Portfolio Management

Front 1

Highest Sharpe Rstio

Back 1

Square root of the SRb^2 + IR^2

Front 2

IR in the prescense of investment constraints

Back 2

IR = (TC)(IC) *sqr root of breadth

Front 3

N

Back 3

Mk

Front 4

Transfer Coefficient

Back 4

The correlation between actual active weights and forecasted active returns

Front 5

Ex-post portfolio return variability

Back 5

Is comprised of variation due to realized information coefficient as well as variation due to the constraints imposed on the manager.

Front 6

Information ratio of a portfolio blend with the benchmark

Back 6

If you increase the portion of investment funds to the benchmark rather than the active portfolio, you reduce both the active risk and active return in the same proportion so the information ratio will be the same of the active portfolio alone.

Front 7

Implementation Shortfall

Back 7

Captures price impact, delay(slippage) and opportunity cost of a trade

Front 8

Marginal Var

Back 8

Conceptually similar to incremental VaR, captures changes in Var for very small changes in asset position

Front 9

Active Share

Back 9

Is a relative measure of risk used by traditional active managers concerned about underperform growth against their benchmark

Front 10

Active Share

Back 10

Is a relative measure of risk used by traditional active managers concerned about underperform growth against their benchmark

Front 11

Surplus at risk

Back 11

Risk measure used by pension plans

Front 12

Maximum Drawdown

Back 12

Risk measure used by hedge funds, the worst peak to trough decline in portfolio returns or worst returning month or quarter for a portfolio.

Front 13

Delta of an option is equal to:

Back 13

Dollar change in the option price per $1 change in the price of the underlying

Front 14

Fixed rate payer in an interest rate swap equivalent to a series of:

Back 14

Short interest rate puts and long interest rate calls. Gain when rates on the short rise and losses when short rates fall

Front 15

Parametric Var

Back 15

Calculated using parameters (mean and standard deviation) of the portfolio and assuming a distribution for portfolio risk factors.

Front 16

Wash Trading

Back 16

Market manipulation where the investor buys and sells the same financial instrument simultaneously in order to simulate demand in the instrument by boosting trading volume.

Front 17

Wash Trading

Back 17

Market manipulation where the investor buys and sells the same financial instrument simultaneously in order to simulate demand in the instrument by boosting trading volume.

Front 18

Layering

Back 18

Placing one legitimate trade and on the other side placing bogus trades.

Front 19

Wash Trading

Back 19

Market manipulation where the investor buys and sells the same financial instrument simultaneously in order to simulate demand in the instrument by boosting trading volume.

Front 20

Layering

Back 20

Placing one legitimate trade and on the other side placing bogus trades.

Front 21

Quote Stuffing

Back 21

Entering large quantities of fictitious orders into the market and instantaneously canceling them

Front 22

MM II (without taxes)

Back 22

The cost of equity is a linear function of a company’s debt/equity ratio

Front 23

IC calc

Back 23

IC= 2(% correct)-1

Front 24

Portfolio Liquidity management

Back 24

Entails investing excess cash.

Front 25

Portfolio Liquidity management

Back 25

Entails investing excess cash.

Front 26

Portfolio Completion Strategy

Back 26

Use ETFs to fill temporary gaps in portfolio allocation.

Front 27

Principal Component Analysis

Back 27

Used to identify the factors of a statistical factor model which cannot necessarily be described using conventional economic variables

Front 28

An asset with value that is negatively correlated to the investors utility from future consumption

Back 28

Will command a higher risk premium because it provides a poor hedge against bad consumptions.

Front 29

Active Risk Squared

Back 29

active factor risk+active specific risk

Front 30

VWAP intraday benchmark

Back 30

Portfolio managers who are rebalancing their portfolios over the day and have both but abs sell order sets will likely select the VWAP as a price benchmark.

Front 31

Tracking Error

Back 31

Annualized standard deviation of the daily differential returns of the etf and its benchmark

Front 32

VWAP

Back 32

Weighted average price at which all trades were executed during the time interval between the order being placed and executed. The weights used are based on the dollar volume of each trade.

Does not capture the price impact cost.

Front 33

Risk Averse Investors inter temporal rate of substitution to future asset prices

Back 33

Negative