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What is a good reading list for Global Macro investing? What does Bridgewater, Bervan Howard, Soros, AQR etc. use to teach their staff about macroeconomic investing?

Let us assume a top-class education at the undergraduate level in economics, maths, and economic history so as to avoid the common recommendations of not very useful introductory texts.

Note: Global Macro Investing involves expressing views on commodities, rates, FX, Real Estate, Equities and other asset classes using ownership, futures, or options to find relative value and generate alpha on a global basis.

For example: Short USDTRY on asset outflows from turkey due to geo-political risk and US tightening cycle compared to TRY printing/easing.

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    $\begingroup$ I'll be surprised if you get an answer on the level you've specified. On a more general level I've enoyed "Inside the House of Money", and Dalio's notes on "how economy works". $\endgroup$ – LazyCat Dec 31 '15 at 17:11
  • $\begingroup$ Along similar lines, I found some of the early Soros books had insights about his thinking process (hard to duplicate though!) $\endgroup$ – noob2 Dec 31 '15 at 17:25
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    $\begingroup$ Bridewater, Brevan Howard, Soros, AQR being hedge funds, they won't publish their strategies in books... and if you talk to these guys a bit (I mean the big bosses), you'd probably get answers like "it's years of market experience, you can't put this in a book". $\endgroup$ – SRKX Jan 1 '16 at 9:22
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    $\begingroup$ @SRKX I am in the finance industry and deeply understand how the industry works. As aforementioned, I am not looking for trade ideas. I am trying to crowd source good textbooks / sources on economic history / macro economic / risk that would be useful for developing a training program. I already have a good idea of what's out there but I was hoping the internet could give me a few ideas of what I may have missed. I will try rewriting the question to make this more clear $\endgroup$ – Stuart Allan Jan 5 '16 at 15:18
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    $\begingroup$ Have you found anything Stuart? Completely get your point and have been trying hard to find something myself, but unsuccessfully so far... $\endgroup$ – F E May 30 '18 at 16:42
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A good starting point

Macroeconomics by Blanchard

http://www.amazon.co.uk/Macroeconomics-MyEconLab-Pearson-Access-Package/dp/0133103064/ref=dp_ob_title_bk

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List of books:

Romer’s book on Advanced Macro, whatever John Taylor’s latest macro book is, Minsky’s Keynes book and his Stabilizing an Unstable Economy book, Cassidy’s How Markets Fail, Shillers’ Animal Spirits, Debunking Economics by Keen, Meltdown by Woods, General Theory by Keynes, and (probably) Post-Keynesian Economics by Lavoie. That is only a start.

The before mentioned Romer book (and/or Blanchard’s mentioned in another comment here) is not provided because it is correct, it is provided to show the framework of the wrong model. But you still need to understand the wrong way, to appreciate the correct ways.

You may be severely underestimating the work involved. This is not qualitatively or quantitatively like giving someone John Hull’s book and telling him or her to program a Black-Scholes equation. To develop a world view on economics is a rather large amount of effort. I choose my words carefully. I did not say to learn someone like Soro’s world view is a lot of effort. To develop your own world view is a lot of effort. The reality is that most people’s macro views are based upon reading Business Week and perhaps some JPM or other research papers, deciding they are a bit more optimistic or pessimistic than that, and presenting that as if it is a real researched view.

You should familiarize yourself with the different schools of thought. Take Keynesian economics. Within the sphere of economists claiming the Keynesian title, there are old style Keynesians, neo-Keynesians, new Keynesians, post-Keynesians and more. The classicals have similar breakdowns, while there are also Austrian and Marxist schools and so on. You should be able to look at the current and past economic indicators and generate a different conclusion of what is going on and forecast what will happen in the economy based upon the views of each of those different schools. The school of economics called New Keynesian has an extremely different view of economics than the post-Keynesian, and this later group correctly says New Keynesians do not follow what John Maynard Keynes believed in. The difference between the two is why the dominate school of economics in December of 2007 had no clue a recession was about to happen, while it was incredibly obvious to many post-Keynesians.

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  • $\begingroup$ This is a very useful response. @horseless I appreciate the thought put into this as well as the commentary provided. If I may a quick follow up question - I have read the majority of the books mentioned, as well as a number of others. The biggest trouble finding source material is where the rubber hits the road - the intersection between economic theory and finance [essentially a PM's role - turning economic understanding and financial understanding into market positioning]. $\endgroup$ – Stuart Allan Mar 2 '16 at 16:51
  • $\begingroup$ As a further follow up, where would you suggest going job wise to lean more about this? I am @ BB now, only a year out of undergrad. Day job is fundamental equities [prefer deep value]. Currently I run a mock-macro portfolio, publish macro research views weekly online (to get feedback), for major macro trends I 1) anticipate what major macro investors will think, and write down what I think 2) see what they actually think 3) after time see what happens and why, who was right/wrong and why. I am also setting up a monthly macro group with buy/sell side guys in my city to test ideas/opinions. $\endgroup$ – Stuart Allan Mar 2 '16 at 16:59
  • $\begingroup$ Answer to first comment: The source material is you. You’ve covered much of this material so use it. Here is my suggestion and you can provide others. The difference between risk and (Knightian) uncertainty is critical. Market forecasts based upon tenuous beliefs can change quickly and lead to violent market moves and I believe there is a small but very real risk of another financial crisis if the Fed has to start chasing interest rates down with a weakening economy. Like, gee, we thought the Fed can control rates, but actually they can’t and our world view is wrong sort of thing. $\endgroup$ – horseless Mar 2 '16 at 18:23
  • $\begingroup$ Answer to second comment: Some shops (for example PIMCO although you are equities and they are fixed income) emphasize macro views and might be more of what you are looking for. $\endgroup$ – horseless Mar 2 '16 at 18:23
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Expected Returns by Antti ilmanen is a good one. It examines the long term profitability of various strategies.

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  • $\begingroup$ It is a great book. But it is more about investing based on quantitative factors than it is about Global Macro per se. $\endgroup$ – Alex C Jan 1 '16 at 11:11
  • $\begingroup$ Thanks for the suggestion. I will look into it. However, this isn't a good response as it suggests only a single source rather than a comprehensive list or set. $\endgroup$ – Stuart Allan Jan 5 '16 at 15:20
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Take a look at http://alephblog.com. There is a section with book reviews and a subcategory called "Macro Investing". I haven't read any of the books but the blog itself is recommendable. The reviews contain a full disclosure.

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