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 – August 2021

Rates 10y Dashboard: Cross-Correlations Between EM Rates Drop

Rates 10y Dashboard: The Gap Between Rates in LatAm and Asia Grows

Alpha Bites: Receive Czech 5y Vs Pay Poland 5y Rate

Rates 10y Dashboard: Should Curve Flattening Persist with Rising Rates Volatility?

Alpha Bites: A 2s5s Flattener in Colombia with Receiving Bias

Rates 10y Dashboard: Interest Rates in Poland Diverge from Neighbors

FX & Rates

US rates volatility has picked up again and is close to the highs of the year despite the US 10y yield dropping. With rising US rates volatility, the EM-US 10y spread is now close to its widest in 5 years, suggesting that if US long-end rates stay low then EM local debt can start attracting inflows. We use two factors to identify some of the countries that may be targeted for inflows.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.

US rates volatility has picked up again and is close to the highs of the year despite the US 10y yield dropping. With rising US rates volatility, the EM-US 10y spread is now close to its widest in 5 years, suggesting that if US long-end rates stay low then EM local debt can start attracting inflows. We use two factors to identify some of the countries that may be targeted for inflows.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: Attractive Yield Pick-Up of EM Local Debt over DM

COP 10Y

Rates 10y Dashboard: Attractive Yield Pick-Up of EM Local Debt over DM