- Language: English
- 278 Pages
- Published: February 2012
- Region: Global
Global Macro: Theory and Practice 2012
- Published: November 2012
- Region: Global
- Incisive Media
In the aftermath of the global financial crisis of 2007-09, global macro was one of the few investment strategies that delivered positive returns. Since then global markets have been driven almost solely by macroeconomic decision making; more so than at any time in recent years.
Global Macro: Theory and Practice, edited by industry expert Andrew Rozanov, is the first comprehensive handbook and authoritative guide focusing exclusively on global macro strategies, designed for use by investment professionals involved in constructing and managing institutional portfolios.
Global macro is a hedge fund strategy that bases its holdings - such as long and short positions in various equity, fixed income, currency, and commodities markets - primarily on top-down macroeconomic and political views of individual countries and asset classes.
The book examines different strategies within the global macro sector, focusing on their unique risk-return characteristics and their role and place in an institutional portfolio.
With contributions from a cross section of leading industry practitioners, chapters include:
- The Role of a Global Macro Strategist
- Emerging Markets in Global Macro Investing
- A Prime Broker’s Perspective
- Systematic Strategies: A Quantitative Approach to Global Macro
- A Fund of Hedge Fund’s Perspective
"Congratulations to Permal for organizing a marvelous contribution to understanding global macro investing – a must read! Often I am asked to recommend a book so that one can better understand this approach – and Permal has provided such insight with a diverse, articulate group of professionals."
- M. ELAINE CROCKER, President, Moore Capital Management, and former Executive Vice President of Trading Administration, Commodities Corporation
"…a thoughtful look at one of the main investment styles in alternatives - global macro, making a strong case for its long-term investing value. I have no doubt it will help investors immensely in navigating the challenges of portfolio construction."
- ARMINIO FRAGA, Chairman and Chief Investment Officer, Gávea Investimentos, and former Governor of the Central Bank of Brazil
"Global Macro: Theory and Practice is an important primer for institutions seeking to understand macro from two sides of the looking glass: the view of practitioners like myself and the view of investors. The broad range of topics covered – discretionary versus systematic approaches, the role of risk management in macro, the role of policy analysis and prediction in macro, among others — will draw institutional investors into the stimulating world I have lived and breathed for three decades."
- PAUL TUDOR JONES II, Co-Chairman and Chief Investment Officer, Tudor Investment Corporation
"…a compulsory read for investors who want to fully understand the different styles, strategies and challenges of macro."
- COLM O’SHEA, Founder and Chief Investment Officer, COMAC Capital LLP
"A well-conceived and superbly executed volume that is a must read for anyone interested in portfolio management... The central takeaway: a properly constructed
and sized allocation to global macro managers will improve the expected risk-adjusted returns of any investment portfolio."
- F. HELMUT WEYMAR, Founding Chairman and Chief Executive Officer, Commodities Corporation SHOW LESS READ MORE >
Isaac Souede, Permal Group
1. Global Macro: Origins, History, Prospects
Andrew Rozanov, Permal Group
2. Discretionary Global Macro: A Manager’s Perspective
Kenneth G. Tropin, Graham Capital Management, L.P.
3. Systematic Strategies: A Quantitative Approach to Global Macro
Menachem Sternberg, Eagle Trading Systems, Inc
4. The Different Shades of Macro
5. The Role of a Global Macro Strategist
Grant Wilson, Civic Capital
6. Emerging Markets in Global Macro Investing
Gene Frieda, Moore Capital
7. Risk Management in Global Macro Funds
8. Geopolitical Risk in Global Macro Investing
David Murrin, Emergent Asset Management
9. Global Macro: A Prime Broker’s Perspective
Barry Bausano, Deutsche Bank Securities
10. Understanding Global Macro Leverage
John Casano, Financial Diligence Networks LLC
11. Global Macro: An Investment Consultant's Perspective
Simon Fox, Mercer
12. Global Macro: a Fund of Hedge Fund’s Perspective
Omar Kodmani and Andrew Rozanov, Permal Group
13. The Case for Global Macro in Institutional Portfolios
Arjan Berkelaar, KIMC U.S. Inc
14. GTAA and Global Macro for Long-Term Institutional Investors
Gerlof de Vrij, Roy Hoevenaars and Pieter Jelle van der Sluis, Blenheim Capital Management BV
Andrew Rozanov is Managing Director and Head of Institutional Portfolio Advisory at Permal Group, responsible for advising sovereign wealth funds and other long-term institutional investors on various aspects of asset allocation, portfolio construction, risk management and alternative investments, with a particular focus on global macro and tail risk strategies.
Before joining Permal, Mr. Rozanov was at State Street, where he was Managing Director and Head of Sovereign Advisory, working closely with the Portfolio and Risk Management Group. Prior to that, he held various roles at State Street Corporation in London and Tokyo, and he also worked at UBS Investment Bank in Japan. Mr. Rozanov is well known in the industry for having introduced the term ‘sovereign wealth funds’ in an article in Central Banking Journal in 2005. He is a Chartered Financial Analyst (CFA), a Financial Risk Manager (FRM), and a Chartered Alternative Investment Analyst (CAIA). He holds a Master’s equivalent degree in Asian and African Studies from Moscow State University.