
Global Macro Trading
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Inhalt
- Cover
- Title Page
- Copyright
- Contents
- Preface
- Acknowledgments
- Part 1: An Overview of Global Macro
- Chapter 1: Surveying the Global Macro Landscape
- Types of Global Macro Strategies
- Discretionary
- Systematic
- High Frequency Trading
- Commodity Trading Advisors (CTAs)
- 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
- Confirmation Bias
- Availability Bias
- Anchoring Bias
- Remedies
- 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
- False Positives
- 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
- Currencies
- Equities
- Fixed Income
- Commodities
- Assessing the Relationships between Assets
- Risk On/Risk Off
- Correlation
- Summary
- Chapter 5: Technical Analysis
- Strengths and Weaknesses of Technical Analysis
- Types of Charts
- Line Chart
- Bar Chart
- Candlestick Charts
- Point and Figure
- Logarithmic Scale 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
- MACD
- RSI
- Stochastics (%K/%D)
- Elliott Wave Theory
- Corrective Waves
- Zigzags
- Flats
- Triangles
- Truncation
- Fibonacci
- Parabolics
- Seasonals
- Cycles
- Kondratiev Wave
- Kuznets Cycle
- Juglar Cycle
- Kitchin Inventory Cycle
- Crowd Psychology and Contrarian Views
- Initial Public Offerings (IPOs)
- Magazine Covers
- 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
- Value
- Trend
- Carry
- Fundamentals
- Factors
- Risk Factors
- Selecting Risk Factors
- Back-Testing Factors
- Risk Premia
- Risk Parity
- Risk
- Positions
- Summary
- Part 2: Global Macro Trading Foundation
- Chapter 7: Foreign Exchange in Global Macro
- The Role of the U.S. Dollar
- Central Bank Holdings of U.S. Dollars
- Dollar Index
- Trading Currencies
- Currency Forwards
- Non-Deliverable Forwards (NDFs)
- Spot Market
- Futures Market
- Options
- Currency Regimes
- Fixed Currency
- Floating with Frequent Intervention
- Valuation Techniques for Foreign Exchange
- Equity Index Price Performance
- Credit
- Sentiment
- Trade
- Trade-Weighted Index
- Economic Activity
- Export Partner Growth and Direct Exports
- Direct Exports
- Debt to GDP
- Absolute and Relative Purchasing Power Parity
- GDP per Capita
- Carry Indicators for Currency Valuation
- Bloomberg Shortcuts
- Summary
- Chapter 8: Equities
- Equity Indices Overview
- Taking a Top-Down Macro Approach
- Stock Baskets
- Sector Rotation
- Equity Derivatives
- Exchange Traded Funds (ETFs)
- American Depositary Receipts (ADRs)
- The Volatility Index (VIX)
- Variance Swaps
- Dividend Swaps
- Valuation Techniques for Equities
- Price-to-Book Value (P/B)
- Price-to-Dividend
- Price-to-Earnings Ratio (P/E)
- Price-to-Free Cash Flow
- Stock Market Capitalization as a Percentage of GDP
- Commodity Prices
- Markit CDX High Yield Index
- Purchasing Manager's Index (PMI)
- Dry Bulk Index
- Trading Index or ARMS Index
- Consumer Confidence
- Australian Dollar Volatility
- Bloomberg Shortcuts
- Summary
- Chapter 9: Fixed Income
- Funding/Money Markets
- Commercial Paper
- Treasury Securities
- Treasury Inflation-Protected Securities (TIPS)
- Government Agencies
- Municipal Securities
- Banker's Acceptance
- Time Deposits
- Interbank Loans
- Repurchase Agreements
- London Interbank Offered Rate (LIBOR)
- Eurodollar Futures
- Interest Rate Swaps
- Federal (Fed) Funds
- Overnight Indexed Swaps (OIS)
- LIBOR-OIS Spread
- Forward Rate Agreements (FRAs)
- U.S. Fixed Income Futures
- Types of Expressions
- Flatteners and Steepeners
- Carry and Rolldown
- Sovereign Credit
- Sovereign Curve
- Curve Inversion
- Credit Default Swaps (CDS)
- Credit Events
- Credit Risk
- Reference Entities
- Recovery Rates on Sovereign Issuers
- Why Trade Sovereign CDS?
- Exchange Traded Funds (ETFs)
- Bloomberg Shortcuts
- Summary
- Chapter 10: Commodities
- Supply Drivers
- Demand Drivers
- Ending Stock
- Contango and Backwardation
- CRB Index
- Return and Volatility
- Energy
- Oil
- Natural Gas
- Production
- Precious Metals
- Gold
- Silver
- Platinum
- Industrial Metals
- Copper
- Aluminum
- Agriculture
- Corn
- Ethanol
- Wheat
- Soybeans
- Cotton
- Coffee
- Bloomberg Shortcuts
- Summary
- Chapter 11: The Role of Central Banks in Global Macro
- Monetary Policy Goals
- Tools Used by Central Banks
- Reserve Ratio
- Interest Rate
- Open Market Operations
- Currency Intervention
- Unsterilized
- Taylor Rule
- The Impossible Trinity
- Monetary Base
- Money Supply
- Reserves
- Zero Lower Bound and the Liquidity Trap
- Quantitative Easing
- Interpreting Central Bank Communication
- Statements
- Hawks and Doves
- Minutes
- Central Banks
- The Federal Reserve
- European Central Bank
- The Swiss National Bank
- The Bank of England (BOE)
- Bloomberg Shortcuts
- Summary
- Appendix: Fed Programs during the Financial Crisis
- Chapter 12: Economic Data Releases and Demographics
- Measuring Growth
- GDP
- Inflation
- Employment and Population
- Balance of Payments
- Current Account
- Exports and Imports
- Trade Balance
- Terms of Trade (ToT)
- Reserves
- Government Indicators
- Government Expenditures and Revenues
- Budget Balance
- Government Debt and Debt-to-GDP
- Consumption Indicators
- Savings Rate
- Consumer Confidence
- Industry and Services Indicators
- Business Conditions
- Industrial Production
- Building Permits
- Capacity Utilization
- Demographics
- Bloomberg Shortcuts
- Summary
- References
- About the Author
- Index
- EULA
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