Greg Gliner

Global Macro Trading (Bloom Fi

• Gebundenes Buch

Produktbeschreibung

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

Produktdetails

• Bloomberg Financial
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 368
• Erscheinungstermin: Juli 2014
• Englisch
• Abmessung: 236mm x 156mm x 32mm
• Gewicht: 632g
• ISBN-13: 9781118362426
• ISBN-10: 111836242X
• Artikelnr.: 36878098

Autorenporträt

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.

Inhaltsangabe

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 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
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. Dollar 107 Trading
Currencies 109 Currency Regimes 111 Valuation Techniques for Foreign
Exchange 120 Bloomberg Shortcuts 134 Summary 135 Chapter 8 Equities 137
Equity Indices Overview 137 Equity Derivatives 140 Valuation Techniques for
Equities 149 Bloomberg Shortcuts 159 Summary 161 Chapter 9 Fixed Income 163
Funding/Money Markets 163 London Interbank Offered Rate (LIBOR) 170
Interest Rate Swaps 172 Federal (Fed) Funds 172 Overnight Indexed Swaps
(OIS) 173 Forward Rate Agreements (FRAs) 176 U.S. Fixed Income Futures 177
Sovereign Credit 180 Sovereign Curve 181 Curve Inversion 181 Credit Default
Swaps (CDS) 182 Exchange Traded Funds (ETFs) 187 Bloomberg Shortcuts 188
Summary 194 Chapter 10 Commodities 195 Supply Drivers 196 Demand Drivers
197 Ending Stock 198 Contango and Backwardation 198 CRB Index 200 Return
and Volatility 200 Energy 201 Natural Gas 219 Precious Metals 223
Industrial Metals 231 Agriculture 237 Bloomberg Shortcuts 264 Summary 267
Chapter 11 The Role of Central Banks in Global Macro 269 Monetary Policy
Goals 269 Tools Used by Central Banks 271 The Impossible Trinity 275
Monetary Base 276 Money Supply 276 Reserves 277 Zero Lower Bound and the
Liquidity Trap 279 Quantitative Easing 279 interpreting central bank
communication 282 Central Banks 286 Bloomberg Shortcuts 310 Summary 311
Appendix: Fed Programs during the Financial Crisis 311 Chapter 12 Economic
Data Releases and Demographics 315 Measuring Growth 315 Inflation 316
Employment and Population 317 Balance of Payments 320 Government Indicators
323 Consumption Indicators 325 Industry and Services Indicators 326
Demographics 329 Bloomberg Shortcuts 333 Summary 334 References 335 About
the Author 341 Index 343