Macro Trading and Investment Strategies is the first thorough examination of one of the most proficient and enigmatic trading strategies in use today - global macro. More importantly, it introduces an innovative strategy to this popular hedge fund investment style - global macroeconomic arbitrage.
In Macro Trading and Investment Strategies, Dr. Burstein presents, with examples, the framework for traditional global macro strategies, then shows how to use macroeconomic mispricings in global financial markets to design innovative global macroeconomic arbitrage strategies for trading and investing. Packed with revealing trading case studies, examples, explanations, and definitions, this comprehensive work covers:
* Global directional macro, long/short macro, and macroeconomic arbitrage trading and investment strategies
* Causes of macroeconomic mispricings in markets; tackling secondary macroeconomic variables in trades
* The importance of technical timing in macro arbitrage
* Volatility of macro arbitrage strategies versus volatility of relative-value strategies
* Mispricing opportunities due to the effect of the Asian crisis on global markets
* Macro arbitrage of the EMU convergence mispricing in equity markets
* Mispricings of retail sales, GDP, industrial production, interest rates, and exchange rates in stock markets
In-depth and timely, Macro Trading and Investment Strategies covers an area of intense interest to today's trading and investment community and shows new opportunities. It is invaluable reading for those seeking new ways to tackle today's volatile global markets.
Gabriel Burstein (London, UK) heads Specialized Equity Sales & Trading at Daiwa Europe Limited, where he set up the department to sell European equity products to hedge funds.
Table of contents
Introducton: From Subjective Macroeconomic Views to Objective Macroeconomic Mispricings in Global Markets.
Macro Trading and Investment Strategies.
Directional Marco Trading and Investment.
Long/Short Marco Trading Investment.
Macroeconomic Arbitrage in Global Markets: A New Marco Strategy.
Comparison Between Macroeconomic Arbitrage, Directional Macro, and Long/Short Macro Strategies.
Macroeconomic Arbitrage Based on Retail Sales Mispricings in Markets.
Causes of Macroeconomic Mispricings in Markets and Tackling Secondary Macroeconomic Variables in Trades.
The Importance to Technical Timing in Macro Arbitrage.
The Relation Between Macro and Micro Fundamentals in Macro Arbitrage.
Volatility of Macro Arbitrage Strategies versus Relative Value Strategies.
Macro Arbitrage Is Uncorrelated to Directional and Relative Value Strategies.
Macro Arbitrage Trading and Investment Based on Gross Domestic Product (GDP) Mispricings in Global Markets.
Macro Arbitrage Based on Interest Rates Mispricing in Global Markets.
Macro Arbitrage of Consumer Expenditure Mispricings in Global Markets.
Macro Arbitrage of Manufacturing Shipments Mispricings in Global Markets.
Mispricings of Asian Crisis Effects on Global Markets: When Macro Events Trigger Subliminal Market Relations.
Macro Arbitrage of EMU Convergence Mispricings in Equity Markets.
Macro Mispricings of Currencies (Exchange Rates) in Stock Markets.
Long/Short Macro Spreads and Macro Arbitrage Opportunities within the New EMU Euro Stock Markets.
Macro Arbitrage of Industrial Production Mispricings in Equity Markets.
Epilogue: Global Financial Crisis Domino Effect Corrects Macro Mispricings.