DM Policy Normalisation – A Roadmap for EM

Quant Insight’s research is built on an analytical framework conceived by a group of macro hedge fund portfolio managers and Cambridge University academics. They developed a framework for understanding asset price movements and valuations. Their research distils signals from its quantitative tool that covers thousands of securities in real time. The secret sauce of their model is that they use algorithms to untangle and isolate which macro variables (typically correlated) that are driving asset prices. Another benefit is their ability to identify which assets will be most sensitive to changes in a particular macro factor. In this note QI looks at the sensitivity of EM assets to DM policy normalization. The QI sensitivity analysis assesses which EM equity index, EM currency and EM rates markets are most vulnerable if the Fed/ECB/BoE/BoJ start to unwind QE (using 1y5y rate vol in USD, EUR, GBP & JPY) and if DM yields move higher, both outright and relative to EM. All analysis is versus QI’s Long Term (12 month, 250 business day) model. If you’d like to learn more about this framework or take a trial, click below.