Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we discuss the reasons behind the stability in EM currencies and whether it can continue.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we discuss the reasons behind the stability in EM currencies and whether it can continue.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

FX Dashboard: EM FX Volatility Remains Low

In this note, we discuss the reasons behind the recent lag of the Colombian peso and argue that it may continue to underperform in the near term.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we discuss the reasons behind the recent lag of the Colombian peso and argue that it may continue to underperform in the near term.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

FX Dashboard: Colombian Peso to Continue Underperforming

In this note, we consider whether the heavy short speculative positions in the dollar a concern or not.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we consider whether the heavy short speculative positions in the dollar a concern or not.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

FX Dashboard: Is Heavy Short Dollar Positioning a Concern?

In this note, we discuss the binary risks in Brazilian real, especially with the currency appreciably cheap in REER terms.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

In this note, we discuss the binary risks in Brazilian real, especially with the currency appreciably cheap in REER terms.The attached file is a snapshot of EM currency market, which we produce daily, and where 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 the broad market. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

FX Dashboard: Brazilian Real Cheap in REER Terms

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>Earlier this month we saw coverage of infrastructure &amp; clean energy themes surging across the media in anticipation of President Biden unveiling a large follow-on infrastructure plan beyond the original $1.9tr relief package</li>
<li>As the energy crisis unfolded in Texas, the infrastructure theme received an additional boost last week with particular focus on the potential for large-scale copper-intensive power grid upgrades given the extent of damage and degree of unpreparedness</li>
<li>In Q4, the PBOC tightening theme trended sharply higher on a wave of bond defaults and lingering fears on the Three Red Lines policy; though anticipation of a shift in monetary policy continues given re-pricing of global bond yields, our data suggests the theme has stabilized relative to peak momentum seen in November-December</li>
<li>DXY appears to be on the verge of resuming a downtrend; aggregate futures positioning has been unchanged for weeks, and our text-mining sees a sharp drop in the "strong USD" side of the diffusion despite the yield spike</li>
</ul>


Earlier this month we saw coverage of infrastructure &amp; clean energy themes surging across the media in anticipation of President Biden unveiling a large follow-on infrastructure plan beyond the original $1.9tr relief package
As the energy crisis unfolded in Texas, the infrastructure theme received an additional boost last week with particular focus on the potential for large-scale copper-intensive power grid upgrades given the extent of damage and degree of unpreparedness
In Q4, the PBOC tightening theme trended sharply higher on a wave of bond defaults and lingering fears on the Three Red Lines policy; though anticipation of a shift in monetary policy continues given re-pricing of global bond yields, our data suggests the theme has stabilized relative to peak momentum seen in November-December
DXY appears to be on the verge of resuming a downtrend; aggregate futures positioning has been unchanged for weeks, and our text-mining sees a sharp drop in the "strong USD" side of the diffusion despite the yield spike


TMI Snapshot: Texas Boost to Copper & Infra Themes, PBOC Tightening Theme Stable, USD Downtrend

United States

The U.S. Dollar Index(USDX) indicates the general int'l value of the USD. The USDX does this by averaging the exchange rates between the USD and major world currencies. The ICE US computes this by using the rates supplied by some 500 banks. FOR REAL TIME SEE EIS ICEA<GO>.

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Dollar Index (DXY CURNCY)

FX Dashboard: EM FX Volatility Remains Low

Attached is our daily FX Dashboard that helps identify dislocations among EM currencies. In this note, we discuss the reasons behind the stability...

Gautam Jain, PhD, CFA

FX Dashboard: Colombian Peso to Continue Underperforming

Attached is our daily FX Dashboard that helps identify dislocations among EM currencies. In this note, we discuss Colombian peso's recent lag and...

Gautam Jain, PhD, CFA

FX Dashboard: Is Heavy Short Dollar Positioning a Concern?

Attached is our daily FX Dashboard that helps identify dislocations among EM currencies. In this note, we consider whether the heavy short...

Gautam Jain, PhD, CFA

FX Dashboard: Brazilian Real Cheap in REER Terms

Attached is our daily FX Dashboard that identifies dislocations among EM currencies. In this note, we discuss the binary risks in Brazilian real,...

Gautam Jain, PhD, CFA

TMI Snapshot: Texas Boost to Copper & Infra Themes, PBOC Tightening Theme Stable, USD Downtrend

Despite elevated momentum, the Texas energy crisis drove another boost to infrastructure themes with a focus on copper-intensive power grid...

Elan Gore

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