Brings global macro trading down to earth for individual and
professional traders, investors and asset managers, as well being a
useful reference handbook
Global Macro Trading is an indispensable guide for
traders and investors who want to trade Global Macro - it
provides Trading Strategies and overviews of the four asset classes
in Global Macro which include equities, currencies, fixed income
and commodities. Greg Gliner, who has worked for some of the
largest global macro hedge funds, shares ways in which an array of
global macro participants seek to capitalize on this strategy,
while also serving as a useful reference tool. Whether you are a
retail investor, manage your own portfolio, or a finance
professional, this book equips you with the knowledge and skills
you need to capitalize in global macro.
* Provides a comprehensive overview of global macro trading,
which consists of portfolio construction, risk management, biases
and essentials to query building
* Equips the reader with introductions and tools for each of the
four asset classes; equities, currencies, fixed income and
commodities
* Arms you with a range of powerful global-macro trading and
investing strategies, that include introductions to discretionary
and systematic macro
* Introduces the role of central banking, importance of global
macroeconomic data releases and demographics, as they relate to
global macro trading
Autorentext
GREG GLINER most recently worked at AQR Capital Management on the Global Asset Allocation team and as an analyst at Tudor Investment Corporation, a global macro hedge fund focusing on discretionary macro in equities, commodities, foreign exchange, and fixed income. Prior to this, he was with Thracian Capital (a hedge fund seeded by Man Group PLC/GLG), where he was a Portfolio Manager. Gliner also worked at BNP Paribas in their equity derivatives business and was also with Citigroup's Financial Institution Group in investment banking where he was involved in various M&A, equity, and debt transactions. He holds MBAs from Columbia Business School and London Business School, and has a BS and BA from Miami University (OH) in finance and history.
Gliner pledges all personal profits from the sale of this book to charity.
Klappentext
Global Macro Trading: Profiting in a New World Economy is an indispensable guide for traders and investors who want to trade global macro—it provides trading strategies and overviews of the four asset classes in global macro, which include equities, currencies, fixed income, and commodities. Greg Gliner, who has worked for some of the largest global macro hedge funds, shares ways in which an array of global macro participants seek to capitalize on this strategy. Whether you are a retail investor, finance professional, or manage your own portfolio, this book equips you with the knowledge and skills you need to capitalize in global macro.
Gliner provides a comprehensive overview of global macro trading, which consists of portfolio construction, risk management, biases, and essentials to query building. Global Macro Trading equips the reader with introductions and tools for each of the four asset classes: equities, currencies, fixed income, and commodities. The reader will be armed with a range of powerful global macro trading and investing strategies that include introductions to discretionary and systematic macro. The book also discusses the role of central banking and the importance of global macroeconomic data releases and demographics as they relate to global macro trading.
The thorough information provided in Global Macro Trading enables readers to navigate global macro markets with confidence. After reading this book, you will understand the basic concepts behind the asset class and ways to trade it. You will also have a reference guide that will serve as a valuable tool in navigating the various regimes and market conditions. This information will empower the reader with a confident and competent understanding of global macro.
Zusammenfassung
Brings global macro trading down to earth for individual and professional traders, investors and asset managers, as well being a useful reference handbook
Global Macro Trading is an indispensable guide for traders and investors who want to trade Global Macro it provides Trading Strategies and overviews of the four asset classes in Global Macro which include equities, currencies, fixed income and commodities. Greg Gliner, who has worked for some of the largest global macro hedge funds, shares ways in which an array of global macro participants seek to capitalize on this strategy, while also serving as a useful reference tool. Whether you are a retail investor, manage your own portfolio, or a finance professional, this book equips you with the knowledge and skills you need to capitalize in global macro.
- Provides a comprehensive overview of global macro trading, which consists of portfolio construction, risk management, biases and essentials to query building
- Equips the reader with introductions and tools for each of the four asset classes; equities, currencies, fixed income and commodities
- Arms you with a range of powerful global-macro trading and investing strategies, that include introductions to discretionary and systematic macro
- Introduces the role of central banking, importance of global macroeconomic data releases and demographics, as they relate to global macro trading
Inhalt
Preface xiii
Part One: An Overview Of Global Macro
Chapter 1 Surveying the Global Macro Landscape 3
Types of Global Macro Strategies 3
Return Profile and Allocations 6
Hedge Funds and Global Macro 7
Summary 10
Chapter 2 Trading Process, Sizing Trades, and Monitoring Performance 11
Maintaining a Stringent Process 12
Objectivity and Bias 12
Taking Losses 15
Position Sizing 16
Unit Size 17
Volatility Adjusting Position Size 17
Risk/Reward 18
Correlation 19
Gap Risk 20
Position Sizing Sheet 21
Thematic Trade 21
Sharpe Ratio 22
Sortino Ratio 23
Drawdowns 23
Value at Risk (VaR) 23
Risk Utilization 24
Stress-Testing 26
Monitoring Performance 27
Trend Analysis 29
Bloomberg Shortcuts 31
Summary 31
Chapter 3 Back-Tests, Queries, and Analogs 33
Simple Back-Tests and Queries 33
An Example of Building a Query 34
Historical Correlations and Analogs 40
Summary 43
Chapter 4 The Building Blocks of Global Macro Trading:The Importance of Equities, Fixed Income, Foreign Exchange, and Commodities in Global Macro 45
The Four Product Groups 45
Assessing the Relationships between Assets 50
Summary 53
Chapter 5 Technical Analysis 55
Strengths and Weaknesses of Technical Analysis 55
Types of Charts 56
Volume and Open Interest 63
CFTC Positioning 64
Trend 66
Moving Averages 66
Bollinger Bands 67
Reversal Patterns 67
Head and Shoulders 68
Trend Lines 69
Triple Tops and Bottoms 69
Continuation Patterns 70
Triangles 70
Oscillators 71
Elliott Wave Theory 74
Parabolics 80
Seasonals 82
Cycles 83
Crowd Psychology and Contrarian Views 84
Chartered Market Technician (CMT) 87
Bloomberg Shortcuts 88
Summary 89
Contents ix
Chapter 6 Systematic Trading 91
A Brief Definition of Systematic Trading 91
Framework f…