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14 Cards in this Set
- Front
- Back
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Passive management
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Holding a well-diversified portfolio without attempting to search out security mispricing.
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Cash
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Shorthand for virtually risk-free money market securities.
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Active management
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Attempts to achieve portfolio retursn more than commensurate with risk, whether by forecasting broad markers or by identifying mispriced securities.
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Market timing
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A strategy that moves funds between the risk portfolio and cash, based on forecasts of relative performance.
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Comparison universe
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The set of portfolio managers with similar investment styles that is used in assessing the relative performance of an individual portfolio manager.
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Sharpe measure
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Reward-to-volatility ratio; ratio of portfolio excess return to standard deviation.
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M-square (M^2)
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Return difference between a managed portfolio leverage to match the volatility of a passive index and teh return on that index.
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Fund of funds
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Mutual funds or hedge funds that invest in other funds.
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Treynor measure
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Ratio of portfolio excess return to beta.
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Information ratio
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Ratio of alpha to the standard deviation of diversifiable risk.
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Jensen measure
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The alpha of an investment.
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Alpha transfer/ alpha transport
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Investing in one market where you find positive alpha opportunities, but using index products both to hedge broad exposure to that market and to establish exposure to a different market.
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Alpha capture
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Construction of a positive-alpha portfolio with all systematic risk hedged away.
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Bogey
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The rate of return an investment manager is compared to for performance evaluation.
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