Global Macro: Theory and Practice
First published:
ISBN: 9781906348908
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Risk Management in Global Macro Funds
Barry Schachter
Global Macro: Theory and Practice, Introduction
Global Macro: Origins, History, Prospects
Discretionary Global Macro: A Manager’s Perspective
Systematic Strategies: A Quantitative Approach to Global Macro
The Different Shades of Macro
The Role of a Global Macro Strategist
Emerging Markets in Global Macro Investing
Risk Management in Global Macro Funds
Geopolitical Risk in Global Macro Investing
Global Macro: A Prime Broker’s Perspective
Understanding Global Macro Leverage
Global Macro: An Investment Consultant’s Perspective
Global Macro: a Fund of Hedge Fund’s Perspective
The Case for Global Macro in Institutional Portfolios
GTAA and Global Macro for Long-term Institutional Investors
The purpose of this chapter is threefold. First, to provide an overview of some key principles of risk management as they apply to global macro investing. Second, to consider 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. Third, to explore some open challenges, both conceptual and practical, to risk management in global macro and the investment industry more generally.
There are two broad categories of global macro strategy: the systematic approach, with computer-driven algorithms at its core, and the classic discretionary approach, which is built around qualitative analysis and risk taking by individual portfolio managers. Within these categories the strategies may be further sub-divided based on types of trades (eg, directional versus relative value), geographic focus (eg, developed versus emerging markets) and asset class specialisation (eg, currencies, commodities, volatility). There is also a broad range of possible investment horizons.
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