Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

Gautam Jain has over 25 years of experience covering global emerging fixed income and currency markets, both as a strategist and a portfolio manager. He has worked in buy-side and sell-side firms, including The Rohatyn Group (TRG Management), Barclays Capital, and Millennium Partners. He has helped manage emerging markets local-currency and hard-currency debt funds. The assets that he covers include currencies, interest rates, sovereign credits, and related derivatives. He specializes in portfolio construction, smart-beta index creation, and asset allocation. Mr. Jain holds a Ph.D. in Operations Research from Columbia University and is a CFA charter holder.

Rates 10y Dashboard: South Africa Asset Swap Spreads Start Tightening

FX Dashboard: Polish Zloty Underperformance Looks Overdone

Rates 10y Dashboard: Wide Asset Swap Spreads in South Africa

Rates 10y Dashboard: CE Rates Work as Hedge to Higher US Rates Vol

Rates 10y Dashboard: Historical Vs Implied US Rates Volatility

FX & Rates

<p>In this week’s Alpha Bites, we recommend buying the 10y bond in South Africa on a currency-hedged basis and paying 10y interest-rate swap against it. The spread between the bond and the swap has started tightening from historically wide levels, and we expect further normalization.</p>

In this week’s Alpha Bites, we recommend buying the 10y bond in South Africa on a currency-hedged basis and paying 10y interest-rate swap against it. The spread between the bond and the swap has started tightening from historically wide levels, and we expect further normalization.

Alpha Bites: Buy South Africa 10y Bond FX-Hedged Vs Pay 10y IRS

ZAR 10Y

Alpha Bites: Buy South Africa 10y Bond FX-Hedged Vs Pay 10y IRS