A shameless plug

It's the holiday season. which is the time for giving gifts to the friendly punter(s) in your life.  While Macro Man normally avoids the provision of gift-giving advice like the plague- he has enough issues trying to sort out his own shopping- this year he can heartily endorse a volume that will stimulate anyone interested in macro investing specifically, or the evaluation of trading and investment performance generally.

The Global Macro Edge by John Netto isn't exactly a stocking stuffer; at nearly 600 pages and a couple of kilos, it's a weighty tome.   But this is a good thing, because it covers a wealth of topics that quite literally make it a textbook on crafting and evaluating a macro trading strategy.

Let's be clear, however; it's not a connect the dots, "do A, B, and C, then profit"empty bag of putative miracles.  Instead, it provides the reader with a framework with which to understand risk and market fundamentals, an introduction to various types of macro trading strategies, some examples of implementation and, most importantly, the tools with which to assess a strategy's success.

This is teaching the reader to fish, not the promise of free salmon for life.  The ultimate goal, as it says on the cover, is to maximize the return per unit of risk.  In doing so, The Global Macro Edge introduces a novel approach to evaluating investment returns, not only looking at them relative to ex-post drawdowns, but also relative to an ex-ante risk budget.

The utility of such an approach is obvious.  Simply looking at ex-post nominal returns ignores the drawdowns inherent in a strategy;  generating a 20% annual return with a 10% drawdown is a lot better than doing so with a 30% drawdown.  By the same token, risk budgets matter as well.   Generating that 20% return with a 5% stop loss is a hell of a lot more impressive than doing so with a 25% stop, or no stop at all.  The Netto number, introduced in the book, combines these concepts into a single, easy-to-understand measure that can then be used to evaluate (or even compensate) a range of investment strategies.

Netto calls on a an array of market practitioners to share their insights with the reader.   Helpfully, there are also a few tutorials on how perform various types of analysis on Bloomberg for those readers with a terminal.   By way of disclosure, Macro Man is a contributing author to the book, having been brought in late as a sort of Winston Wolfe to tidy a few things up and help put the book to bed.  Readers have occasionally asked him if he ever planned to write a book; this is as close as he's come to doing so.

At $149, you won't find the book on the same shelf as your John Grishams or your Macro for Dummies.   But that's kind of the point; this isn't a book for dummies.   Instead, it's a text for readers looking to assimilate new techniques into their trading strategy and to properly assess the performance of that strategy relative to the capital at risk.  And that kind of knowledge is very valuable indeed.
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Justabeancounter
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December 13, 2016 at 9:40 AM ×

Would love to buy MM, seems someone is argitraging the fact it's not available from Amazon on the UK Amazon store.....1000 squids is a tad too rich for me!

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Anonymous
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December 13, 2016 at 10:07 AM ×

It appears to be a comprehensive tome, at the same time the pricing is a great example of "maximising return per unit of risk!"

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Anonymous
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December 13, 2016 at 10:21 AM ×

What a waste of time and money. Global Macro hedge funds avgd a 0.85% return for 2016 (BarclayHedge). Today Eurostoxx is up 1%, and Unicredit up 7.3% (whilst re-assuring the markets it will lose money thru 2019). US equity indexes such as the DJIA have posted a +15% return the last few weeks.

Look, let me be clear: Global Macro hedge fund managers and the like are extremely intelligent people - they just can't make any money.

To my mind, Taleb sums it up best with the phrase: "intellectual but idiots".

Long equities on dips. Buy the most hated banks, and you'll make more money in 2 weeks than macro guys can make in a year. I guess that's why they have to write expensive books (those that can, do - those that can't, teach etc).

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John Netto
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December 13, 2016 at 10:31 AM ×

You can order from theproteantrader.com and it will be shipped internationally for substantially less than that.
- John Netto

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John Netto
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December 13, 2016 at 10:34 AM ×

I have my track record from 2010-2015 (72 months) verified by a third party CPA. The report from the CPA makes up a substantial portion of Chapter 3. I also ran the strategy concurrently on Collective2.com and did so well was named strategy developer of the month for the returns generated on a walk forward basis.

- John Netto

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Anonymous
admin
December 13, 2016 at 11:12 AM ×

Electors are now going to get briefed on the Red Menance.

Would be hilarious if something goes wrong with the vote given this run up.

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Anonymous
admin
December 13, 2016 at 11:16 AM ×

FTSE MIB up +15% for Dec 2016 :)

I know many here dislike the JBTFD mentality, and reiterate how it will fail. Of course they will eventually be proven correct (one day), however by then we will have undergone the biggest bull market in equities ever recorded in human history.

Why not just go with the trend, make a fortune and retire? Governments and Central Banks have to support this rally in equities until demographics re-balance and global debt is inflated away. It's as close to a one-way bet as you will ever find in this lifetime.

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abee crombie
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December 13, 2016 at 1:18 PM ×

Hey John Netto, would you be able to share part of a chapter and or an expanded table of contents. I think that would help. While a MM endorsement is good, a little free sample is better IMO. I see you have a few pages on the website (but not amazon) but the zoom feature is pretty annoying, imo.

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wcw
admin
December 13, 2016 at 1:54 PM ×

@Anon10:21, NNT went off the deep end a while back. I hope this is 12yo-HFM performance art.

@MM, thanks for the note.

@JN, thanks for writing the book.

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John Netto
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December 13, 2016 at 1:56 PM ×

@Abee crombie. I would love to share some of the book. Please email info@theproteantrader.com and I will fire you over a PDF of Chapter 3. This offer is open to anyone. Thanks for asking.

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Anonymous
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December 13, 2016 at 2:14 PM ×

@John Netto, I would like to receive a copy of Chapter 3 but info@theproteantrader.com is not a valid email address - just got a bounce notification

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Anonymous
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December 13, 2016 at 2:17 PM ×

https://twitter.com/Schuldensuehner/status/808673966969749504

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John Netto
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December 13, 2016 at 2:24 PM ×

@anonymous - I have received a few requests already there. I'm sorry for your issues. As a backup, please try theproteantraderllc@gmail.com . I hope this helps.

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Tonto
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December 13, 2016 at 2:33 PM ×

To John Netto

I see the book is available on Amazon.com. Will there be a Kindle edition soon? More convenient that lugging around the doorstop version.

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Leftback
admin
December 13, 2016 at 2:36 PM ×

US import prices fell, ∂ = -0.3%, as the great big deflation exporting machine in the East keeps on pumping out lower prices. Hardly red meat for the bond vigilantes and reflationistas. More soft US data are coming, folks, as the stronger dollar bites.

If I were a bond bear I would cash in my bearish bets here, ahead of today's long bond auction and La Paloma Blanca. Cold Steel is coming for Treasury shorts, not to mention USD longs.

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Anonymous
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December 13, 2016 at 2:57 PM ×

Equities up another 1% in minutes on the US open... lol

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Bruce in Tennessee
admin
December 13, 2016 at 3:20 PM ×

http://online.wsj.com/mdc/public/page/mdc_bonds.html?mod=mdc_topnav_2_3063

Well, Lefty, I notice the 15 year mortgage is 61 basis points up from the low of the last year, and Trump still has a month to go before he's in office. Shorting the dollar?....maybe short term, but after January....

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Anonymous
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December 13, 2016 at 3:21 PM ×

Lefty, forget all that FI crap and buy Nasdaq. You might even make some money!

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Anonymous
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December 13, 2016 at 3:22 PM ×

@John Netto, emailed you at theproteantraderllc@gmail.com and got the free Chapter 3 sample, thanks!

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Anonymous
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December 13, 2016 at 3:39 PM ×

@John Netto, left a message on website and got the free Chapter as well. Thanks!

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Anonymous
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December 13, 2016 at 3:42 PM ×

@John Netto, followed instructions and rec'd the Chapter without issues.
Thanks.
Pete in Dubai

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Nico G
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December 13, 2016 at 4:32 PM ×

There is potentially a historical change of business conduct in the making - i love what Trump has to say about the F35 program - the greatest scandal of all - soon to be repeated on most overinflated Defence contracts

For once in a lifetime we have a solid businessman at the helm of the biggest economy in the world. The guy knows costs, and after Boeing, Trump will go after anyone who has made a career of stuffing the government budget. While this is great for Americans, i am not so sure it is great for the many listed companies that have lived largely off government contracts. Defence stocks (Lockheed for now) beware, Trump is going after your profit margins

The equity market is blindly in love with Trump but might not have understood what lays ahead. Gut feeling is that he will be the best president in history for the American people. But i can see he is ready to gut everyone who's been charging too much for too long and that includes banks. Trump is appointing banking industry insiders with one clear mission: to clear the mess and pricing excesses of that industry.

We might end up with the most efficient economy in the world. A Clinton election would have guaranteed more of the same: incompetent politicians without any understanding of business and costs and turning a blind eye on insanely overpriced contracts. There is a gigantic shift in the making here, it is eerie to see that stocks have gone up with some of the most incompetent administrations in the world, and shall still go up with a cost cutting champion businessman in charge

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Anonymous
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December 13, 2016 at 4:42 PM ×

Got the pdf John, Thanks

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Nico G
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December 13, 2016 at 4:51 PM ×

got the pdf for my wife John, thanks

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Anonymous
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December 13, 2016 at 4:52 PM ×

Amen to that, Nico. If Trump can carve out the fat in the entrenched trifecta of overly govt dependent industries + govt 'administrators' + govt lobbyists, we can use that dough for productivity. Still, I hope for the best but expect the least - these interest groups have rooted themselves since WWII. The will to keep one's job should not be underestimated.

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Anonymous
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December 13, 2016 at 5:03 PM ×

Thanks John for the PDF.Holiday reading.

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Anonymous
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December 13, 2016 at 5:20 PM ×

"I wish I'd just bought Nasdaq" (quote heard today from under-performing Macro traders)

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Anonymous
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December 13, 2016 at 5:53 PM ×

Can I second the request for a Kindle (or other e-Reader) edition of the book?

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John Netto
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December 13, 2016 at 6:12 PM ×

@Tonto - Great question about having the book on Kindle. Amazon keeps 70 percent of the revenue on all books over $10. Which is why many textbooks are never sold on kindle as it is not economically viable to sell a specialized book this way. That said, I'm working for a solution. However, this is a statement book that dominates the landscape of an office or business room. There is some extra cache for having the real thing around. After all, we are all kinesthetic creatures.

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Anonymous
admin
December 13, 2016 at 6:23 PM ×

Nasdaq up 2%, Spooz up 1%... nice little warm-up before the rally in equities starts tomorrow.

DB have said that: a drop in rates is +ve equities, neutral is +ve equities and a rate hike is +ve equities.

So SP500 at 3000 by Xmas?

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Anonymous
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December 13, 2016 at 6:25 PM ×

@anon 6:23

Yes, I agree sp500 should be at 3000 by XMAS. Let's bet the house and farm on it!

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Leftback
admin
December 13, 2016 at 6:29 PM ×

Another decent Treasury auction today, $12B of long bonds. Coverage of 2.39 was just above average but the high yield awarded, at 3.152 percent, was about 1.5 basis points below the 1:00 bid. Bidding by end investors was stronger than usual, with non-dealers taking down 73 percent of the $12 billion offering.

Looks like Mr Bond will Die Another Day.

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CV
admin
December 13, 2016 at 6:42 PM ×

Its getting really squeezy here. Mr. Shorty is in a world of pain here. Impressive ... LB's vol selling Chad et al are having a good time.

Re Trump Nico, I want to believe you. The more I hear from the man, though, the more I think he will be a lame duck. He will be a puppet on a string. When it comes down to it, I doubt that he will deliver on any of his extreme proposals.

Oh an congrats on the book MM. I will buy it, full price, hardback and everything. Promise! Full price and everything. I am sure your new car will snap its cambelt soon anyway ;).

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AB
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December 13, 2016 at 6:50 PM ×

Nico, I hope that Trump finds a way to drive more the income of the economy to the 90% of households that will actually recycle (spend) it. If the only plan is to cut the government fat so that we can cut taxes... then we are lost.

If I use Kalecki's decomposition of the economy, the only way I see corporate profit rising strongly from here is if the budget deficit goes up a bunch. I can see this happening if the only thing that gets done is corporate tax reform. If Trump does anything on trade or infrastructure then profits should face a headwind from higher labor costs.

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Anonymous
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December 13, 2016 at 6:53 PM ×

John Netto - thx for the pdf, received it promptly. Also purchased book.

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johno
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December 13, 2016 at 7:30 PM ×

Ordered the book. Small price if there's just one good thing in it.

I am sitting short TYH7. Also some -EURNOK. After a bad one-month spell in my macro book, I'm keeping it focused. All assets USD-denominated, though with market pricing a hike tomorrow and two in 2017, I'm not especially bullish the dollar.

Read Hugh Hendry's December letter on Valuewalk. My read of his remarks on Europe is that ECB's reduced QE is deflationary and therefore bullish long rates versus the US. Removing the depot rate floor means a pretty material reduction in long-end buying by the ECB, but Hendry's argument is an interesting counter-point to that. So I'm just going to stick to shorting US duration.

Shorting stocks is a death wish.






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Anonymous
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December 13, 2016 at 8:00 PM ×

John that you for the superquick reply and the sample pdf chapter. Looking forward to reading the whole book and your future work.

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Nico G
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December 13, 2016 at 8:04 PM ×

yes the Trump era is all hope and speculation at this point - from yours truly, and from global risky assets

Eurostoxx is about to go flat for 2016 after a year from hell... equity managers who despised Trump and were supporting Hillary should thank Russia now, right? the big loser of 2016 is the press and Wapo, Guardian are slowly digging their grave

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Anonymous
admin
December 13, 2016 at 8:08 PM ×

i know im not supposed to feed the trolls, but did this joker even read a page in the book?

"estoxx up 1% today"...great quote. In the past 17 years estoxx is unchanged. And down 30% from its peak, with TWO 80% peak to trough "buy the dip" "opportunities" good luck when that happens again.

Netto's ENTIRE BOOK is centered around the concept that average strategies suck on a risk reward basis, that one trick "buy the dip" ponies SUCK on a risk adjusted basis.

Even Just buy the dip clowns are short at this point on this rally.





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December 13, 2016 at 8:17 PM ×

Just checking in...emailed Netto...Got chapter 3 in double quick time...looking forward to reading and will then feedback!

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Anonymous
admin
December 13, 2016 at 8:19 PM ×

Anon 8:08 - I'm thankful for clowns like you who insist that JBTFD doesn't work because you read it in "Macro for Dummies". You should go tell this to the EU equity indexes that have made gains of 2% per DAY for the past week or the DJIA that is up about 15% in December alone.

Please, please continue to short & provide more losses to drive this bull market ever higher. I am on the opposite end of your trades and will be retired by Xmas.

Good day sir.

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December 13, 2016 at 8:25 PM ×

Thanks John with the prompt reply and copy of chapter 3

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Macro Man
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December 13, 2016 at 9:59 PM ×

@ Anon 15.19, you're allowed to have your own opinion, but you're not allowed to have your own facts (even in Trump's America.) The Dow isn't up 15% for the year as a whole, let alone in December alone.

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Anon 15:19
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December 13, 2016 at 11:34 PM ×

@Macro Man, I am calculating dip to peak, not YTD. Dow was down to circa 17400 on election night and today up to 19900, which is just over a 14% rise.

As an aside, I hope you are all enjoying President-Elect Trump's benevolence in showering these fantastic gains upon you. You may now leave the bedraggled slums of macro investing and join the Gentlemen in long-only equity land where the sun always shines, and the grass is so much greener (like our P&L).

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Anonymous
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December 14, 2016 at 12:00 AM ×

dude, get a life.

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Macro Man
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December 14, 2016 at 12:04 AM ×

@ Anon 15:19, your statement was still wrong. Election day is in November, not December. Either way, cherry picking arbitrary extremes is pretty useless unless you traded there (and I know you didn't.) How about this one: the Dow traded down 21 bps in the last 2.5 hours of trading today. Annualize that return, and you're down 75%. How ya like that, sucka!

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December 14, 2016 at 12:05 AM ×

I'm absolutely convinced that there is a way to statistically leverage the comment section on this blog.

Perhaps non-anons could rate each post on a level of 1-5 retard stars. The resulting data could be aggregated and a correlation to market pricing explored. Someone with more bloomie terminal experience than I could come up with a flashy catch-phrase for this function.

Any volunteers?

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Anon 15.19
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December 14, 2016 at 2:13 AM ×

@Macro Man, my wording re dates was ofc not exact. The point being that there have been comments here daily post-election regarding getting long equities. If any of you macro men had done so, you'd have returned more in a couple of days that you typically do in a year.

@Anon 12:00 & Marshall, I'm afraid the only retard stars are coming from your corner. I do understand it must be hard for you guys to have worked in finance for so long, and yet be so appallingly bad at making money. Have you maybe considered other careers? There's always a demand for fast-food workers and the like... choose the right restaurant chain and you may find I own much of the stock. So be good, or in the words of Mr Trump, "you're fired" lol.

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Anonymous
admin
December 14, 2016 at 6:49 AM ×

marshall no investigation needed, they only crawl out after the market goes up

i am net long and but keep having to remind myself you have to ride the short bus sometimes...

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John Netto
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December 14, 2016 at 11:08 AM ×

@johno - thanks so much for the purchase. As you have heard from others here, I am very responsive and look forward to your comments and I am confident that there will be much more than one thing that will help you in there. Also, I have been attaching a small section of chapter 5 along with the index (it's 15 pages alone) as it gives you a sense of the depth and range of what is covered.
Lastly, please use theproteantraderllc@gmail.com for the time being to send requests for a sample. We are having some issues with the "info@theproteantrader.com" and it is causing emails to bounce...

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Going South
admin
December 14, 2016 at 10:52 PM ×

I had a couple of emails with John. He sent me Chapter 3; then on further enquiry about the contents he sent the table of contents, the index, and an excerpt from Chapter 5. He was very helpful and replied very quickly.

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KM
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December 14, 2016 at 10:56 PM ×

Thanks John for a prompt response and the samples.

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Anonymous
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December 15, 2016 at 6:32 AM ×

Just received the pdf,thanks for the prompt response. John asked to pass on the current status. Offer is open and Amazon is sold out now but you can order from www.theproteantrader.com. Amazon will be restocked by Saturday.

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Unknown
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December 15, 2016 at 9:00 AM ×

@John Netto

How about publishing on kindle per chapter/section for $9.99 or less each? :)

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Unknown
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December 15, 2016 at 2:46 PM ×

Also received the samples. Thanks John

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John Netto
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December 15, 2016 at 4:40 PM ×

Interesting idea about the kindle for 9.99...looking at Barnes and Noble Nook as a compromise. Wait for further word. We have been restocked on Amazon and the main web page and now shipping internationally to the UK and France is considerably lower as I found a less expensive way to ship.

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Punitiveful
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December 20, 2016 at 4:02 PM ×

Thanks very much John for your sample of chapter 3 and 5, it 's clearly an amazing book for what i've read !
cheers from France

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