Fixed Income and Currency Strategist

Gautam Jain, PhD, CFA

FX & Rates

As the correlation of rates in Asia and Latin America touches its lowest level in multiple years, we point out that historically such extremes don't last, implying better performance for LatAm rates ahead.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.

As the correlation of rates in Asia and Latin America touches its lowest level in multiple years, we point out that historically such extremes don't last, implying better performance for LatAm rates ahead.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: Regional Correlations Within EM Break Down

The 10-year tenor of EM rate curves has been pricing in risk premia primarily due to rising fiscal risks, while rates in the 2-year tenor have risen due to rising inflationary risks.  The 5-year tenor has been impacted by both risks and, in general, has cheapened more than the other tenors.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.

The 10-year tenor of EM rate curves has been pricing in risk premia primarily due to rising fiscal risks, while rates in the 2-year tenor have risen due to rising inflationary risks.  The 5-year tenor has been impacted by both risks and, in general, has cheapened more than the other tenors.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: 5-Year Is the Most Attractive Tenor in EM Rate Curves

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to drop.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.

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to drop.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: Which EM Countries Stand to Benefit if US Rates Vol Keeps Falling?

In contrast with history, EM rates have underperformed the US even as US rates volatility has come off. The main reason for this atypical behavior is the fallout from the unprecedented monetary and fiscal stimulus of last year. A positive outcome is an increase in the number of trading opportunities as a result of this behavior.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.

In contrast with history, EM rates have underperformed the US even as US rates volatility has come off. The main reason for this atypical behavior is the fallout from the unprecedented monetary and fiscal stimulus of last year. A positive outcome is an increase in the number of trading opportunities as a result of this behavior.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: EM Rates Are Underperforming the US

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

The weight of the evidence remains mixed yet constructive overall and suggests pullbacks to the 4000-4040 range on the S&amp;P 500 would be nothing more than a buying opportunity. Therefore, we continue to recommend adding exposure to cyclical value areas (Energy, Financials, Materials, Manufacturing, and Transportation) on pullbacks. Below we explain why we believe value’s outperformance is in its early innings, and the basis for our overall constructive outlook.

The weight of the evidence remains mixed yet constructive overall and suggests pullbacks to the 4000-4040 range on the S&amp;P 500 would be nothing more than a buying opportunity. Therefore, we continue to recommend adding exposure to cyclical value areas (Energy, Financials, Materials, Manufacturing, and Transportation) on pullbacks. Below we explain why we believe value’s outperformance is in its early innings, and the basis for our overall constructive outlook.

U.S. Equity Strategy: Value Is Just Getting Going; S&P 500, Micro-Caps At Support

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US Treasury (10 Yr Generic) (GT10 GOVT)

Rates 10y Dashboard: Regional Correlations Within EM Break Down

As the correlation of rates in Asia and LatAm touches its lowest level in multiple years, we point out that historically such extremes don't last,...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: 5-Year Is the Most Attractive Tenor in EM Rate Curves

The 5-year tenor of EM curves has been impacted by both fiscal and inflation risks and, in general, has cheapened more than the other tenors.

Gautam Jain, PhD, CFA

Rates 10y Dashboard: Which EM Countries Stand to Benefit if US Rates Vol Keeps Falling?

With US rates staying rangebound of late, we identify the EM countries whose long-end rates should outperform if US rates volatility continues to...

Gautam Jain, PhD, CFA

Rates 10y Dashboard: EM Rates Are Underperforming the US

In contrast with history, EM rates have underperformed the US even as US rates volatility has come off, which is a fallout from the unprecedented...

Gautam Jain, PhD, CFA

U.S. Equity Strategy: Value Is Just Getting Going; S&P 500, Micro-Caps At Support

The weight of the evidence suggests pullbacks to 4000-4040 on the S&P 500 would be nothing more than a buying opportunity. We also explain why we...

Vermilion Research

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)