Global Macro Trading

Greg Gliner 지음

Bloomberg Press 2014년 05월 20일 출간

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Brings global macro trading down to earth for individual and professional traders, investors and asset managers, as well being a useful reference handbookGlobal 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 buildingEquips the reader with introductions and tools for each of the four asset classes; equities, currencies, fixed income and commoditiesArms you with a range of powerful global-macro trading and investing strategies, that include introductions to discretionary and systematic macroIntroduces the role of central banking, importance of global macroeconomic data releases and demographics, as they relate to global macro trading

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Preface xiPart One: An Overview of Global MacroChapter 1 Surveying the Global Macro Landscape 3Types of Global Macro Strategies 3Return Profile and Allocations 6Hedge Funds and Global Macro 7Summary 10Chapter 2 Trading Process, Sizing Trades, and Monitoring Performance 11Maintaining a Stringent Process 12Objectivity and Bias 12Taking Losses 15Position Sizing 16Unit Size 17Volatility Adjusting Position Size 17Risk/Reward 18Correlation 19Gap Risk 20Position Sizing Sheet 21Thematic Trade 21Sharpe Ratio 22Sortino Ratio 23Drawdowns 23Value at Risk (VaR) 23Risk Utilization 24Stress-Testing 26Monitoring Performance 27Trend Analysis 29Bloomberg Shortcuts 31Summary 31Chapter 3 Back-Tests, Queries, and Analogs 33Simple Back-Tests and Queries 33An Example of Building a Query 34Historical Correlations and Analogs 40Summary 43Chapter 4 The Building Blocks of Global Macro Trading: The Importance of Equities, Fixed Income, Foreign Exchange, and Commodities in Global Macro 45The Four Product Groups 45Assessing the Relationships between Assets 50Summary 53Chapter 5 Technical Analysis 55Strengths and Weaknesses of Technical Analysis 55Types of Charts 56Volume and Open Interest 63CFTC Positioning 64Trend 66Moving Averages 66Bollinger Bands 67Reversal Patterns 67Head and Shoulders 68Trend Lines 69Triple Tops and Bottoms 69Continuation Patterns 70Triangles 70Oscillators 71Elliott Wave Theory 74Parabolics 80Seasonals 82Cycles 83Crowd Psychology and Contrarian Views 84Chartered Market Technician (CMT) 87Bloomberg Shortcuts 88Summary

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저자(글) Greg Gliner

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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 MA, 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.