Global Macro Trading: Profiting in a New World Economy -- 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.