Diversification is an in investment concept of spreading the risk by investing in a variety of assets. From risk management perspective, investing in one (or few) very profitable assets carries a risk of a huge loss if they were to suffer an unexpected loss. Investing...

The interest rate used in discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account the time value of money (the idea that money available now is worth more than the same amount of money available in the...

Diversification Grade shows how much risk was eliminated ("diversified away") by diversifying within the portfolio at each segment level, as well as in the portfolio as a whole. The risk that can be diversified away is referred to as unsystematic risk. The formula for...

Downside risk is a risk that actual return of the portfolio will be lower than expected return. It is usually measured using semi-standard deviation, which measures the variability of underperformance below a minimum target rate (StatPro Revolution uses risk-free...

Extract, Transform and Load – is a tool developed to aid StatPro in extracting client data from outside sources, transforming it to fit operational needs and loading it into the data repository (StatPro Data Hub).

Equity is the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.

For fully-funded instruments, it is the absolute monetary value of position, segment of the portfolio, or portfolio, regardless whether the position is long or short. For derivatives, exposure also denotes leverage, i.e. the value of the position we're exposed to,...

After the fact. Ex-post is a term usually used in the context of performance measures, such as total return or attribution. In this case the performance is calculated as a function of actual portfolio returns over time.

See gross weight

Before the fact. Ex-ante is a term usually used in the context of risk measures, such as Value at Risk (VaR), whereby a risk model is trying to estimate future behaviour of the portfolio, given a certain set of assumptions.

Is the reciprocal of the expected shortfall on the other side of the distribution. The way expected shortfall is loss exceeding certain parameters, Expected Upside is an unexpectedly high gain.

A fund that provides capital for new companies and makes regular injections of capital to support their development.

Capital (cash or investments) that enters or exits a portfolio. While cash flows will impact the overall market value of a portfolio (and hence money-weighted return), they do not impact the true time-weighted portfolio return.

Excess Return (arithmetic) is the difference between the return of the portfolio and the return of the benchmark. Positive number means that the portfolio outperformed the benchmark, negative means it underperformed. It can also be referred to as Active Return...

A fund can be defined as a pool of money from multiple investors. The fund has a specific investment objective and mandate. Can be used interchangeably with account or portfolio.

The Financial Risk Manager (FRM) designation is an international professional certification for risk management professionals offered by the Global Association of Risk Professionals (GARP). To be awarded the FRM designation, candidates must complete two-part,...

Also referred to as PPE (property, plant, and equipment), these are purchased for continued and long-term use in earning profit in a business. This group includes land, buildings, machinery, furniture, tools, and certain resources e.g. timberland and minerals. They...

The amount at which an investment could be exchanged in a current arm’s length transaction between willing parties in which the parties each act knowledgeably and prudently.

A fund of funds (FOF) is an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds or other securities. This type of investing is often referred to as multi-manager investment.

The person responsible for implementing the fund's investing strategy and managing the portfolio. A fund can be managed by one person, by two people as co-managers, or by a team. Fund managers are paid a fee for their work, which is a percentage of the fund's average...

The process of making decisions about investment mix and policy, matching investments to objectives, asset allocation for individuals and institutions, and balancing risk against performance. Portfolio management is all about strengths, weaknesses, opportunities and...

The Global Association of Risk Professionals (GARP) is an international not-for-profit organization founded in 1996. GARP is open to individuals involved in financial risk and energy risk management. GARP is the only globally recognized membership association for risk...

Weight of an instrument or segment of the portfolio taking into account the absolute amount of monetary exposure, regardless of whether given the instrument/segment is long or short. For example, for a portfolio that is USD 130mln long and USD 30mln short, net weight...

The return on investments reduced by any trading expenses incurred during the period, but before subtracting management, performance, and any other previously agreed-upon fees. It's a reflection of absolute performance of a fund or portfolio.

The ratio of Gains to Losses, is the sum of positive returns divided by the sum of negative returns, for the period selected. Where: xi = Fund Period Returns > 0, whether excess or normal returns. yi = Fund Period Returns < 0, whether excess or normal returns.