Find handy definitions of financial jargon quickly and easily.
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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,...
StatPro Performance & Attribution (SPA)
StatPro Performance and Attribution (SPA) is a versatile portfolio analysis, performance measurement and attribution tool. It allows users to decide what level of analysis to perform for each portfolio and provides the necessary reporting to communicate the impact of...
SEDOL – Stock Exchange Daily Official List
SEDOL stands for Stock Exchange Daily Official List, a list of security identifiers used in the United Kingdom and Ireland for clearing purposes. The numbers are assigned by the London Stock Exchange, upon request of the security issuer.
SER – StatPro Enterprise Reporting aka StatPro Client Reporting
SER is a sophisticated, flexible reporting solution for the investment community, used for the design and production of high-quality, professional reports such as customized factsheets, personalized client reports and valuation statements, typically in PDF format.
Tangible assets are those that have a physical substance, such as cash, equipment and real estate.
The actual costs of buying or selling investments. These costs typically take the form of brokerage commissions, exchange fees and/or taxes, and/or bid–offer spreads from either internal or external brokers.
Tobin's Q Ratio
Many analysts hypothesized that the market value of a firm should be more or less equal to its replacement cost. The ratio of market price to replacement cost is known as Tobin's q which was devised by Nobel-prize winning economist James Tobin. A low Q < 1 implies...
Tracking Error (TE)
Tracking error is a measure of how closely a portfolio follows the index against which it is benchmarked. The larger the tracking error, the more the portfolio diverges from the market index, indicating an active management style. Tracking error can be measured...
This is the ratio of the excess return of a fund to the associated beta. It measures the returns earned in excess of those that could have been earned on a riskless investment per unit of market risk. Where: rp – portfolio return rf – risk-free rate βp – portfolio...
Target Allocation Benchmark
The aim of Target Allocation Benchmarks (TAB) is to allow selection of separate benchmark indices for each segment of the portfolio, as per selected classification. For example, a TAB broken down by GICS sectors would allow a benchmark for each applicable sector,...
True Time-Weighted Return
Money-weighted and time-weighted rates of return are two methods of measuring performance, or the rate of return on an investment portfolio.
Underwriters are investment banks which raise investment capital from investors on behalf of the issuing firms. An underwriter works with the issuing firm to determine the price of securities, buys them from the issuer and trades it using its own distribution...
Unsystematic risk (also referred to as specific risk, idiosyncratic risk, residual risk, or diversifiable risk) is the risk associated with price changes due to the unique circumstances of a specific security, as opposed to the overall market. This risk can be...
Undertakings for the Collective Investment of Transferable Securities (UCITS)
UCITS are a set of European Union directives under which collective investment schemes authorized in a single member state can operate throughout the EU under a common regulatory regime.
The VaR approach is a measure of the maximum potential loss due to the market risk, rather than leverage, taking into the account given confidence level (probability) and specific time period. Other UCITS related terms[posts-by-tag tags="UCITS" order_by="title" ...
Implied Volatility is computed ("reverse-engineered") from options prices, using Black-Scholes formula. Black-Scholes formula, originally designed to compute the price of an option using volatility as an input, is re-arranged, using actual market prices of the...
The Variance is a measure of the dispersion of a set of data points around their mean value. Standard deviation is the square root of variance. Where: V = Volatility n = Number of observations in population (use n-1 for a sample)
Value at Risk (VaR)
Whilst the most popular method of calculating risk is volatility, it has a number of limitations. A stock can be more volatile because of sudden gains as well as losses. Most investors are not averse to sudden gains. Investors are often not really afraid of risk,...
Expected Volatility is the standard deviation of the historically-simulated distribution of returns. It can also be referred to as Ex-ante Volatility or Simulated Volatility
Historical volatility is the measure of historical risk of an investment (and a commonly used way to estimate future volatility), measured by standard deviation of historical returns. The larger the figure the higher the volatility of an instrument, and therefore the...
VaR Confidence Interval
Confidence interval indicates the degree of confidence that a given VaR number will not be exceeded. The higher the confidence interval, the lower probability it will be exceeded. However, the higher the confidence interval, the higher the VaR number. Distribution of...
The yield curve is a graph formulated by plotting and linking the yields of a range of bonds of differing maturities in a particular market at one point in time. In order to build a yield curve, one must use securities, which are comparable. For instance, a yield...
A zero coupon bond is a bond which repays the principal at maturity and does not pay coupons. It therefore trades below par value.