Alternative Investments
Global Macro: Theory and Practice

Authors: Editor: Andrew Rozanov
Editions: Risk Books
Date: November 2012
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 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 Brokerís Perspective
  • Systematic Strategies: A Quantitative Approach to Global Macro
  • A Fund of Hedge Fundís Perspective
Barry Schachter, Research Associate at EDHEC-Risk Institute, contributed a chapter to the publication entitled, "Risk Management in Global Macro Funds", in which he provides an overview of some key principles of risk management as they apply to global macro investing. He also considers how risk controls are applied in the day-to-day management of global macro funds, while emphasising that the risk management function is much broader than just its quantitative elements, and finally explores some open challenges, both conceptual and practical, to risk management in global macro and in the investment industry more generally.

About the Editor:

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 Ďsovereign wealth fundsí 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 Masterís equivalent degree in Asian and African Studies from Moscow State University.

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