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: Cross-Correlations Between EM Currencies Rise Sharply

Alpha Bites: Performance Summary of Trade Recommendations – August 2021

Rates 10y Dashboard: Cross-Correlations Between EM Rates Drop

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

FX Dashboard: How Well Would a Euro Hedge Have Worked for EM?

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

FX & Rates

<p>In this note, we argue that as volatility spills over from rising US yields, it may be better to hedge a broad EM currency exposure with the euro rather than reducing it.</p><p>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.</p>

In this note, we argue that as volatility spills over from rising US yields, it may be better to hedge a broad EM currency exposure with the euro rather than reducing it.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: Hedge EM Currencies with Euro as Volatility Rises