Punch line: over the mid-term past, dollar-rally episodes have virtually always been associated with EM under-performance. Country-specific performance during these episodes, intra and inter, has been quite dispersed driven by unique macro dynamics and idiosyncratic factors.
Dovetailing on the recent, Dollar and EM post, the following analysis displays EM country-specific performance dynamics over extreme dollar-rally episodes over the mid-term past (Jan 1, 2010 to date; post GFC draw-down and aftermath; top 15 DXY-rally episodes).
To paraphrase, while extreme DXY selloffs don’t unambiguously foretell EM out-performance, extreme DXY rallies have virtually always been associated with EM under-performance, over this recent sample period.
Using a relative-ranking methodology (rank of average episodic rank), the following table lists EM countries (rank ordered best to worst) and the associated median episodic return. This relative-ranking order belies significant country dispersion, which is illustrated in the pdf further below.
Finally, the following pdf displays the detailed country-specific returns, best to worst, over each of the extreme dollar-rally episodes which highlights the significant intra- and inter-episode dispersion driven by unique macro dynamics and idiosyncratic factors .
Dollar Episodic EM country perfomance
Note: calculations Risk Advisors, data Bloomberg
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