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.

Alpha Bites: Performance Summary of Trade Recommendations in FX and Rates – January 2022

In an Environment of Rising Rates, Colombia 10y Local Rate Is a Good Short

Alpha Bites: Take Profits on Recommendation as Rates Move in Opposite Directions in India and Mexico

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

US: High Inflation, Rising Yields, Repeat

Yield Breakout and NDX LT Trendline Inflection for US and Global Risk

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

FX & Rates

<ul>
<li>The risk of US yields continuing to rise is high especially with inflation not having peaked yet, the Fed potentially reducing its balance sheet, and real rates still negative.</li>
<li>The high volatility in US rates does not bode well for EM rates due to their high correlation even though EM local debt is overall cheap based on most metrics.</li>
<li>Until the volatility in US rates subsides, it is best to focus on cross-country and curve trades in EM, with my preference for curve steepening trades in several countries.</li>
</ul>


The risk of US yields continuing to rise is high especially with inflation not having peaked yet, the Fed potentially reducing its balance sheet, and real rates still negative.
The high volatility in US rates does not bode well for EM rates due to their high correlation even though EM local debt is overall cheap based on most metrics.
Until the volatility in US rates subsides, it is best to focus on cross-country and curve trades in EM, with my preference for curve steepening trades in several countries.


What to Expect of EM Rates When Expecting US Rates to Stay Volatile?

US Treasury (10 Yr Generic)

What to Expect of EM Rates When Expecting US Rates to Stay Volatile?