Hendry, manager of the hedge fund Eclectica Asset Management, writes that higher U.S. yields drove up yields across global markets.
"Countries from Brazil to
"Moreover with the on-going economic slowdown in China, companies and currencies of commodity producers that rely heavily on sales to China continued to weaken in June. This was particularly the case in Australia and Brazil where exports to China account for 29% and 16% of total shipments respectively. This structural weakness benefited our EM currency basket, which made a modest gain for the month but was outweighed by losses elsewhere in FX."
He also highlighted the liquidity squeeze and surge in Chinese interbank rates in June.
With all of this in mind he writes that "the storm that caused chaos across financial markets since May should not dissipate any time soon."
Hendry continues to be short China and emerging market currencies.