Global Macro Trading: Profiting in a New World Economy
By Greg Gliner
Quick Summary
A practitioner's guide to global macro trading covering the full spectrum of the discipline: discretionary and systematic macro strategies, trade process and position sizing, backtesting and historical analogs, technical analysis, equities, fixed income, foreign exchange, and commodities analysis. Gliner provides a comprehensive framework for understanding how global macro traders analyze the world economy and translate macroeconomic views into profitable positions across all major asset classes.
Categories
- Macro & Economics
- Trading Systems
- Investing
Detailed Summary
"Global Macro Trading: Profiting in a New World Economy" (Bloomberg Press/Wiley, 2014) by Greg Gliner is a 487-page comprehensive guide to the global macro trading discipline. The book is structured to take readers from broad conceptual understanding to specific, implementable analytical frameworks.
Part One: An Overview of Global Macro provides the foundational context.
Chapter 1 surveys the global macro landscape, defining three main strategy types. Discretionary macro managers make subjective judgments about macroeconomic trends and express them through directional trades (betting on an asset moving up or down) or relative value trades (pairing assets to capture price differentials). Holding periods range from days to years. Systematic macro managers employ quantitative models using large sets of economic data to generate trading signals. Firms like AQR Capital Management (Cliff Asness) and Bridgewater (Ray Dalio) have revolutionized this space, managing over $80-100 billion respectively. Systematic approaches tend to produce more consistent returns over long periods but can underperform discretionary approaches during periods of high volatility. High-frequency trading represents a third category, using sophisticated computers to capture millisecond-level dislocations.
Chapter 2 covers trading process, position sizing, and performance monitoring. Gliner emphasizes maintaining a stringent process, managing objectivity and bias, taking losses, and proper position sizing. He covers volatility-adjusted position sizing, correlation effects, gap risk, thematic trades, the Sharpe and Sortino ratios, drawdown analysis, Value at Risk (VaR), risk utilization, stress testing, and Bloomberg terminal shortcuts.
Chapters 3-6 cover backtests and historical analogs, the building blocks of global macro (equities, fixed income, FX, and commodities), technical analysis, and systematic trading frameworks. The technical analysis chapter covers all standard tools from chart types and trend analysis through Elliott Wave theory, with specific attention to their application in macro markets. The systematic trading chapter provides a framework for constructing quantitative models including factor selection, risk parity, and strategy design.
Part Two: Global Macro Trading Foundation dives deep into each asset class.
The foreign exchange section covers the role of the US dollar, central bank policy divergence, purchasing power parity, interest rate differentials, and carry trades. The fixed income section addresses yield curve analysis, term premia, inflation expectations, and sovereign credit analysis. The equities section covers country selection, sector rotation, and the macro-to-micro analytical chain. The commodities section covers supply/demand fundamentals, the futures curve, seasonality, and the relationship between commodities and the business cycle.
The book distinguishes itself through its breadth -- covering both discretionary and systematic approaches -- and its practitioner focus. Gliner includes Bloomberg terminal shortcuts throughout, reflecting the reality that Bloomberg is the primary analytical platform for institutional macro traders. The integration of risk management into every chapter, rather than relegating it to a separate section, reflects the professional reality that risk management is not a separate activity but an integral part of every trading decision.
