federation of Malaysia. 

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Is the Period of Underperformance for Asian Currencies Over?

After underperforming between July and October, I expect Asian currencies on aggregate to perform broadly in line with the rest of EM in the near...

Gautam Jain, PhD, CFA

How Effective Has the Euro Hedge Been for EM FX?

In this note, I first evaluate how well has the euro hedge for EM FX that I recommended a month ago worked and then address the question of whether...

Gautam Jain, PhD, CFA

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

Alpha Bites: Current Trade Recommendations in EM FX and Rates

In this edition of Alpha Bites, I list my current open trade recommendations in EM FX and rates along with links to notes where I discuss the...

Gautam Jain, PhD, CFA

FX Dashboard: Winners and Losers in EM FX Amidst Dollar Strengthening

In the latest bout of dollar strengthening, we go over the outperformers and underperformers among EM currencies to identify potential trading...

Gautam Jain, PhD, CFA

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52-week Range

Market Cap (USDm)

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