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Global Macro Trading: Profiting in a New World Economy

Book Description

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

  • Table of Contents

    1. Preface
    2. Part One: An Overview of Global Macro
      1. Chapter 1: Surveying the Global Macro Landscape
        1. Types of Global Macro Strategies
        2. Return Profile and Allocations
        3. Hedge Funds and Global Macro
        4. Summary
      2. Chapter 2: Trading Process, Sizing Trades, and Monitoring Performance
        1. Maintaining a Stringent Process
        2. Objectivity and Bias
        3. Taking Losses
        4. Position Sizing
        5. Unit Size
        6. Volatility Adjusting Position Size
        7. Risk/Reward
        8. Correlation
        9. Gap Risk
        10. Position Sizing Sheet
        11. Thematic Trade
        12. Sharpe Ratio
        13. Sortino Ratio
        14. Drawdowns
        15. Value at Risk (VaR)
        16. Risk Utilization
        17. Stress-Testing
        18. Monitoring Performance
        19. Trend Analysis
        20. Bloomberg Shortcuts
        21. Summary
      3. Chapter 3: Back-Tests, Queries, and Analogs
        1. Simple Back-Tests and Queries
        2. An Example of Building a Query
        3. Historical Correlations and Analogs
        4. Summary
      4. Chapter 4: The Building Blocks of Global Macro Trading: The Importance of Equities, Fixed Income, Foreign Exchange, and Commodities in Global Macro
        1. The Four Product Groups
        2. Assessing the Relationships between Assets
        3. Summary
      5. Chapter 5: Technical Analysis
        1. Strengths and Weaknesses of Technical Analysis
        2. Types of Charts
        3. Volume and Open Interest
        4. CFTC Positioning
        5. Trend
        6. Moving Averages
        7. Bollinger Bands
        8. Reversal Patterns
        9. Head and Shoulders
        10. Trend Lines
        11. Triple Tops and Bottoms
        12. Continuation Patterns
        13. Triangles
        14. Oscillators
        15. Elliott Wave Theory
        16. Parabolics
        17. Seasonals
        18. Cycles
        19. Crowd Psychology and Contrarian Views
        20. Chartered Market Technician (CMT)
        21. Bloomberg Shortcuts
        22. Summary
      6. Chapter 6: Systematic Trading
        1. A Brief Definition of Systematic Trading
        2. Framework for Constructing a Systematic Model
        3. Assets or Product Groups
        4. Strategies
        5. Factors
        6. Risk Factors
        7. Risk Premia
        8. Risk Parity
        9. Summary
    3. Part Two: Global Macro Trading Foundation
      1. Chapter 7: Foreign Exchange in Global Macro
        1. The Role of the U.S. Dollar
        2. Trading Currencies
        3. Currency Regimes
        4. Valuation Techniques for Foreign Exchange
        5. Bloomberg Shortcuts
        6. Summary
      2. Chapter 8: Equities
        1. Equity Indices Overview
        2. Equity Derivatives
        3. Valuation Techniques for Equities
        4. Bloomberg Shortcuts
        5. Summary
      3. Chapter 9: Fixed Income
        1. Funding/Money Markets
        2. London Interbank Offered Rate (LIBOR)
        3. Interest Rate Swaps
        4. Federal (Fed) Funds
        5. Overnight Indexed Swaps (OIS)
        6. Forward Rate Agreements (FRAs)
        7. U.S. Fixed Income Futures
        8. Sovereign Credit
        9. Sovereign Curve
        10. Curve Inversion
        11. Credit Default Swaps (CDS)
        12. Exchange Traded Funds (ETFs)
        13. Bloomberg Shortcuts
        14. Summary
      4. Chapter 10: Commodities
        1. Supply Drivers
        2. Demand Drivers
        3. Ending Stock
        4. Contango and Backwardation
        5. CRB Index
        6. Return and Volatility
        7. Energy
        8. Natural Gas
        9. Precious Metals
        10. Industrial Metals
        11. Agriculture
        12. Bloomberg Shortcuts
        13. Summary
      5. Chapter 11: The Role of Central Banks in Global Macro
        1. Monetary Policy Goals
        2. Tools Used by Central Banks
        3. The Impossible Trinity
        4. Monetary Base
        5. Money Supply
        6. Reserves
        7. Zero Lower Bound and the Liquidity Trap
        8. Quantitative Easing
        9. interpreting central bank communication
        10. Central Banks
        11. Bloomberg Shortcuts
        12. Summary
        13. Appendix: Fed Programs during the Financial Crisis
      6. Chapter 12: Economic Data Releases and Demographics
        1. Measuring Growth
        2. Inflation
        3. Employment and Population
        4. Balance of Payments
        5. Government Indicators
        6. Consumption Indicators
        7. Industry and Services Indicators
        8. Demographics
        9. Bloomberg Shortcuts
        10. Summary
    4. References
    5. About the Author
    6. Index
    7. End User License Agreement