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: Taper Tantrum Vs Current Reflationary Scare – Part 2

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

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

Alpha Bites: Long Polish Zloty (PLN) Vs Short Czech Koruna (CZK)

Rates 10y Dashboard: Hungary’s Lag Looks Overdone

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

FX & Rates

<p>In this week’s Alpha Bites, we recommend receiving 10y rates in Hungary versus paying 10y rates in Poland in a DV01-neutral ratio. Hungary has underperformed rates in other EM countries as global rates have adjusted higher and we like to pair it with Poland due to their high correlation to minimize the risk as we are still in the midst of a volatile rates environment.</p>

In this week’s Alpha Bites, we recommend receiving 10y rates in Hungary versus paying 10y rates in Poland in a DV01-neutral ratio. Hungary has underperformed rates in other EM countries as global rates have adjusted higher and we like to pair it with Poland due to their high correlation to minimize the risk as we are still in the midst of a volatile rates environment.

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

HUF 10Y

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