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Global Macro

  • Zura Kakushadze
  • Juan Andrés Serur
Chapter

Abstract

This chapter discusses global macro trading strategies, including fundamental macro momentum utilizing “state variables” such as business cycle, international trade, monetary policy, and risk sentiment trends, global macro inflation hedge strategies, which allocate a portion of the portfolio investment into commodities based on headline and core inflation indexes and can be executed via ETFs, futures or other vehicles, systematic global fixed-income trading strategies based on a cross-sectional analysis of government bonds from various countries using variables such as GDP, inflation, sovereign risk, real interest rate, output gap, value, momentum, term spread, and the so-called Cochrane-Piazzesi predictor, and trading on important economic announcements such as Federal Open Market Committee (FOMC) announcements by buying stocks on announcement days and switching to risk-free assets on other days.

Keywords

Global macro Fundamental macro momentum State variables Business cycle International trade Monetary policy Risk sentiment trend Global macro inflation hedge Commodities Headline inflation Core inflation Global fixed-income strategy Government bonds GDP Inflation Sovereign risk Real interest rate Output gap value Momentum Term spread Cochrane-Piazzesi predictor Economic announcements Federal Open Market Committee (FOMC) Announcement days 

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Zura Kakushadze
    • 1
  • Juan Andrés Serur
    • 2
  1. 1.Quantigic Solutions LLCStamfordUSA
  2. 2.Universidad del CEMABuenos AiresArgentina

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