Global Macro Trading: Profiting in a New World Economy

Praise for GLOBAL MACRO TRADING " Global Macro Trading is a precious addition to the analysis of macroeconomics. It also explains in clear and well-written chapters how to profit from continuously changing trends through the understanding of the relationships between equities, fixed income securities, foreign exchange, and commodity price movements. I highly recommend this very thorough and well-researched work to any investor." —Marc Faber, Editor, The Gloom, Boom & Doom Report "This is one of those books you want to have on your desk nearby and reference when you see something that you know is macro and want to get up to speed fast. Greg Gliner managed to get across a lot of important points and material in a clean and organized way, something that I wish I had 25 years ago when I was starting to trade global macro myself." —Robert Savage, CEO of CCTrack Solutions, a new quantitative macro hedge fund " Global Macro Trading is a perfect primer for those seeking to understand global macro. Gliner provides an easy to digest breakdown of the most critical topics related to trading global macro, including discretionary versus systematic approaches, technical analysis, the role of risk management in macro, economic data, and understanding different product groups. This book is a must-read for any money manager or trader seeking to understand the asset class." —Anthony Scaramucci, Founder and Co-Managing Partner, SkyBridge Capital "It is quite possible for a 'bottoms up' investor to go through life without any understanding of global macroeconomics. Most think it can only be done by Ph.D.'s with access to enormous computing capacity and are intimidated. Greg Gliner unravels some of the mysteries of the strategy and provides a helpful guide to harnessing its power in a disciplined way. Every investor can benefit from knowing more about the science and art of this craft." —Byron R. Wien, Vice Chairman, Blackstone Advisory Partners LP

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

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.