Preface xi 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 ProcessĪnd 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-TestsĪnd 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 EquitiesĪnd 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 Chapter 6 Systematic Trading 91 A Brief Definition of Systematic Trading 91 Framework for Constructing a Systematic Model 92 Assets or Product Groups 92 Strategies 93 Factors 97 Risk Factors 98 Risk Premia 99 Risk Parity 100 Summary 103 Part Two: Global Macro Trading Foundation Chapter 7 Foreign Exchange in Global Macro 107 The Role of the U.S.
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* Provides a comprehensive overview of global macro trading,which consists of portfolio construction, risk management, biasesand essentials to query building * Equips the reader with introductions and tools for each of thefour asset classes equities, currencies, fixed income andcommodities * Arms you with a range of powerful global-macro trading andinvesting strategies, that include introductions to discretionaryand systematic macro * Introduces the role of central banking, importance of globalmacroeconomic data releases and demographics, as they relate toglobal macro tradingĭieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden. Whether you are aretail investor, manage your own portfolio, or a financeprofessional, this book equips you with the knowledge and skillsyou need to capitalize in global macro. Greg Gliner, who has worked for some of thelargest global macro hedge funds, shares ways in which an array ofglobal macro participants seek to capitalize on this strategy,while also serving as a useful reference tool. Brings global macro trading down to earth for individual andprofessional traders, investors and asset managers, as well being auseful reference handbook Global Macro Trading is an indispensable guide fortraders and investors who want to trade Global Macro - itprovides Trading Strategies and overviews of the four asset classesin Global Macro which include equities, currencies, fixed incomeand commodities.
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