Sep 12, 2022 Sep 12, 2022

宏: Rates and FX

halfstep - Certified Professional
halfstep HF
Rank:King Kong 1,311
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Hi,

我从事基本股票工作。我喜欢我的工作，但一直对全球宏观兴趣。我很想了解有关宏观策略的费率和FX方面的更多信息。想知道是否有人可以回答以下一些问题让我开始

  1. 银行经常将汇率和FX汇总在一起。这是因为两个资产类别都由利率驱动，因此您可以使用相关的/如果不是相同的类型fundamental analysis？

  2. 这个领域的许多人似乎具有非常定量的背景。为什么是这样？您是否试图通过进行复杂的随机/统计/相关分析来从竞争中获得优势？还是您需要量化技能来筛选大量的经济/基本数据（即通货膨胀期望，暗示的掉期/衍生产品的定价假设，从市场上产生的预期等）

  3. 是否有意义的是，如果您是良好的，则假设在5到10年的时间内，前10％至20％+，FX和利率资金更可扩展，产生的回报均高于基本股票的收益，因为即使股票的固有产量更高，外汇和利率是更深的市场（宽度范围）和 -net of leverage -在FX和利率上，波动率（利润机会）实际上高于具有3-5倍杠杆的股票。

  4. 我听说过Star Trader将7到9位数字带回家的故事，几乎总是是价格交易者（或有时是商品的人）。他们的交易/支出结构如何使他们如此天文学comps，虽然其他资产课程的人甚至无法接近？

  5. Just for shits and giggles, how would one transition to FX/Rates from 8 years in fundamental equities?

非常感激，

fx trading
宏
interest rates
Rates trading
Region
美国 - 西部
全球 /所有内容
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  • 12

Comments (25）

  • 是
  • Research Analystin是-FI
  • Anonymous
6mo

Agree on last point. Can't think of anyone who went from fundamental equities analyst to fx/rates strat (ahandful ofibd致Econ PhD到Macro Strat）。但是，如上所述，已经看到了一些股权股权/主题PM到宏PM/Strat的股权基本分析师。最有可能的直觉是了解管理书籍，评估风险/奖励，并在其团队中拥有FX/Rate专家

Authored by:Certified Asset Management Professional - Research Analyst Certified Asset Management Pro
  • 2
6mo
halfstep，，，，what's your opinion? Comment below:

Agree on last point. Can't think of anyone who went from fundamental equities analyst to fx/rates strat (a handful ofibd致Econ PhD到Macro Strat）。但是，如上所述，已经看到了一些股权股权/主题PM到宏PM/Strat的股权基本分析师。最有可能的直觉是了解管理书籍，评估风险/奖励，并在其团队中拥有FX/Rate专家

谢谢。in your observation of the transition from fundy equity analyst to macro equity PM to macro PM/strat, is the macro PM/strat you are referring to in this instance fx/rates PM? Or do you mean they are equity PM with some fx/rates layering involvement?

Authored by:Certified Hedge Fund Professional - Investment Analyst Certified Hedge Fund Pro
View 3 replies
6mo
halfstep，，，，what's your opinion? Comment below:

1.我认为银行通常不会将fx和费用汇总在一起（即，FX掉期交易者也不是trading govt bonds），但是人们经常这样做是因为他们非常相关。采用目前日本正在发生的事情，JPY一直在售出，因为与世界其他地区相比，日本人的价格“太低”。

2. I wouldn't say rates and fx guys have a真的定量背景，但通常比典型的数量更重IB/PEperson. My fund employs data scientists and quants to do the heavy lifting on pricing models and whatnot and I wouldn't consider myself a particularly quantitative person. I'm certainly not proficient in stochastic calculus or anything, but to be truly great at trading requires one to be well versed in risk taking and probabilistic thinking. The tools of analysis for macro are python and statistical analysis (regression，，，，PCAs,econometrics等等。）就像基本股票的工具一样excel and financial statement analysis/accounting.

3.我倾向于同意您的看法，但是许多交易者也倾向于在短期交易中被炸毁。我认为，宏观的重要部分是找到聪明的方法来在不同的市场中表达长时间的想法，无论风险/回报是最佳的。

4. Similar to point (3), I don't know about everyone, but many of these guys you see having great years were long vol at the right time. A standard book at a macro fund for a mid-level PM might be $200mmAUM，，，，10% drawdown limit. With a book like this, it's not impossible to have years where you make $50-100mm or even more if you get lucky. Obviously, this is not the base case, but I think blowout years are more common with this type of structure.

Thank you for the insightful answer. This is why I likeWSO. Just 3 follow ups if I may.

1. When you say the tools of analysis are python/stats, can you give some examples of what you are looking at to derive trading ideas? For instance, in fundy equities, I may use excel to model out some new project of a company to see how such将affectEBITDA，，，，现金周转/DCF，，，，and估值倍数。您将在回归，PCA，计量经济学/FX的计量经济学中查看哪些类似评估？如何了解人们如何在这一领域中进行分析以及如何产生优势（例如，在股票中。这可能是关于将更完整的基本信息 /假设纳入您的公司建模，以使市场错过以更好地反映市场现实）

2.公平地说，长/短卷带有选择是在价格/FX交易中非常面包和黄油的玩法吗？（大多数长/短股票书籍的期权用途都相当有限，因此我只想看看价格/FX和股票之间是否存在真正固有的对比度）


3.最后，FX和速率之间有多少分析或变量重叠？我对FX的自学了解有限的是，在每月的时间范围内，Moves似乎最终受到通货膨胀/利率期望或中央银行的货币政策的推动。每天，风险厌恶情绪似乎在起作用吗？看来费率在这些类似的变量上移动？如果是这样，如果您涵盖了费率，那么您的技能将在FX中非常转移；反之亦然？只是想知道它是否准确地将利率和FX之间的分析重叠类似于股票和信贷之间的分析重叠（股票更多地关注上升空间，而积分更多地关注固定现金流，清算价值和盟约，但您仍在对同一公司进行建模从本质上讲，进行相同类型的型号预测，只是以不同的方式扩展您的场景）

任何想法都将再次感激！

Authored by:Certified Hedge Fund Professional - Investment Analyst Certified Hedge Fund Pro
  • 5
6mo
Flâneur，，，，what's your opinion? Comment below:

I've also had similar thoughts. Over the past 6-12 months I've tried my best to get up the curve on Macro fundamentals and have found some great resources.

I'd recommend you readthisand find check out @MrBlonde_macro on twitter. He does a great job of explaining his process on the blockworks podcast.

Remember, the grass is always greener on the otherside because it's fertilized with bullshit.
  • 2
6mo
ertopd123，，，，what's your opinion? Comment below:

+1如果您可以重新检查该链接

6mo
Flâneur，，，，what's your opinion? Comment below:

Sorry, the host expired. Here is the updated link.

https://www.dropbox.com/s/e0d07xkd4yngqeq/lessons%20from%20Crises%2C%2CClients%20AND%20AND%20COLLEAGES%20jpm.pdf?dl = 0

Remember, the grass is always greener on the otherside because it's fertilized with bullshit.
  • 1
View 1 reply
6mo
Fill-or-kill，，，，what's your opinion? Comment below:
银行经常将汇率和FX汇总在一起。这是因为两个资产类别都由利率驱动，因此您可以使用相关/不相同的同时覆盖type of fundamental analysis？

利率是FX的主要驱动力，费率销售将具有大量外国利息，这需要AT-REAT READ READ FX人员。关于类似的分析方法（中央银行观察，经济指标数据等）也是正确的。

这个领域的许多人似乎具有非常定量的背景。为什么是这样？您是否试图通过进行复杂的随机/统计/相关分析来从竞争中获得优势？Or do you need the quant skills to sift through extensive amount of economic/fundamental data (ieinflation expectations，暗示的定价假设来自掉期/派生，从市场等产生期望等）

As others have mentioned, you don't need to be super quant-y off the bat, but if you take risk, you'll want to be intimately familiar with how your models work, where your edge is coming from, and how to quickly pull/distribute runs.

是否有意义的是，如果您是良好的，则假设在5到10年的时间内，前10％至20％+，FX和利率资金更可扩展，产生的回报均高于基本股票的收益，因为即使股票的固有产量更高，外汇和利率是更深的市场（宽度范围）和 -net ofleverage-在FX和利率上，波动率（利润机会）实际上高于具有3-5倍杠杆的股票。

Yes.

I've heard of stories ofStar Traderbringing home 7 to 9 digits, almost always they are rates traders (or sometimes commods guys). What is it about the structure of their trading/payout that allow themsuch astronamicalcomps，虽然其他资产课程的人甚至无法接近？

Rates desk flow is massive.

Just for shits and giggles, how would one transition to FX/Rates from 8 years in fundamental equities?

Start as a jr somewhere.

Authored by:认证对冲基金专业人士 - 投资组合经理 Certified Hedge Fund Pro
  • 1
6mo
halfstep，，，，what's your opinion? Comment below:
Fill-or-kill
银行经常将汇率和FX汇总在一起。这是因为两个资产类别都由利率驱动，因此您可以使用相关/不相同的同时覆盖type of fundamental analysis？

利率是FX的主要驱动力，费率销售将具有大量外国利息，这需要AT-REAT READ READ FX人员。关于类似的分析方法（中央银行观察，经济指标数据等）也是正确的。

这个领域的许多人似乎具有非常定量的背景。为什么是这样？您是否试图通过进行复杂的随机/统计/相关分析来从竞争中获得优势？Or do you need the quant skills to sift through extensive amount of economic/fundamental data (ieinflation expectations，暗示的定价假设来自掉期/派生，从市场等产生期望等）

As others have mentioned, you don't need to be super quant-y off the bat, but if you take risk, you'll want to be intimately familiar with how your models work, where your edge is coming from, and how to quickly pull/distribute runs.

是否有意义的是，如果您是良好的，则假设在5到10年的时间内，前10％至20％+，FX和利率资金更可扩展，产生的回报均高于基本股票的收益，因为即使股票的固有产量更高，外汇和利率是更深的市场（宽度范围）和 -net ofleverage-在FX和利率上，波动率（利润机会）实际上高于具有3-5倍杠杆的股票。

Yes.

I've heard of stories ofStar Traderbringing home 7 to 9 digits, almost always they are rates traders (or sometimes commods guys). What is it about the structure of their trading/payout that allow themsuch astronamicalcomps，虽然其他资产课程的人甚至无法接近？

Rates desk flow is massive.

Just for shits and giggles, how would one transition to FX/Rates from 8 years in fundamental equities?

Start as a jr somewhere.

谢谢。这很有帮助

Authored by:Certified Hedge Fund Professional - Investment Analyst Certified Hedge Fund Pro
  • IB
  • ProspectinIB - Cov
  • Anonymous
6mo

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