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Emerging Markets

CapturingAlphabyIdentifyingFXMarketExtremes

By Mariusz Banasiak, CFA, Charles Guttilla & Alan Korovin, ASA — Oct 27, 2022

7 mins

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Like many asset classes, emerging market currencies have historically relied on trend following as an important source of alpha. In recent years, however, extracting alpha from EMFX trends has been a frustrating endeavor. In this post, we illustrate our latest model designed to identify trend reversals in the FX market and enhance our ability to capture currency management alpha.

As evidenced by Figure 1, the total return index of an EMFX basket and the performance of our proprietary EMFX trend following return index, with the trend following index scaled to comparable realized long-term volatility as the total return gauge. In the past two decades, the trend-following strategy realized a Sharpe ratio of around 0.6, but since 2010, and particularly 2015, the performance has been largely flat.

We think such performance patterns reflect potential structural changes in the FX market. Sustained profits achieved by trend following (e.g., 2003 to 2007, 2008, 2009, 2014-2015) have become less common in recent years. Additionally, very steep reversals have occurred frequently in recent years (e.g., March 2022, December 2021, and March 2020), dealing another blow to trend following performance. Many argue such steep reversals may partly be the result of market makers reducing the amount of balance sheet dedicated to intermediating the FX market, contributing to the lack of market depth. Deteriorating liquidity often leads to outsized moves that are prone to steep reversals, presenting a persistent challenge to FX trend following.

Figure 1

EMFX Total Return and Trend Following Return

Source:

PGIM Fixed Income.

Sell-side researchers (such as those from JPMorgan and BNP Paribas) have attempted to model the more frequent reversals and published several related indices. Building on their work, we recently implemented our own EMFX Risk Appetite Index to quantify the magnitude of one-sided risk-taking in the EMFX market. We take a multi-faceted approach to capture market extremes through the following variables: short-term aggregate flows of FX trades, perceived investor positioning of various currencies, aggregate implied volatility indicators from the options market, and technical indicators reflecting the extent to which the market may be overbought or oversold.

Figure 2 shows the time series of our Risk Appetite Index and the thresholds for extreme FX positions. We use a simple, symmetric rule to enter into long or short EM currency positions when the oversold or overbought threshold (solid lines) of 1.6 standard deviations from the mean is reached, holding the position until the Appetite Index retreats to less than half of the threshold (dotted lines).

Figure 2

PGIM FX EMFX Risk Appetite Index

Source:

PGIM Fixed Income.

Figure 3 shows the performance of this contrarian strategy. Since 2016, the Appetite Index has breached the threshold 24 times, with 14 and 10 occurrences of extremely negative and positive risk appetite, respectively. We observe generally positive performance for this strategy, with a realized Sharpe ratio of 0.74.

Figure 3

Performance of contrarian strategy following the Appetite Index

Source:

PGIM Fixed Income.

Figure 4

Performance of the contrarian strategy performance in 2022

Source:

PGIM Fixed Income.

Amid the significant market swings witnessed in 2022, our Appetite Index identified four instances of extremes (Figure 4). In particular, the first two instances provide insight into our experience utilizing the index to drive contrarian strategy performance. From April 6 to April 15, the index flashed its first signal of the year, indicating an opportunity to short EM currencies. In late February, following Russia’s invasion of Ukraine, EM assets went into free fall as risk appetite vanished. The selloff didn’t last long, and flows into EM rebounded quickly, driving positive returns in EMFX as quickly as losses were incurred in the wake of the invasion. The quick recovery in EMFX led our Appetite Index to breach the overbought threshold in April and send short EM, long USD signals in anticipation of a reversion from the extremes.

Around this time, the macro environment was ripe for a reversal of the weak dollar trend, as persistent inflation in the U.S. prompted investors to price in significant Fed rate hikes in 2022, and a long list of tail risks engulfed emerging markets. Although the simple rule we set for profit-taking meant the timing of our position close was not perfect, it successfully captured the start of a significant change in sentiment.

From early April to mid-May, bullish dollar sentiment was in full swing. The tightening of global financial conditions continued, high inflation and supply constraints persisted, and a weak PMI report from China dealt another blow to EM growth expectations. However, in around mid-May, signs of overextended dollar sentiment began to brew as FX flows piled into long USD positions, dollar momentum was strong, and net dollar positioning became abnormally skewed in favor of the dollar. The Index sent its second signal this year, from May 17 to May 24, to enter into long EMFX position. Over the next few weeks, EMFX saw a relief rally amid signs of some re-opening in China and speculation about a pause in Fed hikes. In this instance, the timing of the long EMFX signal was exceptional, indicating an exit to the position near the rally's peak.

Our standard practice on any directional FX signals is to discount historical performances when forming our forward-looking expectation, largely due to limited data availability. After all, extreme moves are rare by definition, and we have observed only 24 instances of the extreme threshold being hit since 2016. Also, there is the likelihood that a sea change in the macro environment has created an FX regime friendlier to trend following, which may limit the potential of this contrarian strategy. As an example, developed-market currencies, such as the euro and the yen, have shown sustained trends of weakness versus the dollar this year. Despite these potential limitations, we believe the EMFX Risk Appetite Index is a valuable addition to our quantitative tools for delivering alpha, especially as a complement to the existing trend-following strategy in our framework. 

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  • By Mariusz Banasiak, CFAHead of Local Currency Rates and FX , PGIM Fixed Income
  • By Charles GuttillaEmerging Markets Debt, PGIM Fixed Income
  • By Alan Korovin, ASAEmerging Markets Debt, PGIM Fixed Income
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The comments, opinions, and estimates contained herein are based on and/or derived from publicly available information from sources that PGIM Fixed Income believes to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for informational purposes only, sets forth our views as of this date. The underlying assumptions and our views are subject to change. Past performance is not a guarantee or a reliable indicator of future results. ESG investing is qualitative and subjective by nature; there is no guarantee that the criteria used or judgment exercised by PGIM Fixed Income will reflect the beliefs or values of any investor.  Information regarding ESG practices is obtained through company engagement or third-party reporting, which may not be accurate or complete, and PGIM Fixed Income depends on this information to evaluate a company's commitment to, or implementation of, ESG practices. ESG norms differ by region. There is no assurance that PGIM Fixed Income's ESG investing techniques will be successful.

Source(s) of data (unless otherwise noted): PGIM Fixed Income, as of October 27, 2022

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PGIM Fixed Income operates primarily through PGIM, Inc., a registered investment adviser under the U.S. Investment Advisers Act of 1940, as amended, and a Prudential Financial, Inc. (“PFI”) company. Registration as a registered investment adviser does not imply a certain level or skill or training. PGIM Fixed Income is headquartered in Newark, New Jersey and also includes the following businesses globally: (i) the public fixed income unit within PGIM Limited, located in London; (ii) PGIM Japan Co., Ltd. (“PGIM Japan”), located in Tokyo; (iii) the public fixed income unit within PGIM (Singapore) Pte. Ltd., located in Singapore (“PGIM Singapore”); (iv) the public fixed income unit within PGIM (Hong Kong) Ltd. located in Hong Kong; and (v) PGIM Netherlands B.V., located in Amsterdam (“PGIM Netherlands”). PFI of the United States is not affiliated in any manner with Prudential plc, incorporated in the United Kingdom, or with Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom. Prudential, PGIM, their respective logos and the Rock symbol are service marks of PFI and its related entities, registered in many jurisdictions worldwide.

In the United Kingdom, information is issued by PGIM Limited with registered office: Grand Buildings, 1-3 Strand, Trafalgar Square, London, WC2N 5HR. PGIM Limited is authorised and regulated by the Financial Conduct Authority (“FCA”) of the United Kingdom (Firm Reference Number 193418). In the European Economic Area (“EEA”), information is issued by PGIM Netherlands B.V., an entity authorised by the Autoriteit Financiële Markten (“AFM”) in the Netherlands and operating on the basis of a European passport. In certain EEA countries, information is, where permitted, presented by PGIM Limited in reliance of provisions, exemptions or licenses available to PGIM Limited under temporary permission arrangements following the exit of the United Kingdom from the European Union. These materials are issued by PGIM Limited and/or PGIM Netherlands B.V. to persons who are professional clients as defined under the rules of the FCA and/or to persons who are professional clients as defined in the relevant local implementation of Directive 2014/65/EU (MiFID II). In certain countries in Asia-Pacific, information is presented by PGIM (Singapore) Pte. Ltd., a Singapore investment manager registered with and licensed by the Monetary Authority of Singapore. In Japan, information is presented by PGIM Japan Co. Ltd., registered investment adviser with the Japanese Financial Services Agency. In South Korea, information is presented by PGIM, Inc., which is licensed to provide discretionary investment management services directly to South Korean investors. In Hong Kong, information is provided by PGIM (Hong Kong) Limited, a regulated entity with the Securities & Futures Commission in Hong Kong to professional investors as defined in Section 1 of Part 1 of Schedule 1 (paragraph (a) to (i) of the Securities and Futures Ordinance (Cap.571). In Australia, this information is presented by PGIM (Australia) Pty Ltd (“PGIM Australia”) for the general information of its “wholesale” customers (as defined in the Corporations Act 2001). PGIM Australia is a representative of PGIM Limited, which is exempt from the requirement to hold an Australian Financial Services License under the Australian Corporations Act 2001 in respect of financial services. PGIM Limited is exempt by virtue of its regulation by the FCA (Reg: 193418) under the laws of the United Kingdom and the application of ASIC Class Order 03/1099. The laws of the United Kingdom differ from Australian laws. In Canada, pursuant to the international adviser registration exemption in National Instrument 31-103, PGIM, Inc. is informing you that: (1) PGIM, Inc. is not registered in Canada and is advising you in reliance upon an exemption from the adviser registration requirement under National Instrument 31-103; (2) PGIM, Inc.’s jurisdiction of residence is New Jersey, U.S.A.; (3) there may be difficulty enforcing legal rights against PGIM, Inc. because it is resident outside of Canada and all or substantially all of its assets may be situated outside of Canada; and (4) the name and address of the agent for service of process of PGIM, Inc. in the applicable Provinces of Canada are as follows: in Québec: Borden Ladner Gervais LLP, 1000 de La Gauchetière Street West, Suite 900 Montréal, QC H3B 5H4; in British Columbia: Borden Ladner Gervais LLP, 1200 Waterfront Centre, 200 Burrard Street, Vancouver, BC V7X 1T2; in Ontario: Borden Ladner Gervais LLP, 22 Adelaide Street West, Suite 3400, Toronto, ON M5H 4E3; in Nova Scotia: Cox & Palmer, Q.C., 1100 Purdy’s Wharf Tower One, 1959 Upper Water Street, P.O. Box 2380 - Stn Central RPO, Halifax, NS B3J 3E5; in Alberta: Borden Ladner Gervais LLP, 530 Third Avenue S.W., Calgary, AB T2P R3.

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