Macro Arbitrage Trading and Investment Based on Gross Domestic Product (GDP) Mispricings in Global Markets. Macro Arbitrage Is Uncorrelated to Directional and Relative Value Strategies. Volatility of Macro Arbitrage Strategies versus Relative Value Strategies. The Relation Between Macro and Micro Fundamentals in Macro Arbitrage. The Importance to Technical Timing in Macro Arbitrage. Macroeconomic Arbitrage Based on Retail Sales Mispricings in Markets.Ĭauses of Macroeconomic Mispricings in Markets and Tackling Secondary Macroeconomic Variables in Trades. Macroeconomic Arbitrage in Global Markets: A New Marco Strategy.Ĭomparison Between Macroeconomic Arbitrage, Directional Macro, and Long/Short Macro Strategies. Introducton: From Subjective Macroeconomic Views to Objective Macroeconomic Mispricings in Global Markets.ĭirectional Marco Trading and Investment. * Mispricings of retail sales, GDP, industrial production, interest rates, and exchange rates in stock markets * Macro arbitrage of the EMU convergence mispricing in equity markets * Mispricing opportunities due to the effect of the Asian crisis on global markets * Volatility of macro arbitrage strategies versus volatility of relative-value strategies
* The importance of technical timing in macro arbitrage * Causes of macroeconomic mispricings in markets tackling secondary macroeconomic variables in trades * Global directional macro, long/short macro, and macroeconomic arbitrage trading and investment strategies Written in a clear and concise style, it includes definitions and carefully tested trading examples.Packed with revealing trading case studies, examples, explanations, and definitions, this comprehensive work covers: Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets presents a new and compelling trading and investment strategy. In fact, the book shows how global financial crises create strong macro arbitrage opportunities while also being a catalyst for correcting preexistent macro mispricings. These macro arbitrage strategies are evaluated and tested in volatile markets such as the "domino effect" of the global financial crises of 1997-1998 that led to a hedge fund crisis. Based on objective mispricings of macroeconomic information in stock market index and stock sector index spreads, a new long/short arbitrage strategy is presented here that capitalizes on the correction of objective macroeconomic mispricings. As a result, global macro has a strong subjective-directional component. The classic global macro strategy utilizes macroeconomic information to anticipate market direction through subjective views. Burstein, an ex-Goldman Sachs macro proprietary trader who now heads a hedge funds-dedicated equity sales group at Daiwa Europe, proposes a new global macro strategy that is nondirectional and more objective. More importantly, it introduces an innovative strategy to this popular hedge fund investment style-global macroeconomic arbitrage.ĭr. 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.
#Macro trading how to#
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. 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. Macro arbitrage is introduced as a new, lower-risk, long/short macro strategy that is based on detecting objective macroeconomic mispricings in global markets. 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. In Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets, Gabriel Burstein defines and rigorously analyzes this investment style.
By placing directional bets on liquid assets, it is particularly suited for trending markets. Pioneered by hedge fund managers such as George Soros and Julian Robertson, this strategy has led to enormous profits. 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. Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets
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