Masterclass Case Study: How a Global Macro Fund Positioned Around the 2013 Taper Tantrum

A masterclass case study for senior macro investors, global fund managers and top-down strategists on how a macro fund positions a multi-asset book around a central bank regime change. You join the investment committee of an illustrative composite global macro fund in April 2013, long duration, long emerging market carry, long Indian financials and long gold, all funded by QE3's cheap money. You read the Fed's signals before Ben Bernanke's 22 May testimony, then live through the shock: the US 10-year term premium snapping back, contagion that hit emerging market bonds, equities and currencies unevenly, FPI debt outflows from India, the G-Sec selloff and the hit to Indian banks and NBFCs. You work through the committee's actual decisions: scenario trees, cutting duration versus paying swaps, relative value across the Fragile Five, the equity short book and the gold collapse. You then follow the September reversal, from the RBI's July liquidity squeeze to the no-taper surprise and the re-risking, through to December's actual taper. The case closes with a full P&L attribution, the echoes in 2018 and 2022, and a playbook for trading central bank communication. Its companion case on the same episode covers the currency risk desk; this one covers cross-asset positioning. The fund and its numbers are an illustrative composite; the market events and policy actions are real.