The Different Shades of Macro

Igor Yelnik

This article was first published as a chapter in Global Macro: Theory and Practice, by Risk Books.

This chapter will concentrate on similarities and distinctions between various global macro styles of investing, with a particular focus on an institutional investment approach, typically referred to as global tactical asset allocation (GTAA). The author believes that a clear delineation between different macro styles, including GTAA, is sometimes difficult to achieve. While distinctions between the approaches are rooted in the underlying technologies, they also stem from historical reasons and different philosophical and structural frameworks. Reflecting the author’s professional background, the chapter will look in some detail at the development of systematic macro as a style, with a particular emphasis on issues related to risk management and the role of “big picture” vision. It will also elaborate on risk management as a cornerstone of successful alpha generation in systematic macro.

The Primary Colours Of Global Macro

As a child, the author, like many Jewish boys growing up in the old Soviet Union, liked to play chess. His coach used to say: “Chess is a combination of art