Glossary

Find handy definitions of financial jargon quickly and easily.
Search for a term or browse our alphabetical list.

Passive Management/Passive Investment

Passive investment can refer to 2 concepts: An investment strategy that follows the composition and returns of existing market instruments (e.g. Indices). A buy-and-hold strategy in which investor purchases securities with the intention of keeping them long term,...

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Quantlib

The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.

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Risk Management

Risk management is the identification, assessment, and prioritization of risks (defined in ISO 31000 as the effect of uncertainty on objectives, whether positive or negative) followed by coordinated and economical application of resources to minimize, monitor, and...

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R² (R-squared)

R² is also referred to as the Coefficient of Determination and represents the proportion of variation in the dependent variable that has been explained or accounted for by the regression equation. It is the square of the correlation. R² can therefore be used to...

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Risk horizon

Period of time for which ex-ante risk figures are being forecasted. The most popular time frames for risk forecasts are 1 day and 1 week

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Relative VaR (UCITS)

Relative VaR is defined as the VaR of the UCITS divided by the VaR of a benchmark or a reference portfolio (i.e. a similar portfolio with no derivatives). This can be an actual benchmark  portfolio (such as an index) or a fictitious benchmark portfolio. The VaR on the...

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Recovery Period

The recovery period is the number of days which were necessary, to fill the maximum loss gap.

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RIA – Registered Investment Advisor

The term Registered Investment Adviser (RIA) is used to describe an Investment Adviser in the US who is registered with the Securities and Exchange Commission or a state's securities agency. An RIA is defined by the Securities and Exchange Commission as an individual...

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Relative Return / Excess Return (geometric)

Relative Return (also referred to as Geometric Excess Return or Geometric Active Return) measures the proportional out-performance (or under-performance) of a portfolio relative to the associated benchmark.  It is the return of the portfolio divided by the return of...

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Risk Free Rate of Return

The risk-free rate is the minimum return an investor expects for any investment because he or she will not accept additional risk unless the potential rate of return is greater than the risk-free rate. Risk-free rate in most (developed) markets has, until recently,...

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Sterling Ratio

Sterling ratio is a risk-adjusted performance ratio that divides return of the portfolio by average portfolio drawdown over the period of analysis plus 10%. There are multiple variations of Sterling Ratio in use. Where: rp – portfolio return DLar – average largest...

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Stress Testing

Stress testing quantifies the effects of extreme market events from the past (such as Black Friday, Lehman bankruptcy etc) in terms of their impacts on stock indices, fx rates, bond yields, interest rates etc and applies them to the portfolio as it stands today,...

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StatPro Seven

Investment portfolio management software including the products SPM, SPA, SFI, SC, SRM, SPC and SI as a collective. Includes all the key functions such as performance analysis, attribution, risk, reporting and compliance provided as on-demand software (SaaS).

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StatPro Direct

Is an on-demand platform that brings together product knowledge base articles and client documentation, StatPro eSupport and access to hosted expert and data applications in one location. Access StatPro Direct here

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StatPro Composites (SC)

StatPro Composites (SC) is a multi-currency performance measurement solution for asset managers, which is specifically designed to help achieve compliance with investment and performance standards such as GIPS® for the purpose of Composite reporting, while offering...

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StatPro Group plc.

StatPro Group plc. is a global provider of portfolio analytics software tools for the investment community. Our cloud-based services provide vital analysis of portfolio performance, attribution and risk. Hundreds of investment professionals use our cloud services...

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StatPro Revolution

Statpro RevolutionStatPro Revolution is a cloud-based front office portfolio analysis, reporting and distribution platform. It gives portfolio managers, custodians, broker-dealers and RIAs the ability to run portfolio analysis, generate and distribute reports in an...

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StatPro Fixed Income (SFI)

Is a yield curve-based bond attribution analytics tool which allows mirroring fixed incomes strategies in an extremely flexible way. SFI allows decomposing returns, attribution effects and bond risks in more than 20 components using a large range of segmentations. The...

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StatPro Interactive (SI)

StatPro Interactive is a tool designed to utilize all the benefits of StatPro’s API and allows the user to automate reporting and data extraction. It is an application designed to link to the StatPro Performance & Attribution (SPA), StatPro Risk Management (SRM),...

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Systematic Risk

Systematic risk is the risk that is inherent to a given market, including factors such as inflation, stability of currency, regulation etc. Unlike unsystematic risk, systematic risk cannot be diversified away.     Other UCITS related terms [posts-by-tag...

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Sharpe Ratio

The Sharpe ratio is a measure of excess return (i.e. return of the portfolio minus risk-free rate) per unit of standard deviation of portfolio return. Where: Rp = Portfolio Return Rf = Risk free rate σp = Standard deviation of portfolio returns

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Sortino Ratio

The Sortino Ratio is an extension of Sharpe Ratio and measures excess return (i.e. return of the portfolio minus minimum target return, which is usually the risk-free rate) per unit of downside risk. Downside risk considers the annualised standard deviation of...

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Standard Deviation

Standard deviation is a widely used measure of variability or diversity used in statistics. It shows how much variation or dispersion exists from the average (mean, or expected value). A low standard deviation indicates that the data points tend to be very close to...

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StatPro Portfolio Management (SPM)

StatPro Portfolio Management (SPM) is a fully-featured, comprehensive portfolio management solution offering analytics, accounting, and reporting functionality as standard. SPM offers an integrated suite of portfolio management software and investment accounting...

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SRRI (Synthetic Risk & Reward Indicator)

Synthetic Risk and Reward Indicator (SRRI) is a component of the Key Investor Information Document. SRRI illustrates a fund’s risk and reward profile through an integer number between 1 and 7. The European Securities and Markets Authority (ESMA) provided detailed...

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SaaS – Software as a Service

Software as a service, sometimes referred to as "on-demand software," is a software delivery model in which software and its associated data are hosted centrally (typically in the Internet or "the cloud") and are typically accessed via a web browser over the Internet....

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StatPro Risk Management (SRM)

StatPro Risk Management SRM is a comprehensive, web-based portfolio risk analytics tool. It covers a wide array of global assets, covering the following asset classes: Fixed Income, Equity, Funds, Currencies, Commodities, Simple and Complex Derivatives, OTCs,...

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