Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

In this note, we discuss the reasons behind the rise in betas and correlations of EM rates with the US and identify the countries that are the most and least vulnerable to a continued rise in US rates.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.

In this note, we discuss the reasons behind the rise in betas and correlations of EM rates with the US and identify the countries that are the most and least vulnerable to a continued rise in US rates.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: Which EM Countries Are Vulnerable to a Further Rise in US Rates?

In this note, we discuss the reasons behind the sharp rise in EM rates volatility, which is typically lower than that of US rates but not this time. An upshot of the rise in volatility is the availability of more trading opportunities.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 the broad market.

In this note, we discuss the reasons behind the sharp rise in EM rates volatility, which is typically lower than that of US rates but not this time. An upshot of the rise in volatility is the availability of more trading opportunities.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 the broad market.

Rates 10y Dashboard: EM Rates Volatility as High as the US in a Rare Occurrence

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>Our indicators have seen a surge in coverage of Macau in the context of the Digital RMB, starting with Macau Chief Executive Ho Lat Seng's mid-April plan to amend legislation in order to accommodate the e-RMB rollout; sentiment on the Macau gaming sector appears to be pulling back as a result</li>
<li>While the long-standing crackdown on VIP junkets has been a factor for Macau's casino operators throughout the previous cycle, rollout of the Digital RMB may also suppress growth in the important premium mass segment</li>
<li>Defensives vs. cyclicals relative sentiment recovered from a multi-year low of -3.5x STDEVs in mid-March to near-neutral readings last week, as the bond rally and flattening yield curve led a few high-profile strategists to call for more defensive positioning; but this phenomenon has now decisively peaked out without any significant thematic reversal, on refreshed expectations of rising yields and action in the commodity complex</li>
<li>European recovery indicators have made new post-pandemic highs, aided by improvement in sentiment on the pace of vaccinations, with implications for EUR/USD</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tools text-mine 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 &amp; individual equities. </div>


Our indicators have seen a surge in coverage of Macau in the context of the Digital RMB, starting with Macau Chief Executive Ho Lat Seng's mid-April plan to amend legislation in order to accommodate the e-RMB rollout; sentiment on the Macau gaming sector appears to be pulling back as a result
While the long-standing crackdown on VIP junkets has been a factor for Macau's casino operators throughout the previous cycle, rollout of the Digital RMB may also suppress growth in the important premium mass segment
Defensives vs. cyclicals relative sentiment recovered from a multi-year low of -3.5x STDEVs in mid-March to near-neutral readings last week, as the bond rally and flattening yield curve led a few high-profile strategists to call for more defensive positioning; but this phenomenon has now decisively peaked out without any significant thematic reversal, on refreshed expectations of rising yields and action in the commodity complex
European recovery indicators have made new post-pandemic highs, aided by improvement in sentiment on the pace of vaccinations, with implications for EUR/USD
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tools text-mine 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 &amp; individual equities. 

TMI Snapshots:  Macau, Defensives Vs. Cyclicals, Europe's Recovery

In this note, we discuss why the spread of EM rates to the US has widened even as the volatility of US rates has come off the peak when typically the reverse happens.Separately, the attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

In this note, we discuss why the spread of EM rates to the US has widened even as the volatility of US rates has come off the peak when typically the reverse happens.Separately, the attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

Rates 10y Dashboard: EM Long-End Rates Continue to Maintain Risk Premium Cushion

In this note, we looked at the beta-adjusted performance of EM rates as US rates rallied this month to identify the countries that have lagged.Separately, the attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

In this note, we looked at the beta-adjusted performance of EM rates as US rates rallied this month to identify the countries that have lagged.Separately, the attached file is a snapshot of EM 10y rates market, which we produce daily, and where 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 the broad market.

Rates 10y Dashboard: Which Countries Underperformed as US Rates Rallied?

Price Gauge
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US Treasury (10 Yr Generic) (GT10 GOVT)

Rates 10y Dashboard: Which EM Countries Are Vulnerable to a Further Rise in US Rates?

We discuss the reasons behind the rise in betas and correlations of EM rates with the US and identify the countries that are the most and least...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM Rates Volatility as High as the US in a Rare Occurrence

We discuss the reasons behind the sharp rise in EM rates volatility, which is typically below the US but not this time. An upshot is the...

Gautam Jain, PhD, CFA

TMI Snapshots: Macau, Defensives Vs. Cyclicals, Europe's Recovery

Our text analytics see negative sentiment on Macau's gaming operators due to e-RMB progress despite positive reopening data; a return to...

Elan Gore

Rates 10y Dashboard: EM Long-End Rates Continue to Maintain Risk Premium Cushion

In this note, we discuss why the spread of EM rates to the US has widened even as the volatility of US rates has come off the peak when typically...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Which Countries Underperformed as US Rates Rallied?

In this note, we looked at the beta-adjusted performance of EM rates as US rates rallied this month to identify the countries that have lagged.

Gautam Jain, PhD, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)