Trading Fixed Income and Fx in Emerging Markets: A Practitioner's Guide

ISBN-13: 9781119598992 / Angielski / Twarda / 2020 / 272 str.

Dirk Willer; Ram Bala Chandran

Spis treści

List of Figures xiList of Tables xviIntroduction xviiAcknowledgements xxiAcronyms xxiiiChapter 1 EMFX and Fixed Income: Where the Opportunities Lie 11.1 EM Debt - Growing Too Fast to Ignore 11.2 Returns Too Attractive to Ignore 41.3 EM as an Alpha Opportunity 71.4 Scope for Even More Alpha 91.5 Summary 12Chapter 2 Global Macro Rules 132.1 What You Need to Get Right: 65% Global, 35% Local 132.2 When the US Sneezes, the World (Still) Catches a Cold 182.3 EM Central Banks Stimulate as Fast as Markets Allow 202.4 When Bullish on US Rates, EM Rates Outperform EM Credit 222.5 When Bullish on EUR, Overweight CEEMEA Over Asia 262.6 When Bullish on Commodities, Overweight Latam Over Asia 302.7 Risk Aversion Barely Hurts EM Rates 342.8 Rising US HY Spreads Worse than Rising VIX 372.9 Summary 38Chapter 3 China: The Only Emerging Market that Counts 403.1 Global Business Cycle Made in China 403.2 The Commodity Link 423.3 On Leverage 443.4 Current Account Surpluses No More 453.5 Enter the Capital Account 463.6 Reading the CNY Tea Leaves 483.7 CGBs: The JGBs for Millennials 543.8 The Grand Decoupling? 563.9 Summary 57Chapter 4 How to Trade EMFX 584.1 Only the JPY is Special 584.2 No Helping Hand from EM Rates 604.3 Carry Works - if You are Japanese 624.4 Current Accounts: Measuring Risk the Old-fashioned Way 684.5 Going for Growth 724.6 Modest Value in Valuation 744.7 Terms of Trade 764.8 Technicals to the Rescue 774.9 Flows Follow; Don't Follow the Flows 814.10 Positioning with Positions 854.11 Going with the Seasons 864.12 Volatility: Foe, Not Friend 874.13 Summary 88Chapter 5 How to Trade EMFX: Event Guide 905.1 Chaining the FX Vigilantes 905.2 Intervention at Work 915.3 Emergency Rate Hikes - Only for Emergencies 955.4 Capital Controls, IMF, or . . . China 985.5 IMF Packages Stabilize FX - Eventually 1035.6 EM Elections: Of Market Foes and White Knights 1045.7 Trading Data 1085.8 Summary 111Chapter 6 How to Trade Emerging Market Rates: The Cycle 1126.1 Emerging Markets: A Definition for Rates Traders 1126.2 The Structural EM Trade is Dead; Long Live the Cycle 1146.3 US Lessons for EM Rates: Turning Points 1166.4 US lessons for EM Rates: After the Turn 1206.5 The Power of Patience: Receive Around the Last Hike Until the Last Cut is Close 1216.6 More on Patience: Pay into the First Hike Until the Last Hike is Close 1226.7 Steepeners: Receivers for Chickens 1236.8 Flatteners: Payers for Chickens 1256.9 How to Trade QE 1276.10 It is Tough to be an EM Central Banker 1296.11 EMFX as an Unpleasant Constraint on EM Central Bankers 1306.12 Commodity Prices as an Unpleasant Constraint on EM Central Bankers 1326.13 The Fed as an Unpleasant Constraint on EM Central Bankers 1366.14 Inflation Forecasting in EM 1366.15 Peaks in Inflation as the Holy Grail 1396.16 EM Rates: Trading the Cycle in the Front 1406.17 EM Rates: The Impact of US Treasuries 1456.18 EM - Steeped in Risk 1476.19 Does Valuation Work? 1506.20 Term Premia: Use Sparingly 1526.21 Sliding Down the Slope 1546.22 Fiscal: Falling Flat 1556.23 Summary 156Chapter 7 Real Rates: Simply Superior 1577.1 Buy Linkers and Sleep Well 1577.2 How to Sleep Even Better 1597.3 What is Fair? 1627.4 Or is it Structural? 1667.5 Summary 167Chapter 8 How to Trade EM Rates: Event Guide 1688.1 Trading Data 1688.2 Learn to Love Negative Carry 1728.3 Being Inclusive Pays Off Nicely 1738.4 Trading Domestic Disasters 1758.5 Summary 176Chapter 9 How to Trade EM Credit 1789.1 The Structural Trade is Dead: Long Live the Cycle 1789.2 Carried Away by Momentum 1829.3 Finding Your Sweet Spot 1859.4 The Warren Buffett Trade in EM Credit 1869.5 Improving on Buffett 1879.6 Credit Selection According to Ray Dalio 1899.7 Pegs Make it Worse 1939.8 IMF: What is it Good For? 1949.9 Embrace Defaults 1969.10 Of Credit Curves 1999.11 Evaluating Value 2009.12 Rating Agencies: Late, but Market Moving 2039.13 External versus Local 2069.14 Summary 208Chapter 10 Portfolio Construction 21010.1 Smarter with Benchmarks 21010.2 Frontier Markets at the Frontier 21310.3 Portfolio Allocation without Markowitz 21410.4 Derivatives: Weapons of Mass Alpha 21610.5 ESG and EM: Not Fair! 21710.6 Summary 222Chapter 11 The (Near) Future: Big Data, Machine Learning, and What if There are No Emerging Markets Left 22311.1 Big Data is Coming to Fixed Income 22311.2 Machine Learning: Supervision is Needed for Supervised Learning 22711.3 No Disappearing Act for Emerging Markets 22811.4 Summary 231Appendix ABasic Concepts 233Bibliography 235

O autorze

DR. DIRK WILLER is a Managing Director and Global Head of Emerging Market FX and Fixed Income Strategy at Citi Research in NY. His research covers global emerging markets for FX, local rates, and credit. His expertise further extends to the analysis of developments in G3 markets and their impact on global emerging markets. Dirk and his team have been ranked as the top team in the 2019 institutional investor survey for emerging markets strategy in FX and rates for Latam, CEEMEA and Asia. In Latam Dirk has been ranked first for four years in a row. Dirk's credit team has also been ranked among the top teams for Latam in the last years. Dirk is frequently quoted in the financial press, including Bloomberg, Reuters, Financial Times and the WSJ, as well as interviewed on TV. Previously, Dirk worked at Omega Advisors and RHG Capital as a global macro strategist and at Swiss Bank as Russia strategist. Before his work on the buy and sell side Dirk advised the Russian government under Deputy Prime Minister Anatoly Chubais during the successful stabilization period in the early 90ies. Dirk started his studies at the University of St. Gallen, Switzerland, and holds a PhD and a MSc with distinction in Economics from the London School of Economics. Dirk is a member of Atlantik-Bruecke and the Economics Club of New York. He resides in NYC with his wife and four daughters.RAM BALA CHANDRAN is a Portfolio Manager on the Emerging Markets Debt team responsible for FX and rates management, covering Latin America. Prior to joining Neuberger Berman, Ram held a similar role at ING Investment Management. Before that he worked at Citigroup as an Latin American FX and local markets strategist. Ram holds a Bachelor's degree in Mechanical Engineering from the Indian Institute of Technology, Madras, India and earned a Master of Science in Computation for Design and Optimization from the Massachusetts Institute of Technology (MIT), Cambridge.KENNETH LAM is a Director in Latam Strategy at Citi Research, with a focus on foreign exchange and local market fixed income. Previously Kenneth worked in US rates and mortgage trading as well as FX Structuring at Citi. Kenneth holds a Bachelor's degree in Systems Design Engineering from University of Waterloo and a Master's degree in Computational Finance from Carnegie Mellon University.