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Produktbild: Global Macro Trading (Bloom Fi

Global Macro Trading (Bloom Fi

Aus der Reihe Bloomberg Financial

75,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

16.06.2014

Verlag

John Wiley & Sons

Seitenzahl

368

Maße (L/B/H)

23,6/15,6/3,2 cm

Gewicht

632 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-36242-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

16.06.2014

Verlag

John Wiley & Sons

Seitenzahl

368

Maße (L/B/H)

23,6/15,6/3,2 cm

Gewicht

632 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-36242-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Global Macro Trading (Bloom Fi
  • Preface xi
     
    Part One: An Overview of Global Macro
     
    Chapter 1 Surveying the Global Macro Landscape 3
     
    Types of Global Macro Strategies 3
     
    Return Profile and Allocations 6
     
    Hedge Funds and Global Macro 7
     
    Summary 10
     
    Chapter 2 Trading Process, Sizing Trades, and Monitoring Performance 11
     
    Maintaining a Stringent Process 12
     
    Objectivity and Bias 12
     
    Taking Losses 15
     
    Position Sizing 16
     
    Unit Size 17
     
    Volatility Adjusting Position Size 17
     
    Risk/Reward 18
     
    Correlation 19
     
    Gap Risk 20
     
    Position Sizing Sheet 21
     
    Thematic Trade 21
     
    Sharpe Ratio 22
     
    Sortino Ratio 23
     
    Drawdowns 23
     
    Value at Risk (VaR) 23
     
    Risk Utilization 24
     
    Stress-Testing 26
     
    Monitoring Performance 27
     
    Trend Analysis 29
     
    Bloomberg Shortcuts 31
     
    Summary 31
     
    Chapter 3 Back-Tests, Queries, and Analogs 33
     
    Simple Back-Tests and Queries 33
     
    An Example of Building a Query 34
     
    Historical Correlations and Analogs 40
     
    Summary 43
     
    Chapter 4 The Building Blocks of Global Macro Trading: The Importance of Equities, Fixed Income, Foreign Exchange, and Commodities in Global Macro 45
     
    The Four Product Groups 45
     
    Assessing the Relationships between Assets 50
     
    Summary 53
     
    Chapter 5 Technical Analysis 55
     
    Strengths and Weaknesses of Technical Analysis 55
     
    Types of Charts 56
     
    Volume and Open Interest 63
     
    CFTC Positioning 64
     
    Trend 66
     
    Moving Averages 66
     
    Bollinger Bands 67
     
    Reversal Patterns 67
     
    Head and Shoulders 68
     
    Trend Lines 69
     
    Triple Tops and Bottoms 69
     
    Continuation Patterns 70
     
    Triangles 70
     
    Oscillators 71
     
    Elliott Wave Theory 74
     
    Parabolics 80
     
    Seasonals 82
     
    Cycles 83
     
    Crowd Psychology and Contrarian Views 84
     
    Chartered Market Technician (CMT) 87
     
    Bloomberg Shortcuts 88
     
    Summary 89
     
    Chapter 6 Systematic Trading 91
     
    A Brief Definition of Systematic Trading 91
     
    Framework for Constructing a Systematic Model 92
     
    Assets or Product Groups 92
     
    Strategies 93
     
    Factors 97
     
    Risk Factors 98
     
    Risk Premia 99
     
    Risk Parity 100
     
    Summary 103
     
    Part Two: Global Macro Trading Foundation
     
    Chapter 7 Foreign Exchange in Global Macro 107
     
    The Role of the U.S. Dollar 107
     
    Trading Currencies 109
     
    Currency Regimes 111
     
    Valuation Techniques for Foreign Exchange 120
     
    Bloomberg Shortcuts 134
     
    Summary 135
     
    Chapter 8 Equities 137
     
    Equity Indices Overview 137
     
    Equity Derivatives 140
     
    Valuation Techniques for Equities 149
     
    Bloomberg Shortcuts 159
     
    Summary 161
     
    Chapter 9 Fixed Income 163
     
    Funding/Money Markets 163
     
    London Interbank Offered Rate (LIBOR) 170
     
    Interest Rate Swaps 172
     
    Federal (Fed) Funds 172
     
    Overnight Indexed Swaps (OIS) 173
     
    Forward Rate Agreements (FRAs) 176
     
    U.S. Fixed Income Futures 177
     
    Sovereign Credit 180
     
    Sovereign Curve 181
     
    Curve Inversion 181
     
    Credit Default Swaps (CDS) 182
     
    Exchange Traded Funds (ETFs) 187
     
    Bloomberg Shortcuts 188
     
    Summary 194
     
    Chapter 10 Commodities 195
     
    Supply Drivers 196
    &nbs