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.

FX Dashboard: Leaders and Laggards in EM FX as US Yields Retreat from the Peak

FX Dashboard: EM Currencies on Aggregate Have Mirrored the Dollar This Year

FX Dashboard: South African Rand’s Outperformance Continues

FX Dashboard: Russian Ruble Lagging Oil Rally

Rates 10y Dashboard: Which Countries Offer High Yields Relative to Their Volatilities?

Rates 10y Dashboard: Which Countries Are Most and Least Correlated with the US?

FX & Rates

<p>In this week’s Alpha Bites, we recommend going long the Russian ruble (RUB) against the South African rand (ZAR) in a beta-neutral ratio. The ruble has lagged the rest of EM and the rally in oil in anticipation of the US imposing sanctions. The sanctions are now behind, which should allow the currency to catch up. Meanwhile, the rand has outperformed the rest of EM on the back of a hawkish central bank and an improving current account balance. We expect the central bank to delay rate hikes and the current account has likely peaked already.</p>

In this week’s Alpha Bites, we recommend going long the Russian ruble (RUB) against the South African rand (ZAR) in a beta-neutral ratio. The ruble has lagged the rest of EM and the rally in oil in anticipation of the US imposing sanctions. The sanctions are now behind, which should allow the currency to catch up. Meanwhile, the rand has outperformed the rest of EM on the back of a hawkish central bank and an improving current account balance. We expect the central bank to delay rate hikes and the current account has likely peaked already.

Alpha Bites: Long Russian Ruble (RUB) Vs Short South African Rand (ZAR)