Trading Global Macro Markets - Alex Saunders

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Résumé :

Discover opportunities in macro trading as global market volatility increases

In Trading Global Macro Markets, accomplished global macro veterans Dirk Willer and Alex Saunders deliver a complete and incisive guide to navigating global macroeconomic trends as the low volatility world of quantitative easing gives way to the post-pandemic world of increased interest rates and macro volatility. The authors offer coverage of every major asset class, from government debt and credit to equity, commodity, and foreign exchange markets, along with back-tested frameworks going back over two decades and more that illustrate how to trade each class and how to make cross-asset trading decisions.

This fully validated roadmap to global macro trading is a thoroughly researched handbook filled with use-cases, charts, examples, and tools. It avoids overly complex mathematics in favor of concise explanations and case studies wherever possible, ensuring it remains accessible to practitioners and traders from a wide variety of backgrounds.

You'll also find:

• Strategies for trading the business cycle and macroeconomic events, like economic data releases, monetary policy meetings, elections, and geopolitical flashpoints
• Techniques for tactical asset allocation
• Ways to choose between asset classes and discussions of trades that illustrate the concepts explored in the book

Ideal for global macro buy-side and sell-side professionals, asset allocators, market researchers, academics, regulators, and policymakers, Trading Global Macro Markets will prove invaluable to all finance practitioners interested in the interplay between macroeconomics and the markets....

Biographie:

DIRK WILLER is a Managing Director and Global Head of Macro and Asset Allocation at Citi Research in New York. Dirk covers global macro markets across all asset classes and geographies, leading teams in Europe and the US. In this role he regularly consults with many of the world's largest institutional investors, corporates as well as policymakers. Prior to this role, Dirk headed global Emerging Market Strategy, where he and his teams were consistently ranked in the top three in the institutional investor surveys. Dirk is frequently quoted in the financial press and interviewed on TV and podcasts, including Macro Hive and Odd Lots, and speaks on various industry panels. Previously, Dirk worked at Omega Advisors and RHG Capital as a global macro strategist and portfolio manager and at Swiss Bank as a fixed income strategist for Russia and Eastern Europe. Prior to his work on buy and sell-side Dirk was consulting the Russian government under Deputy Prime Minister Anatoly Chubais during the successful stabilization period in 1994/1995. Dirk holds a PhD and MSc in Economics from the London School of Economics, following his undergraduate work at the University of St.Gallen in Switzerland. Dirk is also the author of an influential book on how to trade emerging market fixed income, published by Wiley in 2020. Dirk is a member of Atlantik-Bruecke and the Economics Club of New York. He resides in NYC with his wife and four daughters. ALEX SAUNDERS is Head of Quantitative Macro Research at Citi. Prior to joining Citi in 2021, he accumulated over twenty years of practitioner-?focused experience spanning buy-side portfolio management and macro research across multiple market cycles. His work integrates quantitative analysis with real-world market dynamics across global asset classes. Alex holds undergraduate and postgraduate degrees in economics, and his work has appeared on television, in news media, and in academic journals....

Sommaire:

CHAPTER 1 Introduction 1
1.1 Acknowledgments 4

CHAPTER 2 Global Macro Rules 7
2.1 Long-Term Performance of Macro Funds is Strong 7
2.2 How Do Macro Funds Make Money? 8
2.3 A Bright Future 1: Equities are Expensive 9
2.4 A Bright Future 2: Volatility Rises During QT 10
2.5 A Bright Future 3: Rates Bets with Highest Sharpe Ratio and More Profitable with Rates Substantially Above Zero 11
2.6 A Bright Future 4: Performance Cushion from Non-zero SOFR 11
2.7 A Note on Process and Does History Really Rhyme? 13
2.8 What is Good Performance? 14
2.9 Summary 15

CHAPTER 3 It's the Business Cycle, Stupid 17
3.1 From Boom to Bust and Back 17
3.2 What is Leading-Fundamentally? 19
3.3 But Who is Really in Front? 21
3.4 Crystal Balls or False Prophets: How Useful are the Leading Indicators? 26
3.5 Trading in the Rearview Mirror 29
3.6 How to Trade a US Recession 33
3.7 Pricing Price Changes 40
3.8 The Third Mandate 41
3.9 Rhyming it Does, but not Repeating 45
3.10 Born in the USA 47
3.11 From China with Love 48
3.12 Trailing the Tide: Europe usually a Follower 49
3.13 India as the Next China? 53
3.14 Summary 56

CHAPTER 4 Temporary Turmoil: Markets and (Geo) Politics 57
4.1 Geopolitical Risk the Bad Old Days 57
4.2 From Conflict to Barrel 60
4.2.1 Hedging Conflict 65
4.3 Warfare by Tariff 66
4.4 Volatility at the Ballot Box 67
4.5 Summary 77

CHAPTER 5 How to Trade Rates: A Framework 79
5.1 A Treasure to Behold 79
5.2 It's the Fed, Stupid 82
5.3 How to Trade a Hiking Cycle 87
5.4 Hikes are Oily 91
5.5 The Wisdom of Equity Markets 93
5.6 How to Trade an Easing Cycle 94
5.7 Trading the Curve 104
5.8 The Weight of Supply 107
5.9 Valuation-Use Sparingly 111
5.10 Trend Following-Only in the Short Term 112
5.11 TIPS-The True Treasure 113
5.12 When Rates Markets Roar 117
5.13 Summary 118

CHAPTER 6 How to Trade Rates: The Tactics 121
6.1 The Anatomy of a Rates Sell-off 121
6.2 The Wisdom of the FOMC 126
6.3 Trading the Nonfarm Catalyst (NFC) 128
6.4 CESI-a Busy Man's Guide to the Economy 130
6.5 When Safety Backfires 132
6.6 A Season for Bonds? 133
6.7 Summary 134

CHAPTER 7 How to Trade Rates: Globalizing 135
7.1 Can Global Fixed-Income Markets Diverge from the Fed? 135
7.2 Bonding with Bunds 140
7.3 Gilded Gilts? 142
7.4 At the Periphery 146
7.5 Is Japan Different? 149
7.6 Is China Different? 152
7.7 EM Rates-Wagged by the Global Macro Dog 153
7.8 One-way or Two-way Traffic? 154
7.9 Summary 157

CHAPTER 8 How to Trade Equities: A Framework 159
8.1 Equities in the Big Picture: The Only Way is Up 159
8.2 Equities and the Business Cycle 161
8.3 Equities and the Fed 163
8.4 Equities and Earnings 171
8.5 Equities and Liquidity 179
8.6 Equities and Bubbles 180
8.7 Valuation Not Very Valuable 189
8.8 Winners Keep Winning 191
8.9 Small, Not Often Beautiful 193
8.10 Summary 195

CHAPTER 9 How to Trade Equities: The Tactics 197
9.1 Spotting the Peaks 197
9.2 Bottom Watching 198
9.3 Positioning Pain Trades 205
9.4 Insiders have Insight 205
9.5 Buybacks-Don't Have Your Back 208
9.6 There is a Season for it 209
9.7 Of Good News Bears-and Vice Versa 213
9.8 The FOMC Effect 217
9.9 Summary 218

CHAPTER 10 How to Trade Equities: Globalizing 221
10.1 The Cycle goes Global 221
10.2 Global Equities meet FX 225
10.3 Trading Tokyo 226
10.4 Trading Frankfurt 228
10.5 Trading London 229
10.6 Trading Shanghai 232
10...