[책] Macro trading and investment strategies: macroeconomic arbitrage in global markets

자료: google books

저자 Gabriel Burstein

발행인 John Wiley and Sons, 1999

ISBN 0471315869, 9780471315865

길이 228페이지

※ 메모: 

Trading and investment based primarily (but not exclusively!) on macroeconomic information and macroeconomic views are known as macro trading and investment. The distinction we make here between trading and investment is based on the difference between short- and medium-term trading and long-term investing.

• Strategies with such predominant macroeconomic motivation are called macro strategies. These are top-down bets on macroeconomic themes using liquid assets in large volumes. 
• Hedge funds following this approach are called macro hedge funds, and they are characterized by a macro style of trading and investment overlayed on other globally diversified strategies. 

It is important to understand that the portfolio of strategies of a global macro hedge fund is much wider than just global macro strategies. This book deals with intrinsic global macro strategies and not with global macro hedge fund styles as a whole. In the universe of assets of hedge funds, macro style has the largest asset allocation among all other strategies of styles, such as market neutral, relative value arbitrage, merger arbitrage, and distressed securites, as shown in Figure 2.1.

• The typical instruments used to implement such strategies are currencies, bond and stock index futures, commodities, and interest rate futures. 
• Traditionally, the main macroeconomic themes focused on interest rates, inflation consumer price index(CPI), producer price index(PPI), gross domestic product(GDP), exchange rates, and money supply. 
• Simplifying matters just for the moment, a typical example of macro trades is that whatever macroeconomic indicator or variables one watches(CPI, PPI, retail sales, GDP, employment), one gernerally ends up drawing a conclusion on the trend of interest rates based on growth and inflation. 
• From here one infers either bullish or bearish directional conclusions on currencies(exchange rates), stock indices, and bonds. 

It is important to note from this early stage that a macroeconomic indicator like retail sales was used thus far as an intermediary tool to assess inflation and almost never as a direct theme for a macro trade. One of the main contributions of this book will be to ^refocus the macro style on all the auxiliary macro indocators and variables and to generate new strategies using assets directly related to these^(example: retailer stocks trades based on retail sales mispricing in stock markets as opposed to stock index futures trades based on inflation expectations using retail sales as a variable in the thinking process leading to views on inflation).

Macro trading and investment strategies started and developed historically as directional strategies, when one typically buys an asset because several macroeconomic variables and indicators lead to macroeconomic views favorable to that asset. This is why macro has high volatility and high returns (see Figure 2.2). It was probably in fixed-income markets that macroeconomic information was first used to lead to nondirection long/short macro trades and investments when, simultaneously with buying an asset, a second related similar asset was also sold against the first one, based on relative performance expectations given by macroeconomic views. Examples of this would be selling a government bond of one country based on relative interest-rate expectations and selling long term bonds against bonds with shorter maturities(known as ^yield curve trades^) based, for example, on the pattern of growth. Long/short macro trades have lower returns than directional trades do, but also lower volatility. .... (생략)

도서 개요

Some of the most successful and well-known hedge funds have long profited from a trading strategy that applies macroeconomic views to global markets: global macro. Pioneered by hedge fund managers such as George Soros and Julian Robertson, this strategy has led to enormous profits. By placing directional bets on liquid assets, it is particularly suited for trending markets. In Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets, Gabriel Burstein defines and rigorously analyzes this investment style. He then proposes macro arbitrage as an original alternative to trading subjective macroeconomic views at times when markets are either trending or are extremely volatile, lacking direction, and in crisis, such as during the Asian, Russian, and Latin American economic and financial collapses of the late 1990s. Macro arbitrage is introduced as a new, lower-risk, long/short macro strategy that is based on detecting objective macroeconomic mispricings in global markets. Burstein shows how this trading strategy works in stock market sector spreads (food retailers/general retailers, banks/utilities), stock index spreads (Italy/Spain, Sweden/Finland), and with the European Monetary Union (EMU) ahead of its 1999 single-currency final stage. In Macro Trading and Investment Strategies, 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.