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<p>Preface xiii</p> <p><b>Part One: An Overview Of Global Macro</b></p> <p><b>Chapter 1 </b><b>Surveying the Global Macro Landscape 3</b></p> <p>Types of Global Macro Strategies 3</p> <p>Return Profile and Allocations 6</p> <p>Hedge Funds and Global Macro 7</p> <p>Summary 10</p> <p><b>Chapter 2 </b><b>Trading Process, Sizing Trades, and Monitoring </b><b>Performance 11</b></p> <p>Maintaining a Stringent Process 12</p> <p>Objectivity and Bias 12</p> <p>Taking Losses 15</p> <p>Position Sizing 16</p> <p>Unit Size 17</p> <p>Volatility Adjusting Position Size 17</p> <p>Risk/Reward 18</p> <p>Correlation 19</p> <p>Gap Risk 20</p> <p>Position Sizing Sheet 21</p> <p>Thematic Trade 21</p> <p>Sharpe Ratio 22</p> <p>Sortino Ratio 23</p> <p>Drawdowns 23</p> <p>Value at Risk (VaR) 23</p> <p>Risk Utilization 24</p> <p>Stress-Testing 26</p> <p>Monitoring Performance 27</p> <p>Trend Analysis 29</p> <p>Bloomberg Shortcuts 31</p> <p>Summary 31</p> <p><b>Chapter 3 </b><b>Back-Tests, Queries, and Analogs 33</b></p> <p>Simple Back-Tests and Queries 33</p> <p>An Example of Building a Query 34</p> <p>Historical Correlations and Analogs 40</p> <p>Summary 43</p> <p><b>Chapter 4 </b><b>The Building Blocks of Global Macro Trading:The Importance of Equities, Fixed Income, Foreign </b><b>Exchange, and Commodities in Global Macro 45</b></p> <p>The Four Product Groups 45</p> <p>Assessing the Relationships between Assets 50</p> <p>Summary 53</p> <p><b>Chapter 5 </b><b>Technical Analysis 55</b></p> <p>Strengths and Weaknesses of Technical Analysis 55</p> <p>Types of Charts 56</p> <p>Volume and Open Interest 63</p> <p>CFTC Positioning 64</p> <p>Trend 66</p> <p>Moving Averages 66</p> <p>Bollinger Bands 67</p> <p>Reversal Patterns 67</p> <p>Head and Shoulders 68</p> <p>Trend Lines 69</p> <p>Triple Tops and Bottoms 69</p> <p>Continuation Patterns 70</p> <p>Triangles 70</p> <p>Oscillators 71</p> <p>Elliott Wave Theory 74</p> <p>Parabolics 80</p> <p>Seasonals 82</p> <p>Cycles 83</p> <p>Crowd Psychology and Contrarian Views 84</p> <p>Chartered Market Technician (CMT) 87</p> <p>Bloomberg Shortcuts 88</p> <p>Summary 89</p> <p><i>Contents </i>ix</p> <p><b>Chapter 6 </b><b>Systematic Trading 91</b></p> <p>A Brief Definition of Systematic Trading 91</p> <p>Framework for Constructing a Systematic Model 92</p> <p>Assets or Product Groups 92</p> <p>Strategies 93</p> <p>Factors 97</p> <p>Risk Factors 98</p> <p>Risk Premia 99</p> <p>Risk Parity 100</p> <p>Summary 103</p> <p><b>Part Two: Global Macro Trading Foundation</b></p> <p><b>Chapter 7 </b><b>Foreign Exchange in Global Macro 107</b></p> <p>The Role of the U.S. Dollar 107</p> <p>Trading Currencies 109</p> <p>Currency Regimes 111</p> <p>Valuation Techniques for Foreign Exchange 120</p> <p>Bloomberg Shortcuts 134</p> <p>Summary 135</p> <p><b>Chapter 8 </b><b>Equities 137</b></p> <p>Equity Indices Overview 137</p> <p>Equity Derivatives 140</p> <p>Valuation Techniques for Equities 149</p> <p>Bloomberg Shortcuts 159</p> <p>Summary 161</p> <p><b>Chapter 9 </b><b>Fixed Income 163</b></p> <p>Funding/Money Markets 163</p> <p>London Interbank Offered Rate (LIBOR) 170</p> <p>Interest Rate Swaps 172</p> <p>Federal (Fed) Funds 172</p> <p>Overnight Indexed Swaps (OIS) 173</p> <p>Forward Rate Agreements (FRAs) 176</p> <p>U.S. Fixed Income Futures 177</p> <p>Sovereign Credit 180</p> <p>Sovereign Curve 181</p> <p>Curve Inversion 181</p> <p>Credit Default Swaps (CDS) 182</p> <p>Exchange Traded Funds (ETFs) 187</p> <p>Bloomberg Shortcuts 188</p> <p>Summary 194</p> <p><b>Chapter 10 </b><b>Commodities 195</b></p> <p>Supply Drivers 196</p> <p>Demand Drivers 197</p> <p>Ending Stock 198</p> <p>Contango and Backwardation 198</p> <p>CRB Index 200</p> <p>Return and Volatility 200</p> <p>Energy 201</p> <p>Natural Gas 219</p> <p>Precious Metals 223</p> <p>Industrial Metals 231</p> <p>Agriculture 237</p> <p>Bloomberg Shortcuts 264</p> <p>Summary 267</p> <p><b>Chapter 11 </b><b>The Role of Central Banks in Global Macro 269</b></p> <p>Monetary Policy Goals 269</p> <p>Tools Used by Central Banks 271</p> <p>The Impossible Trinity 275</p> <p>Monetary Base 276</p> <p>Money Supply 276</p> <p>Reserves 277</p> <p>Zero Lower Bound and the Liquidity Trap 279</p> <p>Quantitative Easing 279</p> <p>Interpreting Central Bank Communication 282</p> <p>Central Banks 286</p> <p>Bloomberg Shortcuts 310</p> <p>Summary 311</p> <p>Appendix: Fed Programs during the Financial Crisis 311</p> <p><b>Chapter 12 </b><b>Economic Data Releases and Demographics 315</b></p> <p>Measuring Growth 315</p> <p>Inflation 316</p> <p>Employment and Population 317</p> <p>Balance of Payments 320</p> <p>Government Indicators 323</p> <p>Consumption Indicators 325</p> <p>Industry and Services Indicators 326</p> <p>Demographics 329</p> <p>Bloomberg Shortcuts 333</p> <p>Summary 334 </p>

<p><b>GREG GLINER</b> 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. <p>Gliner pledges all personal profits from the sale of this book to charity.

<p><i>Global Macro Trading: Profiting in a New World Economy</i> 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. Whether you are a retail investor, finance professional, or manage your own portfolio, this book equips you with the knowledge and skills you need to capitalize in global macro. <p>Gliner provides a comprehensive overview of global macro trading, which consists of portfolio construction, risk management, biases, and essentials to query building. <i>Global Macro Trading</i> equips the reader with introductions and tools for each of the four asset classes: equities, currencies, fixed income, and commodities. The reader will be armed with a range of powerful global macro trading and investing strategies that include introductions to discretionary and systematic macro. The book also discusses the role of central banking and the importance of global macroeconomic data releases and demographics as they relate to global macro trading. <p>The thorough information provided in <i>Global Macro Trading</i> enables readers to navigate global macro markets with confidence. After reading this book, you will understand the basic concepts behind the asset class and ways to trade it. You will also have a reference guide that will serve as a valuable tool in navigating the various regimes and market conditions. This information will empower the reader with a confident and competent understanding of global macro.

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