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: Hungary’s Lag Looks Overdone

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

Alpha Bites: Receive Hungary 10y Vs Pay Poland 10y Rates

Rates 10y Dashboard: Historical Vs Implied US Rates Volatility

Rates 10y Dashboard: US Rates Volatility Low but Rising

Rates 10y Dashboard: EM Spread to US Function of US Rates Vol

FX Dashboard: Brazilian Real Cheap in REER Terms

FX Dashboard: High Correlation Between EM Currencies and US Equities

FX & Rates

<p>In this note, we look at how the relationship between US and EM rate curve slopes has evolved and its implications.</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 how the relationship between US and EM rate curve slopes has evolved and its implications.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: Implications of US Curve Steepening for EM

US Treasury (10 Yr Generic)

Rates 10y Dashboard: Implications of US Curve Steepening for EM