Calmar ratio Calmar Ratio measures the excess return of the fund (defined, like in Sortino Ratio, as actual return minus target required return) over maximum drawdown. Where: rp – portfolio return rt – required target return Dmax – maximum drawdown Other UCITS related...
DV01 is another measure of bond price sensitivity. DV01 is the monetary change in bond price for 1 basis point change in interest rates (by default it is usually expressed as price change for 1bp increase in interest rates). There can also be DV01’s for credit...
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...
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.In 1985, UCITS Directive 85/611/EEC (also known as UCITS I) offered the first EU...
