Global Macro Theory and Practice

Author: Andrew Rozanov
Publisher: Risk Books
ISBN: 9781906348908
Published In: November 2012
Format: Hardback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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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.

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.

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

The authoritative guide and reference tool for global macro investing, this book is essential for anyone who wants to be better informed when they make their asset allocation, portfolio construction and hedge fund selection decisions.

Introduction
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
            Igor Yelnik

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
       Barry Schachter

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.

"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