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.

Europe Support Breaks and USD/RUB Breaking Higher

Will Latin American Currencies Continue to Outperform Against Asia and CEEMEA?

Russia: Echoes of the Past. Crimea Analysis and Positioning Update

Not All Winners Are Equal: 2021 EM FX Outliers and Implications for 2022

FX Dashboard: Russian Ruble and Colombian Peso Finally Benefiting from the Oil Rally

Gems Among Stones: EM Rates’ 2021 Performance and What to Expect in 2022

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

FX & Rates

<ul>
<li>The Russian ruble has been the worst-performing currency in EM over the past month leading to the question: Is the currency cheap based on the risk premium priced in it?</li>
<li>Comparing the current episode with the 2014 annexation of Crimea by Russia, we conclude that the market is pricing in a 10% probability of an invasion followed by crippling sanctions.</li>
<li>With the currency not particularly cheap and given the asymmetric risk-reward, I would opt to not have any exposure to it for the time being.</li>
</ul>


The Russian ruble has been the worst-performing currency in EM over the past month leading to the question: Is the currency cheap based on the risk premium priced in it?
Comparing the current episode with the 2014 annexation of Crimea by Russia, we conclude that the market is pricing in a 10% probability of an invasion followed by crippling sanctions.
With the currency not particularly cheap and given the asymmetric risk-reward, I would opt to not have any exposure to it for the time being.


Is the Risk Premium High Enough in the Russian Ruble?