Valuation Metrics in Emerging Debt

by Team of GMO, 7/27/23

A Note About Our Metrics

  • QVU metrics are designed to give asset allocators a time series of risk premia associated with the two sovereign emerging
    debt benchmarks for hard and local currency. The purpose is to help allocators time investing decisions. Our team uses
    them to create blended benchmark portfolios. We cover the pricing of credit in EMBIG-D, and currencies and rates in GBIEMGD by comparing prices to relevant fundamentals.
  • This edition includes the newest S&P credit transition matrix from the 2022 default study. The change in CTM data restates
    the entire fair spread history higher by an average of 5 basis points given higher default incidence.
  • Technical appendices covering methodology are available from your GMO representative.

valuation assessment