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: Leaders and Laggards in the Rates Sell-Off

Rates 10y Dashboard: Limited Impact on China’s Rates of US Sell-Off

Rates 10y Dashboard: Rates Volatility Going into FOMC Meeting

Rates 10y Dashboard: EM Rates Outperforming US in the Correction

Rates 10y Dashboard: Sensitivity of EM Rates to Rising US Rates

Rates 10y Dashboard: Taper Tantrum Vs Current Reflationary Scare – Part 2

FX Dashboard: Brazilian Assets Build Risk Premia

FX & Rates

<p>In this note, we look at the relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.</p><p>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. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.</p>

In this note, we look at the relationship of rates with volatility to judge whether the current levels of rates are compensating for the risks.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. The analysis, therefore, is not a forecasting tool but to be used for identifying dislocations, which we loosely define as price moves that cannot be justified by fundamentals.

Rates 10y Dashboard: Are EM Rates High Enough for the Risk?

US Treasury (10 Yr Generic)

Rates 10y Dashboard: Are EM Rates High Enough for the Risk?