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Global Macro Strategies and Systematic Risk
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A 4-day course suitable for asset managers and investors who have had exposure to traditional asset allocation techniques but are keen to explore innovative and quantitative approaches to the global macro style. In addition, it will provide supplementary skills and robust techniques for those seeking greater understanding of underlying capital market dynamics and the major influences on systematic risk within the macro-financial environment.

  • Course Instructor

    The course director is an FSA registered adviser and provides wealth management services and investment advice to private clients and funds. He has been an independent trader, on both sides of the Atlantic, for more than 20 years.

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(Previously 'Macro Asset Allocation Strategies')

Why this course is timely and valuable:

Investment risks are of a different order of magnitude from those seen just five years ago.

Evidence will be presented to illustrate the manner in which most asset classes, to a much greater extent than previously, are correlated.  This presents both challenges and opportunities to investors/traders.  The biggest challenges are those which increase the likelihood of liquidity risk (e.g. “flash crashes”) and the consequent lack of a proper assessment of portfolio diversification. 

The basic themes would include the following:

  • Differentiation of systematic and systemic risk
  • Description of the main techniques of global macro fund management strategies
  • Economic fundamentals driving asset allocation strategies
  • Macro-financial factors determining systematic and systemic risk
  • Macro/micro factors in context of global imbalances and de-coupling
  • Exposure to emerging markets through exchange traded funds (ETF’s), futures contracts and other derivatives
  • Intermingling of sovereign and private sector credit risk
  • Credit Rating Agencies and validity of sovereign risk assessment models
  • Structural credit risk within the Eurozone
  • Hedging currency risk in a globally oriented portfolio
  • Correlations between multiple asset classes – focusing especially on certain FX pairs and other assets which show high degrees of co-movement
  • Measuring degree of risk appetite/aversion and systemic liquidity
  • Commodities, emerging market business cycles and currency wars.
  • Models for determining the degree of liquidity and correlation risk within capital markets “internals”


Overview of Macro Analysis

Rather than taking specific securities and considering valuations and expected returns in isolation, the emphasis is much more focused on the inter-connection of items from different asset classes. This is in accordance with contemporary markets, where determination of the appropriate valuation of (say) the US or UK equity markets is, arguably, more affected by developments in sovereign credit markets and foreign exchange (at present specifically the euro and European sovereign risk), or by geo-political developments, as it is by the internal indicators regarding GDP growth, employment data for domestic economies.

The course will advocate a holistic approach to macro market analysis and investing and will explain this approach by examining inter-relationships across all relevant asset classes as expressed in the day to day co-movements revealed in global markets.

Learning objectives

A central theme of the course is to make the often cited notion of risk on/risk off more robust, and to provide a framework for quantifying the prevailing appetite for risk as guidance to investors and traders in their selection of different assets classes/sectors. The techniques presented will suggest that a proper framework for conducting rigorous analysis of underlying correlations between major asset classes – FX, fixed income instruments, commodities and global equity indices – will provide asset managers with vital clues as to when to implement strategies that are appropriate for a market environment which is supportive of taking on more risk (higher beta) or avoidance of more risk.

Target audience

The course is suitable for asset managers and investors who have had exposure to “traditional” asset allocation techniques but are keen to explore innovative and quantitative approaches to the global macro style. In addition, it will provide supplementary skills and robust techniques for those seeking greater understanding of underlying capital market dynamics and the major influences on systematic risk within the macro-financial environment. There will be a focus on real world examples with graphical case studies from many markets and from different asset classes.

Course structure

The course covers four days of lectures which will feature many specific examples and case studies. There will also be collective exercises using certain techniques which will have been explained in prior sessions. Each day will consist of four separate ninety minute sessions with coffee breaks in the morning and afternoon with a lunch break in the middle.