Heavy central bank intervention can suppress volatility and distort traditional market signals. Quantitative easing and yield curve control break historical correlations, making fundamental analysis harder to execute. Data Abundance and Alternative Data
Exploiting mispricings between related assets. An RV trader might go long on US 10-Year Treasuries while shorting German Bunds, betting on a divergence in monetary policy rather than absolute yield movements. Primary Asset Classes Used Asset Class Primary Instruments Key Macro Sensitivity Foreign Exchange (FX) Spot, Forwards, Options Interest rate differentials, Terms of trade Fixed Income Sovereign Bonds, Interest Rate Swaps Inflation expectations, Central bank guidance Commodities Futures, Options, Swaps Global growth demand, Geopolitical supply shocks Equity Indices Index Futures, ETFs Corporate earnings growth, Cost of capital 4. Risk Management and Portfolio Construction global macro theory and practice pdf
The theory of global macro is built on the belief that financial markets are deeply interconnected and respond to systemic shifts rather than just individual company performance. Global Macro Strategies - AQR Funds Heavy central bank intervention can suppress volatility and
Global macro trades can take many forms, but they generally fall into a few key categories based on the primary factor being analyzed: An RV trader might go long on US
Highly sensitive to global GDP expansion (especially Chinese industrial demand).