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: South African Rand’s Outperformance Continues

Alpha Bites: Long South Africa 2s10s Flattener

Rates 10y Dashboard: Which Countries Have the Steepest Curves?

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

FX & Rates

<p>Despite rising inflationary risks, the South African Reserve Bank held rates steady as it continues to focus on growth risks for now. We expect short-end rates to rise gradually, which combined with the risk premium in the long end coming off, should result in curve flattening.</p><p>Separately, the attached file is a snapshot of the EM 10y rates market in which 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 an EM rates index.</p>

Despite rising inflationary risks, the South African Reserve Bank held rates steady as it continues to focus on growth risks for now. We expect short-end rates to rise gradually, which combined with the risk premium in the long end coming off, should result in curve flattening.Separately, the attached file is a snapshot of the EM 10y rates market in which 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 an EM rates index.

Rates 10y Dashboard: South Africa’s Rising Breakeven Inflation

ZAR 10Y

Rates 10y Dashboard: South Africa’s Rising Breakeven Inflation