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by CAIA Association, Hossein Kazemi, Keith H. Black, Mark J. P. Anson, Donald R. Ch
Alternative Investments: CAIA Level I, 3rd Edition
Preface
Foundation
Benefits
The CAIA Programs and the CAIA Alternative Investment Analyst Series
Acknowledgments
About the Authors
PART 1 Introduction to Alternative Investments
CHAPTER 1 What Is an Alternative Investment?
1.1 Alternative Investments by Exclusion
1.2 Alternative Investments by Inclusion
1.3 Structures among Alternative Investments
1.4 Investments Are Distinguished by Return Characteristics
1.5 Investments Are Distinguished by Methods of Analysis
1.6 Investments Are Distinguished by Other Factors
1.7 Goals of Alternative Investing
1.8 Overview of This Book
Review Questions
CHAPTER 2 The Environment of Alternative Investments
2.1 The Participants
2.2 Financial Markets
2.3 Regulatory Environment
2.4 Liquid Alternative Investments
2.5 Taxation
Review Questions
Notes
CHAPTER 3 Quantitative Foundations
3.1 Return and Rate Mathematics
3.2 Returns Based on Notional Principal
3.3 Internal Rate of Return
3.4 Problems with Internal Rate of Return
3.5 Distribution of Cash Waterfall
Review Questions
CHAPTER 4 Statistical Foundations
4.1 Return Distributions
4.2 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis
4.3 Covariance, Correlation, Beta, and Autocorrelation
4.4 Interpreting Standard Deviation and Variance
4.5 Testing for Normality
4.6 Time-Series Return Volatility Models
Review Questions
CHAPTER 5 Measures of Risk and Performance
5.1 Measures of Risk
5.2 Estimating Value at Risk (VaR)
5.3 Ratio-Based Performance Measures
5.4 Risk-Adjusted Return Measures
Review Questions
Note
CHAPTER 6 Foundations of Financial Economics
6.1 Informational Market Efficiency
6.2 Single-Factor and Ex Ante Asset Pricing
6.3 Multifactor and Empirical Models
6.4 Arbitrage-Free Models
6.5 The Term Structure of Forward Contracts
6.6 Option Exposures
6.7 Option Pricing Models
6.8 Option Sensitivities
Review Questions
Notes
CHAPTER 7 Benchmarking and Performance Attribution
7.1 Benchmarking
7.2 Types of Models
7.3 Performance Attribution
7.4 Distinctions Regarding Alternative Asset Benchmarking
Review Questions
Notes
CHAPTER 8 Alpha, Beta, and Hypothesis Testing
8.1 Overview of Beta and Alpha
8.2 Ex Ante versus Ex Post Alpha
8.3 Inferring Ex Ante Alpha from Ex Post Alpha
8.4 Return Attribution, Alpha, and Beta
8.5 Ex Ante Alpha Estimation and Return Persistence
8.6 Return Drivers
8.7 Using Statistical Methods to Locate Alpha
8.8 Sampling and Testing Problems
8.9 Statistical Issues in Analyzing Alpha and Beta
Review Questions
Notes
CHAPTER 9 Regression, Multivariate, and Nonlinear Methods
9.1 Single-Factor Models and Regression
9.2 Multifactor Models and Regression
9.3 Three Dynamic Risk Exposure Models
9.4 Two Approaches to Modeling Changing Correlation
9.5 Four Multifactor Approaches to Understanding Hedge Fund Returns
9.6 Evidence on Fund Performance Persistence
Review Questions
Notes
PART 2 Real Assets
CHAPTER 10 Natural Resources and Land
10.1 Natural Resources Other Than Land
10.2 Land
10.3 Timber and Timberland
10.4 Farmland
10.5 Valuation and Volatility of Real Assets
10.6 Historical Risks and Returns
Review Questions
Notes
CHAPTER 11 Commodity Forward Pricing
11.1 Forward Contracts versus Futures Contracts
11.2 Rolling Contracts
11.3 The Term Structure of Forward Prices on Commodities
11.4 Backwardation and Contango
11.5 Returns on Forward Contracts
Review Questions
CHAPTER 12 Commodities: Applications and Evidence
12.1 Commodity Investing for Diversification
12.2 Commodity Investing for Return Enhancement
12.3 Investing in Commodities without Futures
12.4 Commodity Exposure through Futures Contracts
12.5 Commodity Futures Indices
12.6 Commodity Risks and Returns
12.7 Historical Risks and Returns
Review Questions
CHAPTER 13 Operationally Intensive Real Assets
13.1 Commodity Producers
13.2 Liquid Alternative Real Assets
13.3 Infrastructure
13.4 Intellectual Property
Review Questions
Notes
CHAPTER 14 Liquid and Fixed-Income Real Estate
14.1 Real Estate as an Investment
14.2 Residential Mortgages
14.3 Commercial Mortgages
14.4 Mortgage-Backed Securities Market
14.5 Liquid Alternatives: Real Estate Investment Trusts
14.6 Historical Risks and Returns of Mortgage REITs
Review Questions
Notes
CHAPTER 15 Real Estate Equity Investments
15.1 Real Estate Development
15.2 Valuation and Risks of Real Estate Equity
15.3 Alternative Real Estate Investment Vehicles
15.4 Real Estate and Depreciation
15.5 Real Estate Equity Risks and Returns
15.6 Historical Risks and Returns of Equity REITs
Review Questions
PART 3 Hedge Funds
CHAPTER 16 Structure of the Hedge Fund Industry
16.1 Distinguishing Hedge Funds
16.2 Hedge Fund Fees
16.3 Hedge Fund Classification
16.4 Hedge Fund Returns and Asset Allocation
16.5 Evaluating a Hedge Fund Investment Program
16.6 Do Hedge Funds Adversely Affect the Financial Markets?
16.7 Hedge Fund Indices
16.8 Conclusion
Review Questions
Notes
CHAPTER 17 Macro and Managed Futures Funds
17.1 Major Distinctions between Strategies
17.2 Global Macro
17.3 Returns of Macro Investing
17.4 Managed Futures
17.5 Systematic Trading
17.6 Systematic Trading Strategies
17.7 Evidence on Managed Futures Returns
17.8 Analysis of Historical Returns Conclusion
Review Questions
Notes
CHAPTER 18 Event-Driven Hedge Funds
18.1 The Sources of Most Event Strategy Returns
18.2 Activist Investing
18.3 Merger Arbitrage
18.4 Distressed Securities Funds
18.5 Event-Driven Multistrategy Funds
Review Questions
Notes
CHAPTER 19 Relative Value Hedge Funds
19.1 Overview of Relative Value Strategies
19.2 Convertible Bond Arbitrage
19.3 Volatility Arbitrage
19.4 Fixed-Income Arbitrage
19.5 Relative Value Multistrategy Funds
Review Questions
Notes
CHAPTER 20 Equity Hedge Funds
20.1 Sources of Return
20.2 Market Anomalies
20.3 The Fundamental Law of Active Management
20.4 Implementing Anomaly Strategies
20.5 The Three Equity Strategies
20.6 Equity Hedge Fund Risks
Review Questions
Notes
CHAPTER 21 Funds of Hedge Funds
21.1 Overview of Funds of Hedge Funds
21.2 Investing in Multistrategy Funds
21.3 Investing in Funds of Hedge Funds
21.4 Investing in Portfolios of Single Hedge Funds
21.5 Multialternatives and Other Hedge Fund Liquid Alternatives
21.6 Historical Returns of Funds of Funds
Review Questions
Notes
PART 4 Private Equity
CHAPTER 22 Introduction to Private Equity
22.1 Private Equity Terminology and Background
22.2 Private Equity as Equity Securities
22.3 Private Equity as Debt Securities
22.4 Private Equity Liquid Alternatives
22.5 Trends and Innovations in Private Equity
Review Questions
Notes
CHAPTER 23 Equity Types of Private Equity
23.1 Contrasts between Venture Capital and Buyouts
23.2 The Underlying Businesses of Venture Capital
23.3 Venture Capital Funds
23.4 The Dynamics of Venture Capital
23.5 Venture Capital Risks and Returns
23.6 Types of Buyouts
23.7 Leveraged Buyout Details
Review Questions
CHAPTER 24 Debt Types of Private Equity
24.1 Mezzanine Debt
24.2 Distressed Debt
Review Questions
PART 5 Structured Products
CHAPTER 25 Introduction to Structuring
25.1 Overview of Financial Structuring
25.2 Major Types of Structuring
25.3 The Primary Economic Role of Structuring
25.4 Collateralized Mortgage Obligations
25.5 Structural Model Approach to Credit Risk
25.6 Introduction to Collateralized Debt Obligations
Review Questions
Note
CHAPTER 26 Credit Risk and Credit Derivatives
26.1 An Overview of Credit Risk
26.2 Reduced-Form Modeling of Credit Risk
26.3 Credit Derivatives Markets
26.4 Credit Default Swaps
26.5 Other Credit Derivatives
26.6 CDS Index Products
26.7 Five Key Risks of Credit Derivatives
Review Questions
Notes
CHAPTER 27 CDO Structuring of Credit Risk
27.1 Overview of CDO Variations
27.2 Balance Sheet CDOs and Arbitrage CDOs
27.3 Mechanics of and Motivations for an Arbitrage CDO
27.4 Cash-Funded CDOs versus Synthetic CDOs
27.5 Cash Flow CDOs versus Market Value CDOs
27.6 Credit Enhancements
27.7 Developments in CDOs
27.8 Risks of CDOs
Review Questions
CHAPTER 28 Equity-Linked Structured Products
28.1 Structured Products and Six Types of Wrappers
28.2 Four Potential Tax Effects of Wrappers
28.3 Structured Products with Exotic Option Features
28.4 Global Structured Product Cases
28.5 Structured Product Pricing
28.6 Motivations of Structured Products
Review Questions
Notes
PART 6 Risk Management and Portfolio Management
CHAPTER 29 Cases in Tail Events
29.1 Problems Driven by Market Losses
29.2 Trading Technology and Financial Crises
29.3 Failures Driven by Fraud
29.4 Four Major Lessons from Cases in Tail Events
Review Questions
Notes
CHAPTER 30 Investment Process, Operations, and Risk
30.1 Investment Strategy and Process
30.2 Investment Process and Market Risk
30.3 The Three Internal Fund Activities
30.4 Operational Risk
30.5 Controlling Operational Risk
30.6 Controlling Risk of Portfolios with Options
Review Questions
Note
CHAPTER 31 Due Diligence of Fund Managers
31.1 Due Diligence Evidence and Organization
31.2 Screening with Three Fundamental Questions
31.3 Structural Review
31.4 Strategic Review
31.5 Administrative Review
31.6 Performance Review
31.7 Portfolio Risk Review
31.8 Legal Review
31.9 Reference Review
31.10 Evidence on Operational Risk
Review Questions
Notes
CHAPTER 32 Portfolio Management, Alpha, and Beta
32.1 Alpha and Smart Beta
32.2 The Estimation of Alpha and Beta
32.3 The Separation of Alpha and Beta
32.4 Portable Alpha
32.5 Alpha, Beta, and Portfolio Allocation
Review Questions
Note
APPENDIX Data Sources
Computations and Explanations
Index
EULA
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APPENDIX Data Sources
Next
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EULA
Index
Abe, Shinzo
Abnormal return.
See also
Idiosyncratic return
benchmarks for
ex post alpha as
informational market efficiency
information coefficient
interpreting
speculation as
Abnormal return persistence
Absolute pricing model
Absolute priority rule
Absolute return products
Absolute return standard
Absolute return strategies
Absolute returns:
arbitrage
downside risk
liquid alternative product
real estate
Absolute return structured product
Abstract model
Acceleration
Acceleration of loan:
credit default swap event
mezzanine debt
Access
Accountants as outside service providers
Accounting accrual
Accrual tranche in CMOs
Acquisitions:
antitrust review
club deals
decline in crises
distressed debt market
event-driven strategies
leveraged
leveraged buyouts versus
merger arbitrage
mezzanine financing
shares vs. cash
underleveraged companies
Actively managed portfolio
Active management
active risk
breadth of strategy
closet indexers
distressed securities
equity hedge funds
Fundamental Law of Active Management
as goal of alternative investing
hedge funds
managed futures
tactical asset allocation
Active option
Active returns
Active risk
active management
arbitrage
loose usage
Activist hedge funds:
activist investment strategy
activist investors in distressed debt
agenda of capital structure
agenda of corporate governance
agenda of mergers or divestitures
assets under management
corporate governance abstract
corporate governance battles
as event-driven
Form 13D
historical returns
interlocking boards
principal-agent relationship
shareholder activism (
see also
Shareholder activism)
shareholder wealth maximization
strategies of
wolf packs
Activist investment strategy
Actual investment strategy
Adjustable-rate mortgages (ARMs).
See also
Variable-rate mortgages
Administrative review of funds:
business continuity
civil, criminal, regulatory
employee turnover
investor relations
Affinity fraud
Africa forest public ownership
After-tax discounting approach
Agency costs
Agency relationships:
agency costs
agency risk
agency theory
buyouts
compensation scheme
operational risk
principal-agent relationship
rogue traders
structured claims history
Agency risk
Agency theory
Agent compensation scheme
Aggregation:
duration-neutral position
fund-as-a-whole carried interest
log returns for
log returns vs. discretely compounded
residential mortgage-backed securities
return computation interval
value at risk
Aggregation of IRRs
Alignment of interests:
compensation for (
see also
Compensation structures)
fund managers and investors
shareholders and managers
α (alpha) as type I error
Alpha
alpha-beta commingling
alpha drivers
beta separation
biased testing
capital asset pricing model
commodities as alpha drivers
commodity trading advisers
contract term structure and
convertible bond arbitrage
corporate governance
cross-sectional search and non-normality
due diligence generating
estimating
estimation fallacies
event-driven strategies
example worked out
ex ante alpha (
see also
Ex ante alpha)
ex ante alpha as
alpha
ex post alpha (
see also
Ex post alpha)
hypothesis testing for
identification of
as idiosyncratic returns
importance of
Jensen's alpha
larger vs. smaller funds of funds
law of one price
luck vs. skill
managed futures funds
model misspecification
M
2
alpha
multifactor regression
outliers
portable alpha
rolling contracts
smart beta
statistical analysis for
supply and demand predictions
t
-statistic
zero-sum game
Alpha driver
Alternative hypothesis
Alternative Investment Fund Managers (AIFMs)
Alternative Investment Fund Managers Directive (AIFMD)
Alternative investment funds (AIFs)
Alternative investments
active management (
see also
Active management)
alpha drivers (
see also
Alpha)
autocorrelation (
see also
Autocorrelation)
beta (
see also
Beta)
CAPM (
see also
Capital asset pricing model)
CAPM vs. multifactor
definitions
environment of
ex ante vs. ex post returns
goals of
hedge funds as (
see also
Hedge funds)
historical returns vs. traditional
informational efficiency (
see also
Informational market efficiency)
institutional quality
as leptokurtic
liquid alternatives (
see also
Liquid Alternatives)
methods of analysis (
see also
Portfolio management; Quantitative foundations; Statistical analysis; Valuation)
multifactor pricing models (
see also
Multifactor asset pricing models)
non-normality of returns
option use (
see also
Options)
private equity as (
see also
Private equity)
real assets as (
see also
Real assets)
return characteristics (
see also
Returns)
risk-adjusted returns
skewness (
see also
Skewness)
Sortino ratio (
see also
Sortino ratio)
structured products as (
see also
Structured products)
structures of
Alternative investment vehicles:
marketing
structure of
Alternatives.
See
Alternative investments
Amaranth Advisors
American credit option
American call option on CDS
perpetual options as
American depository receipts (ADR)
American International Group
American Research and Development
AMEX Biotech Index
Amortization
fixed-rate mortgages
high-yield bonds
leveraged loans
mezzanine debt
negative amortization
option ARMs
prepayment options
Amoritization period
Analytical
Anchoring
Anchoring in appraisal smoothing
Angel investing
Annualized returns:
annual standard deviation
formulas for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
Annual rates
Annual volatility
Annuities:
annuity of fees
durations and mezzanine financing
equity-linked annuities
internal rate of return computation
wrapper for structured product
Annuity view of hedge fund fees
Anonymous trading:
brokers for
dark pools
electronic trading networks
Anticipated volatility
Antitrust review
Anxious sellers
Applied model
Appraisals
autocorrelation of
NCREIF Property Index (NPI)
as nonmarket value
real asset valuation
real estate indices
selective appraisals
smoothing
Arbitrage
as active absolute return strategy
arbitrage-free models (
see also
Arbitrage-free pricing models)
asset pricing models
capital structure arbitrage
convertible bonds (
see also
Convertible bond arbitrage)
Flash Crash
intercurve positions
intracurve positions
limits to
merger arbitrage nonlinear exposures (
see also
Merger arbitrage)
put-call parity
relative vs. absolute value
returns uncorrelated through time
Arbitrage CDOs
Arbitrage-free model
applications of
binomial tree models
carry trades
cost-of-carry models
forward contracts and hedging
marketwide factors on returns
as normative models
physical asset forward pricing
put-call parity
spot markets
as theoretical
ARCH (autoregressive conditional heteroskedasticity)
Arithmetic mean log return
Artwork as IP
Asia:
currency contagion
forest public ownership
thematic investing
Asian option
Asset-backed securities (ABS)
counterparty risk
effective duration
mortgage-backed (
see also
Mortgage-backed securities)
option-adjusted spread
prepayment risk
risks
Asset classes:
multifactor return models
REITs for real estate
returns compared
venture capital as
Asset gatherers
Asset ownership.
See
Ownership
Asset pricing models
absolute pricing models
abstract models
applied models
arbitrage-free (
see also
Arbitrage-free pricing models)
backfilling
backtesting
CAPM (
see
Capital asset pricing model)
cross-sectional models
data sets
empirical fundamentals
empirical multifactor challenges
empirical vs. theoretical
ex ante
ex post
methodology importance
model misspecification
multifactor (
see also
Multifactor asset pricing models)
normative models
positive models
relative pricing models
risk-adjusted measures
single-factor (
see also
Single-factor asset pricing models)
structured products
time series (
see also
Time series of returns)
Assets:
CDS credit references
financial vs. real
levels for fair asset values
lumpy assets
segregation of
side pocket arrangement
tradable
valuation (
see
Valuation)
Assets under management (AUM):
capacity
equity hedge funds
event-driven funds
hedge fund consolidation
hedge fund strategies
infrastructure funds
leverage
limited capacity
liquid alternatives
management fee percentage
performance review
time- vs. dollar-weighted returns
volatility as performance review
Asset-weighted hedge fund indices
Assignment
Asymmetrical information
Asymmetric incentive fees
Asynchronous trading
Attachment point
At-the-money incentive fee approximation
At-the-money options:
convertible bonds
down-and-out put options
gamma
hybrid convertibles
natural resources development
straddle for absolute return
up-and-out call options
Attorneys as outside service providers
Auction process
Auditors:
due diligence
fraud by Bayou Management
fraud by Bernie Madoff
fraud by Lancer Group
fund administrator assisting
as outside service providers
Audits per UCITS requirements
Aufsichtsrat (German supervisory board)
AUM.
See
Assets under management
Australia:
Australian Securities and Investment Commission (ASIC)
forest public ownership
hedge fund regulation
taxation
Austria taxation
Autocorrelation
alternative investments
commodity historical returns
Durbin-Watson test for
first order
formulas for book
historical activist funds
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
log returns as normal distribution
macro funds
mean-reverting
non-normality source
price momentum
real asset historical returns
regression assumption violation
serial correlation as
standard deviation of returns
time series of returns
Autoregressive
Autorités des Marchés Financiers (AMF)
Averages:
arithmetic mean log return
geometric mean return
internal rate of return
Average tracking error
Avis
A.W. Jones & Co.
Back contracts
Backfill bias
Backfilling
Background information on investing
Back office operations
Backtesting
dangers of
in-sample data
slippage
systematic trading
Backwardation
commodities
as cost of carry
normal backwardation
roll yield and forward curve
Backward induction
Bahrain in GCC
Balance sheet CDOs
Balloon payments
Bankruptcy:
bankruptcy remote
as CDS trigger event
chapter 7 bankruptcy
chapter 11 bankruptcy
debt financing
distressed debt
distressed debt investors
event-driven strategies
plan of reorganization
prepackaged bankruptcy filing
recovery value
reorganization process
stock prices
timing of
venture capital liquidation
Bankruptcy process
Bankruptcy remote
Banks:
balance sheet CDOs
city banks (Japan)
clearing banks (UK)
commercial banks (U.S.)
credit derivatives
as distressed debt investors
forward contracts
in Germany
in Japan
in United Kingdom
in United States
investment banks (U.S.)
large dealer banks (U.S.)
merchant banks (UK)
as mezzanine debt investors
stretch financing
universal banks (Germany)
Barclays Global Aggregate
Barrier options
active option in
down-and-out put options
knock-in options
knock-out options
structured products
up-and-in call options
up-and-out call options
Basis
alpha via contracts
basis risk
commodity ETFs
roll yield
spot and forward prices
Basis risk
collateralized debt obligations
credit derivatives
Bayou Management case
BDCS
Bear spread
Behavioral biases
Behavioral finance
anchoring
appraisal smoothing
behavioral biases (
see also
Biases)
bias blind spot
closet indexers
gaming
incentive fees and manager behavior
lock-in effect
operational fraud
outliers for behavior prediction
prepayment risk
pure asset gatherers
risk taking
rogue traders
structured product spectrum
Belgium taxation
Benchmark
average tracking error
benchmarking (
see also
Benchmarking)
benchmark return
benchmark weight
beta
capitalization-weighted indices
commodity futures indexes as
fund style index
hedge fund indices as (
see also
Hedge fund indices)
information ratio
Mount Lucas Management Index as
MSCI World Index as
nonactive bets
opportunistic hedge funds
optimal benchmark
passive indices
peer benchmarks
PSA benchmark
Russell 2000 Index as
Sortino ratio
tracking error
types of
Benchmark return
Benchmarking
applied vs. abstract models
benchmarks (
see
Benchmarks)
benchmark weight
CAPM and alternative assets
considerations
cross-sectional vs. time-series models
example of
fund managers
hedge funds vs. traditional
methodology importance
multifactor
normative vs. positive models
rolling contracts
single-factor
theoretical vs. empirical models
Benefit of carry
Bermuda taxation
Bernard L. Madoff Investment Securities
β (beta) as type II error
Beta
alpha-beta commingling
alpha separation
alternative investments
beta driver process drivers
beta expansion
capital asset pricing model
commodities as beta drivers
commodity equities
down market beta
equity market-neutral funds
estimation challenges
estimation fallacies
event-driven strategies
formulas for book
hedge via short-bias fund
historical activist hedge funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REIT returns
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real asset returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
importance of
macro funds
mean neutrality
model misspecification
multifactor asset pricing models
pairs trading
passive beta drivers
ratio-based performance measures
as regression slope coefficient
REIT asset pricing model
smart beta
as systematic risk
Treynor ratio
t
-statistic
up market beta
Beta creep
Beta driver
Beta expansion
Beta nonstationarity
Bets:
breadth of strategy
nonactive bets
options as volatility bets
Bias:
alpha search
anchoring
backfill bias
behavioral biases
confirmation bias
favorable marks as
fee bias
hedge fund databases
hedge fund results
herd behavior
instant history bias
liquidation bias
overconfidence bias
participation bias
risk taking and
selection bias (
see also
Selection bias)
self-selection bias
structured products and behavior
survivorship bias (
see also
Survivorship bias)
unrepresentative data sets
Bias blind spot
Bid-ask spread
Bidding contest
Binary options
credit derivatives
credit options
structured products
Binomial option pricing
Binomial tree model
backward induction
decision nodes
information nodes
real estate development
structured product valuation
Black-box model trading.
See also
Systematic trading
Black forward option pricing model
Black-Scholes call option formula
Black-Scholes option pricing model:
convertible bonds
credit risk
debt valuation
European options
incentive fees via option view
put option formula
Blanket subordination
Blind spot to biases
Blocking position
Bloomberg Commodity Index (BCOM)
Blue top lots
BNP Paribas
Boards of directors:
activist investors
buyouts
corporate governance
directors' fees
distressed debt investors
interlocking boards
mezzanine debt
proxy battles
staggered board seats
venture capital funds
Bonds:
alternative investment returns
American credit put options
bond returns
carry trades
collateralized bond obligations
convexity
credit spreads
duration
growth of low-quality
historical equity REITs versus
historical mortgage REITs versus
historical real asset returns versus
infrastructure investments versus
liquid alternative products
mezzanine financing
nontraditional bond funds
off-the-run bonds
put-call parity
recovery value
residential mortgages as callable bonds
risk-neutral bond pricing
structured products
Z-bonds
Book-to-market ratio
Borrowing cost
Borrowing type cash flow pattern
Boundary condition
Brazil:
Securities Commission (CVM)
taxation
Breadth
Breakout strategies
Bridge financing
British pound and European ERM
British Virgin Islands taxation
Brokerage fees to fund managers
Brokers
Brownfield project
Building blocks approach
Bull call spread
Bull put spread
Bull spread
Burn rate
Business activities
Business cycle
Business development companies (BDCs)
Business plans
Business risk
Busted convertibles
Buy-and-build strategy
Buy-and-hold rolling contracts
Buy-in management buyout
Buyouts
agency relationships
buy-and-build strategy
buy-in management buyout
buyout-to-buyout deals
conglomerates
distressed debt market
efficiency buyouts
entrepreneurship stimulators
history of
junk bonds financing
leveraged (
see also
Leveraged buyouts)
management buy-ins
management buyouts
merchant banking versus
mergers versus
portfolios
as private equity
secondary buyouts
segmented markets
turnaround strategy
types of
venture capital versus
Buyout-to-buyout deal
Buy side
CAIA:
classification of hedge fund strategies
designation in due diligence
CAIA Alternatives Index
Calendar spreads
credit default swaps
forward contracts
option spreads
return on
risks of
Calibrate a model
Call options:
American call option on CDS
binomial tree example
Black forward option pricing model
Black-Scholes call option formula
cash-and-call strategy
collars
corporate debt as
covered
delta as value change
distressed debt as naked
European spread call options
event-driven hedge funds
incentive fees as
knock-in options
land as
leveraged buyout payoffs
naked distressed debt
natural resource development
nonlinearity of short-term
nonlinear risk exposures
option combinations
option pricing models
option sensitivities
option spreads
option straddles
option strangles
prepayment on mortgages
private equity as
put-call parity
puts same as
quanto call option
ratio spreads
real estate development
residential mortgages as callable bonds
risk exposure
risk reversal
up-and-in call options
up-and-out call options
venture capital investment as
warrants
Call option view of capital structure
Call option view of private equity
CalPERS
Canada:
Canadian Securities Administrators (CAS)
hedge funds
taxation
Capacity
due diligence
hedge funds
macro funds
managed futures funds
Capacity risk
Capital account statement
Capital appreciation
Capital asset pricing model (CAPM)
alpha
alternative investments
assumptions of
beta
empirical multifactor model versus
equity hedge funds
ex ante form
ex post form
Fama-French model versus
faults of
illiquidity of alternatives
in multi-period world
market anomalies
market portfolio
non-normality of alternatives
perfectly diversified portfolio
performance attribution
price inefficiencies and
as pricing model foundation
risk premium and diversification
Capital calls
Capital gains:
convertible bond arbitrage
short selling returns
structured products to maximize
taxation
Capitalization rate for farmland
Capitalization-weighted indices
Capital losses:
convertible bond arbitrage
short selling returns
Capital structure
Capital structure arbitrage
Capital structure of corporations.
See
Corporate capital structure
CAPM.
See
Capital asset pricing model
Cap rate
Carlyle Capital Corporation case
Carlyle Group
Carried interest.
See also
Incentive fees
clawbacks and
deal-by-deal
fund-as-a-whole
waterfall distribution
Carrying cost
backwardation and contango
benefit of carry
commodity contracts
futures vs. spots
Carry trades
arbitrage-free pricing models
forward contracts
hedging
as intercurve arbitrage
leveraged as structured product
Cases:
Amaranth Advisors
Bayou Management
Bernie Madoff
Carlyle Capital Corporation
Flash Crash
Knight Capital Group
Long-Term Capital Management
Quant Meltdown
Casey, Frank
Cash-and-call strategy
Cash-and-carry trades
Cash-flow CDO
Cash flows:
asset-backed securities
borrowing type pattern
collateralized debt obligations
collateralized mortgage obligations
complex cash flows
contraction risk
credit risk and
expected
farmland
funds of funds commingling
futures contracts
infrastructure investments
infrastructure vs. traditional
intellectual property
IRR complex cash flows
IRR computation
leveraged buyout
master limited partnerships
mezzanine debt
monopolies
multiple sign change pattern
net income versus
real estate
realized
securities structures
structured products
venture capital investments
waterfalls
Cash-funded CDOs
Cash market.
See also
Spot market
Cash-on-cash return
Cash settlement
Catch-up provision
Catch-up rate
Causality
Cayman Islands taxation
CBOE Volatility Index (VIX):
forecasting volatility
implied volatility
S&P 500 volatility
volatility arbitrage
C corporation taxation
CDO.
See
Collateralized debt obligations
CDS.
See
Credit default swaps
CDS indices
CDS premium
CDS spread
CDX index
Central American forest public ownership
Central bank interventions:
macro funds
managed funds
Central limit theorem
Central moments
Central tendency
Certificates as wrappers
Certificates of deposit smoothing
Chapter 7 bankruptcy
Chapter 11 bankruptcy
Charge-off loans
Chelo, Neil
Cherry-picking
Chief financial officer (CFO)
Chief investment officer (CIO)
Chief risk officer (CRO)
China:
Hong Kong Stock Exchange
taxation
thematic investing
Chipotle Mexican Grill
Chi-squared distribution
Chumming
Circuit breaker
Citadel Investment Group
Classic convertible bond arbitrage trade
Classic dispersion trade
Classic relative value strategy trade
Classification of claims
Classification of hedge fund strategies
Clawback
clawback provisions
as economic protection
fund-as-a-whole carried interest
private equity and hedge funds
venture capital funds
vesting versus
Closed-end mutual fund
business development companies as
illiquid alternatives
overview
Closed-end real estate mutual fund
Closet indexers
Club deal
CMO.
See
Collateralized mortgage obligations
Collar (option)
Collateral:
cash flow CDOs
collateral pools (
see
Collateral pools)
cross-collateral provisions
fully collateralized positions
margin
margin calls
mezzanine debt
mortgages
partially collateralized positions
reserve accounts
Collateralized debt obligation (CDO)
amortization period
arbitrage vs. balance sheet
attachment points
balance sheet vs. arbitrage
basis risk
bond defaults
cash-funded vs. synthetic
collateralized bond obligations
collateralized loan obligations
collateralized mortgage obligations (
see also
Collateralized mortgage obligations)
collateral portfolio
as
correlation products
correlation risk
credit-related benefits
credit risk modeling
default rate
distressed debt CDOs
diversity score
financial crisis
financial engineering risk
hedge fund CDOs
lower attachment point
mezzanine tranche
option strategies
overcollateralization
ramp-up period
reserve accounts
revolving period
risk of the underlying collateral
risks
risk shifting
single-tranche CDOs
special purpose vehicles
spread compression
spread enhancement
as structured products
structure of
stylized example
subordination
synthetic vs. cash-funded
systemic risk
terminology of
tranche width
upper attachment point
weighted average return factor
weighted average spread
yield curve
Collateralized fund obligation (CFO)
Collateralized mortgage obligations (CMOs)
accrual tranche
benefits of
claim prioritization
collateral pool
contraction risk
default risk
extension risk
financial crisis
floating-rate tranches
history of
interest-only tranches
longetivity characteristics
planned amortization class tranches
prepayment risk
principal-only tranches
sequential-pay CMOs
as structured products
structures of investments
targeted amortization class tranches
tranches
valuing default-free
Collateralized positions
Collateral pools:
arbitrage CDO
collateralized debt obligations
collateralized mortgage obligations
commercial mortgage-backed securities
credit default swaps
Collateral portfolio
Collateral yield
Colombia taxation
Commercial bank
Commercial mortgage-backed securities (CMBS)
Commercial mortgage loans
commercial mortgage-backed securities
covenants
cross-collateral provisions
debt service coverage ratio
default risk
development vs. existing property
fixed charges ratio
interest coverage ratio
prepayment penalty
proviso
recourse
residential versus
seniority of loan
Commingled real estate funds (CREFs)
Commission de Surveillance du Secteur Financier (CSSF)
Committed capital
Commodities
alpha drivers
arbitrage-free forward pricing
backwardation
beta drivers
beta of commodity equities
carrying costs
commodity ETFs
commodity ETNs
commodity-related equities
contango
convenience yield
convergence
correlation with traditional assets
as defensive instrument
developer equity vs. commodity prices
developing
for diversification
equity price correlation
event risk
forward prices
forward prices term structure
futures contracts (
see also
Futures contracts)
futures-less
hedging
historical equity REITs versus
historical mortgage REITs versus
historical real assets versus
historical risks and returns
index construction
indexes popular
index use
inelastic supply
inflation
institutional acceptance
liquid alternative products
marking-to-market
natural resources versus
passive exposure
physical (
see also
Physical commodities)
portfolio underrepresentation
producers (
see
Commodity producers)
as real assets
return components
risks and returns
roll definition
storage costs
structures of investments
supply and demand predictions
swaps
as unleveraged
Commodity Futures Trading Commission (CFTC)
Commodity-linked note (CLN)
Commodity pool operator:
commodity trading advisers hired by
fees
history of
registration
Commodity pools
Commodity producers:
developer equity vs. commodity prices
master limited partnerships
natural resources
Commodity trading advisers (CTAs)
alpha
commodity pool operators hiring
fees
hedge fund indices
history of
long gamma positions
managed futures funds (
see also
Managed futures funds)
as private investment pools
registration
trend-following strategies
Common stock seniority
Companies.
See
Corporations
Comparable sale price approach
Compensation scheme
Compensation structure
agent compensation scheme
conflicts of interest
consultants
due diligence
fund managers
general partners
hedge funds
incentives
Investment Company Act
as investment structure
limited partners
partnership waterfall
structural review of funds
Competition in markets:
asset prices and returns as random
auction markets for LBOs
autocorrelation
club deals
informational market efficiency
market efficiency
money chasing vs. opportunities
non-normality source
prices normally distributed
return characteristics
returns uncorrelated through time
Complete market
Complex cash flow pattern
Complexity premium
Components of convertible arbitrage returns
Compounding
Compound option
Computerized trading systems.
See
Technology for trading
Concentrated positions
Concentration limits:
Amaranth Advisors case
Investment Company Act
UCITS
Conditional correlation
macro funds
managed futures funds
modeling
Conditional correlation coefficient
Conditional prepayment rate (CPR)
Conditional value-at-risk (CVaR)
Conditionally heteroskedastic
Confidence interval
erroneous conclusions
hypothesis testing for alpha
Jarque-Bera test for normality
standard deviation for
Confidence levels:
value at risk
value at risk estimation
Confirmation bias
Conflicts of interest:
activist investors
compensation structure
consultant compensation
fraud by Lancer Group
rogue traders
shareholders and managers
valuation
Conglomerates
Conservative funds of funds
Consolidation
Constrained clones
Consultants as outside service providers
Contagion (in real estate prices)
Contango
commodities
as cost of carry
normal contango
roll yield and forward curve
Continuous compounding
derivative pricing
log returns
multiperiod rate of return
for returns computations
Continuous time mathematics
Contraction risk
Contracts:
alternative vs. traditional
credit default swaps as
forward (
see
Forward contracts)
futures (
see
Futures contracts)
legal review of funds
notional principal
options (
see also
Options)
partnership agreements
private equity fund lifetimes
Convenience yield
Convergence
fixed-income relative values
forward contracts
pairs trading
relative value strategies
trading cautions
Convergence at settlement
Convergent strategies
Conversion premiums
Conversion price
Conversion ratio
Convertible arbitrage hedge funds:
asset class returns
classic bond trade (
see also
Convertible bond arbitrage)
crowded shorts
financial crisis
haircut
hedging interest rate
managed futures versus
rebates
short selling background
short squeeze
special stock
Convertible bond arbitrage:
classic convertible bond arbitrage trade
complexity premium
convertible bond pricing (
see also
Convertible bonds)
convexity
crowded shorts
definition
delta
delta hedging
delta-neutral
dynamic delta hedging
gamma
haircut
hedge fund replication
hedge fund strategies
historical returns
illustration of
implied volatility
interest rate hedging
leverage
multifactor asset pricing
net delta
rebates
return drivers
returns components
returns sources
reverse trading
risks
short selling background
short squeeze
skill of management
special stock
speculation
theta
Convertible bonds
bond-like
busted convertibles
conversion premiums
convexity
credit risk
delta
delta hedging
delta-neutral
dilution
equity-like
gamma
hybrid convertibles
implied volatility
liquidity risk
moneyness
realized volatility
returns sources
theta
volatility arbitrage
Convertible debt
Convertible preferred shares
Convexity:
bond price and yield
convertible bond arbitrage
convertible bonds
Convexity risk
Copula approach
Core real estate
Corporate capital structure:
debt option view
mezzanine financing
structuring of assets
Corporate event risk
Corporate governance
agency relationships
as alpha-driven strategy
background
battles
distressed debt investors
leveraged buyouts
management buy-ins
management buyouts
mezzanine financing
shareholder activism (
see also
Shareholder activism)
Corporations:
activist agenda of capital structure
activist agenda of corporate governance (
see also
Corporate governance)
activist agenda of mergers or divestitures
agency relationships
C corporations
conglomerates
credit derivatives
debt as call option
equity investors as owners
mezzanine financing
net stock issuance
proxy battles
shareholder wealth (
see also
Shareholders)
spin-offs
stages of life
taxation
venture capital vs. buyouts
Correlation coefficient
commodities and traditional assets
commodity ETFs
commodity event risks
commodity-related equities
commodity vs. developer equity prices
conditional (
see
Conditional correlation)
“correlations go to one”
correlation vs. cause
dispersion trade
diversification and
formulas for book
hedge funds
hedge funds and traditional assets
historical activist hedge funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REIT returns
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real asset returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
independent bets
infrastructure and equities
liquid alternatives and equities
liquid and illiquid assets
macro funds to equities
market stress and
mean neutrality
modeling conditional correlation
modeling via rolling window
multifactor scoring models
outlier effects
pairs trading
Pearson correlation coefficient
perfectly correlated assets
REITs and equity market
return persistence
r
-squared
serial correlation
short correlation trade
Spearman rank correlation coefficient
spurious vs. true correlation
tail risk strategies
VaR aggregation
Correlation risk
collateralized debt obligations
convertible bond arbitrage
volatility arbitrage
“Correlations go to one”
Cost basis
Cost of capital
Cost of carry
Cost-of-carry model
benefit of carry
cases for pricing forward contracts
commodities
Counterparty risk
counterparties definition
credit derivatives
crisis at maturity
exchange-traded vs. OTC derivatives
fixed-income arbitrage
forward contracts
initial margin
macro funds
managed futures funds
margin call
marking-to-market
principal-protected structured products
volatility arbitrage
Countertrend strategies
Coupon payments:
collateralized debt obligations
commodity-linked notes
distressed debt investors
forward prices
insurance company priorities
mezzanine debt
taxation
value of stocks and bonds
zero-coupon bonds
Coupon rate:
distressed debt
high-yield bonds
inverse floater tranche
leveraged loans
mezzanine debt
warrants in equity kickers
Coupons in mezzanine debt
Covariance
real estate and market index funds
statistical analysis
variance = covariance with self
Covenant
commercial mortgages
incurrence covenants
maintenance covenants
mezzanine debt
negative covenants
positive covenants
venture capital funds
Covenant-lite loans
Covered call
Cox, Christopher
Cramdown
Credit default swap (CDS)
American call option on CDS
benefits of
capital structure arbitrage
CDS indices
CDS maturity
CDS spread
contract size
credit protection buyer
credit reference
delivery
fees
financing risk
insurance companies
markets
marking-to-market
mechanics of
notional amount
return swap versus
risk management
settlement
as single-name credit derivatives
structured product similarity
trigger events
unfunded
unwinding a transaction
valuing
Credit derivatives
binary options
credit-linked notes
credit options
economic roles of
funded
hedging with
history of
liquidity
markets
multiname instruments
price revelation
regulation
risk management
risks
single-name instruments
sovereign vs. non-
as structured products
unfunded
Credit enhancements
Credit indices
Credit-linked notes
Credit options
Credit protection buyer
Credit protection seller
Credit ratings:
collateralized debt obligations
distressed debt rating
leveraged loans
nationally recognized statistical rating organizations
Credit risk.
See also
Default risk
Black-Scholes option pricing
cash flows and
commercial mortgages
convertible bond arbitrage
convertible bonds
credit default swaps
credit derivatives
credit risk premium
distressed debt
exposure at default
fat tail risk
fixed-income arbitrage
hedging
loss given default
modeling
option theory
overview
probability of default
recovery rate
reduced-form models
residential mortgages
skewness
structural models
structural vs. reduced-form models
total return swaps
volatility arbitrage
Credit spreads:
bond pricing
risk-neutral default probabilities
Credit Suisse
Credit Suisse Convertible Bond Arbitrage Index
Credit Suisse Global Macro Index (CSGMI)
Crisis.
See
Financial crises
Crisis at maturity
Crisis risk.
See
Event risk
Cross-collateral provision
Cross-derivatives
Cross-sectional models
capital asset pricing model
multifactor models as
non-normality and
REIT analysis
standard deviation of perfect correlation
time-series versus
Cross-sectional time-series data sets
Crowded trade
crowded shorts
market-neutral strategies
risk analysis
CTA.
See
Commodity trading advisers
Culture of fund
Cumulative wealth index:
activist hedge funds
CAIA Alternatives index
commodities
convertible bonds
distressed debt funds
equity long/short
equity REITs
event-driven multistrategy funds
fixed-income arbitrage
funds of funds
macro fund returns
market-neutral funds
merger arbitrage
natural resources
private equity
real assets
real estate investment trusts
relative value multistrategy
venture capital
volatility arbitrage
Currency:
crisis via speculation
currency option
currency option pricing model
denomination of shares
forward contract for
hedging via funds of funds
inflation risk
liquid alternative products
macro funds
perfectly elastic supply
power reverse dual-currency notes
structured product on multiple
Currency risk:
funds of funds
volatility arbitrage
Custodians
Custody (of assets)
Daily volatility
Dark pools
Databases.
See
Hedge fund indices
Data dredging
data mining versus
multiple regression
Data mining
Data providers:
hedge fund infrastructure
sources of data
Data sets:
cross-sectional time-series data sets
longitudinal data sets
panel data sets
sources of data
unrepresentative data sets
Data smoothing
DAX Global Agribusiness Index
Deal-by-deal carried interest
Death spiral of toxic PIPEs
Debt financing
Debtor-in-possession (DIP) financing
Debt securities
Debt service coverage ratio (DSCR)
Debt-to-assets ratio
Debt-to-equity ratio for LBOs
Decision node
Decision tree.
See also
Binomial tree models
Default rate in CDOs
Default risk
collateralized mortgage obligations
commercial mortgages
exposure at default
hazard rate
loss given default
probability of default
residential mortgages
Deferred contracts
Degradation
Delivery date of forward contracts
Delta
call and put difference
convertible bonds
delta hedging
delta-neutral (
see also
Delta neutrality)
dynamic delta hedging
net delta
put-call parity
tail risk protection funds
value change
volatility cross-derivative
Delta-neutral
calls and puts same
convertible bonds
dispersion trade
dynamic delta hedging
tail risk funds
variance swaps
volatility arbitrage
Delta risk
Denmark taxation
Dependent variables
Depositories
Depository Trust and Clearing Corporation (DTCC)
Depository Trust Company (DTC)
Depreciation
accelerated depreciation
real estate
taxation
Depreciation tax shield
Derivatives
annual rates with continuous compounding
arbitrage-free pricing models
capital structure arbitrage
counterparties definition
counterparty risk definition
credit derivatives
exchange-traded vs. OTC
forward contracts (
see also
Forward contracts)
fund manager evaluation
hedge fund use
marginal market participants
multiple sign change cash flow
mutual fund use
payoff diagrams
pricing structured products
pricing via building blocks
pricing via Monte Carlo
pricing via numerical methods
pricing via partial differential equations
real estate equity investments
return on fully collateralized position
returns on zero value position
separately managed accounts vs. funds
synthetic ownership of securities
systematic risk transfer
valuation
Detachment point
Deviations:
central moments
covariance
definition
mean absolute deviation
skewness
standard deviation and (
see also
Standard deviation)
variance
Diagonal spreads
Dilution
Directors' fees
Disclosure:
hedge funds
Investment Company Act
mutual funds
trading practices
Discounted cash flow (DCF) method
Discount rate:
internal rate of return as
real estate valuation
risk premium approach
Discrete compounding
computation vs. continuous
returns reporting
Discretionary fund trading
Dispersion:
classic dispersion trade
volatility
as
Distant contracts
Distinguishing alpha and beta
Distressed debt
attractiveness of
bankruptcy as source
bankruptcy ownership change
bankruptcy process
chapter 11 bankruptcy
coupon rate
definition
distressed
meaning
equity kickers
fulcrum securities
illustration of
in risk spectrum
leveraged fallouts
mezzanine debt versus
potential default risk
as private equity
risks of investing
strategies
supply of
vultures
Distressed debt CDOs
Distressed debt hedge funds
active management
activist investors
assets under management
bankruptcy and stock prices
bankruptcy involvement
bankruptcy process
bankruptcy timing
capital structure arbitrage
changing correlation
as event-driven
financial crisis
as hedge fund style
historical returns
as naked call option
nonlinear payoff
one-off transactions
recovery value
reorganization process
short sales
undervalued securities
Distressed debt investing
Diversifiable risk.
See
Idiosyncratic risk
Diversification:
alternative vs. traditional investments
barriers to
commodities for
concentration restraints
correlation coefficient and
definition
diversity score
downside risk
Fundamental Law of Active Management
funds of funds
graphs illustrating
liquid private equity pools for
managed futures for
market portfolio
number of funds and
private equity
real estate
return characteristics
return diversifier
Sharpe ratio
Treynor ratio
venture capital portfolio
Diversified funds of funds
Diversified strategies
Diversifier
Diversity score
Divestitures:
activist investors
balance sheet CDOs
distressed debt
divestiture fees
Dividends:
activist investors
convertible bond arbitrage
infrastructure stocks
real estate investment trusts
rebates
shareholder cash
short selling returns
taxation
Documentation.
See also
Reporting
CDO trust documents
intercreditor agreement
investment management agreements
investment mandate
legal review of funds
management company operating agreements
offering methods
partnership agreements
partnership waterfall
private-placement memoranda
subscription agreements
Dodd-Frank Act (2010; U.S.)
Dollar Thrifty Automotive Group
Dollar-weighted returns
Double taxation
business development companies
fund organization
master limited partnerships
real estate investment trusts
syndications
withholding on dividends
Dow Jones Industrial Average
Dow Jones U.S. Real Estate Index
Down market beta
Downside risk:
absolute return products
managed futures funds
short-selling strategies
Downstream operations
Drawdown
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
maximum drawdown
performance review
risk measures
Drexel Burnham Lambert
Due diligence
administrative review
behavioral biases
benefits
CAIA designation
chief risk officer
club deals for finance
costs
fraud
funds of funds management
funds of funds providing
hedge fund consolidation
legal review
leveraged buyouts
liquid alternative products
operational risk (
see also
Operational risks)
performance review
portfolio risk review
private equity
questions to be asked
reference review
risk analysis (
see also
Risk analysis)
single hedge fund investment
strategic review
structural review
venture capital
Dummy variable approach
Duration
duration hedging and delta hedging
effective duration
fixed-income securities
infrastructure investments
insurance company liabilities
intellectual property investments
Duration-neutral
Duration risk
Durbin-Watson test for autocorrelation:
linear regression
statistical analysis
Dynamic delta hedging
Dynamic hedging
Dynamic risk exposures:
dummy variable approach
hedge funds
modeling changing correlation
quadratic approach
separate regression approach
Early-stage venture capital
Earnings:
earnings announcements
earnings per share (EPS)
standardized unexpected earnings
Earnings momentum
Earnings surprise
EBITDA (earnings before interest, taxes, depreciation, and amortization):
leveraged buyout example
mezzanine debt
Economic infrastructure
Economics:
Abenomics
credit derivative roles
developer equity vs. commodity prices
economic vs. statistical significance
farmland
financial (
see
Financial economics)
global macro funds
hedge funds affecting
intangible assets
low-hanging fruit principle
market-based economy
of natural resources
structuring role
thematic investing
Economic significance
Effective duration
Effective gross income
Effective tax rate
Efficiency
market efficiency
returns characteristics
use of term
Efficiency buyouts
Efficient market theory
Elasticity
Electronic trading systems.
See
Technology for trading
Emerging markets hedge fund
Empirical model
challenges of
data mining vs. dredging
developer equity vs. commodity prices
Fama-French-Carhart model
Fama-French model
theoretical versus
Endowment
Energy Future Holdings
Energy sector:
commodity and equity price correlation
gross domestic product percentage
master limited partnerships
midstream MLPs
natural gas
natural resources and
taxation
Enhanced index products
Enron
Enron loophole
Entrepreneurship stimulators
Environment of alternative investments:
financial markets
liquid alternatives (
see also
Liquid alternatives)
participants
regulatory environment (
see also
Regulation)
taxation (
see also
Taxation)
Equally weighted hedge fund indices
Equities:
binomial option pricing models
commodity-related
correlation with liquid alternatives
empirical asset pricing models
equity kickers
equity warrants
financial crisis
historical equity REITs versus
historical mortgage REITs versus
historical real assets versus
managed futures versus
marketwide factors on returns
real estate (
see
Real estate equity investments)
recovery value
Equity financing vs. debt financing
Equity hedge funds:
accounting accruals
active management
arbitrage limits
asynchronous trading
breadth of strategy
capital asset pricing model
earnings momentum
ex ante alpha
fundamental equity investors
Fundamental Law of Active Management
as hedge fund strategy
informational efficiency
information coefficient
insider trading
joint hypotheses test
liquid alternative products
liquidity
long/short funds (
see also
Equity long/short funds)
market anomalies
market anomaly persistence
market anomaly strategies
market-neutral funds
net stock issuance
nonactive bets
popularity of
post-earnings-announcement drift
profit opportunities
quantitative equity investors
return sources
risks
short-bias funds
short selling process
skill as information coefficient
under- and overreacting
unwind hypothesis
Equity kickers
distressed debt
high-yield bonds
leveraged loans
mezzanine debt
Equity-like convertibles
Equity line of credit (ELC)
Equity-linked annuities
Equity-linked CDs
Equity-linked structured products
examples with absolute returns
example with floor features
example with kinks
example with leverage
example with multiple currencies
exotic options abstract
exotic options features
fees over risk
liquid structured products
payoff diagrams
pricing via building blocks
pricing via Monte Carlo
pricing via numerical methods
pricing via partial differential equations
wrappers
Equity long/short funds
benchmarks
changing correlation
financial crisis
fundamental
historical returns
liquid alternative products
macro and managed funds versus
quantitative
sector hedge funds
strategies
Equity market-neutral funds
beta neutrality
historical returns
optimizers
popularity of
strategies
unwind hypothesis
Equity market-neutral strategy
Equity market risks
Equity REITs
Equity residual approach
Equity risk:
convertible bond arbitrage
volatility arbitrage
Equity risk premium (ERP)
Equity risk premium puzzle
Equity securities
Equity strategies
Equity tranche
arbitrage CDOs
cash-funded CDOs
collateralized debt obligations
collateralized mortgage obligations
leveraged buyouts
Escrow agreement
Estate taxation
Euro currency and macro funds
Euronext Amsterdam
European Economic Area:
countries of
Markets in Financial Instruments Directive (MiFID)
European Exchange Rate Mechanism (ERM)
European credit option
binary option structured products
Black-Scholes option pricing model
put-call parity as
spread call options
European Union (EU):
Alternative Investment Fund Managers Directive (AIFMD)
Commission de Surveillance du Secteur Financier (CSSF)
credit derivative regulation
Euronext
European Central Counterparty Limited (EuroCCP)
forest public ownership
hedge fund assets
hedge fund regulation
liquidation process
Markets in Financial Instruments Directive (MiFID)
taxation
Undertakings for Collective Investment in Transferable Securities (UCITS)
Event-driven
activist (
see also
Activist hedge funds)
assets under management, 459
categories of funds
distressed debt (
see also
Distressed debt hedge funds)
event risk
events acted on
financial crisis
hedge fund asset allocation
as hedge fund strategy
long binary call option
long binary put option
merger arbitrage (
see also
Merger arbitrage)
multialternatives
selling insurance
special events
Event-driven multistrategy funds
Event-driven strategies
Event risk
commodities
convertible bond arbitrage
corporate event risk
fixed-income arbitrage
macro funds
merger arbitrage
N-sigma events
tail risk
Evergreen funds
Ex ante alpha
as
alpha
equity hedge funds
example worked out
from ex post alpha
ex post versus
market anomalies
regression intercept
term structure shape
Ex ante models
Ex ante returns
asset pricing
ex post versus
Fama-French model
illiquidity risk
Excessive conservatism
Excess kurtosis
alternative investments
event-driven hedge fund strategy
fat tails
Jarque-Bera test for normality
normal distribution of zero
relative value hedge fund strategy
zero in normal distribution
Excess return
alpha drivers
benchmarking
beta
CAPM
cash securities vs. futures contracts
dynamic risk exposures
empirical models of returns
ex post asset pricing
futures contract
M
2
approach
settlement date differences
Sharpe ratio
skill measurement
Treynor ratio
Excess return of a futures contract
Exchange options
natural resources as
real estate development
Exchange rates.
See
Foreign exchange rates
Exchange-traded funds (ETFs)
commodity ETFs
commodity vs. developer equity prices
diversification with private equity
ETNs versus
farmland
fees
process drivers
real estate indices
REITs
securitization
SPDR XLF
SPDR XME
timberland
Exchange-traded notes (ETNs)
Exchange-traded vs. OTC derivatives
Excludable goods
Exhibition of films
Exit plan
Exit strategies:
CDO amortization period
closed-end real estate mutual funds
credit default swaps
infrastructure investments
leveraged buyouts
mezzanine debt
open-end real estate mutual funds
private equity real estate funds
stale pricing
venture capital
Exotic option
Expectation bias
Expected cash flows
Expected value of distribution
Exponential moving average
Ex post alpha
commodity trading advisers
example worked out
ex ante alpha from
ex ante alpha versus
pairs trading
as past superior performance
Ex post model
Ex post returns
asset pricing
capital asset pricing model
ex ante versus
single-factor regression model
Exposure:
compensation structure
dynamic risk exposure
exposure at default
nonlinear risk exposures
options
order exposure
passive exposure
risk (
see
Risk exposures)
rolling contracts long term
volatility exposure
Exposure at default
Extension risk
External credit enhancement
Fair market value:
definition
portfolio pricing
False negatives
False positives
Fama-French-Carhart model
Fama-French model
CAPM versus
equity hedge funds
ex ante form
factor selection
marketwide factors
multifactor regression
Family office
Fannie Mae (FNMA)
Farmland
agency risk
cap rate
cash flow
financial analysis
historical risks and returns
illiquidity
multiple-use options
political risk
price factors
prices and returns
publicly traded
real estate versus
risks and returns
timberland versus
Fat tails:
alternative investments
excess kurtosis
fat tail risk
leptokurtic positions
outliers
VaR estimation
Favorable mark
FCA (Financial Conduct Authority)
Federal Energy Regulatory Commission (FERC)
Fee bias
Feeder fund
Fee netting
Fees.
See also
Hedge fund fees
annuity of fees
brokerage fees
commodity pool operator
commodity trading advisers
credit default swaps
directors' fees
divestitures
equity-linked structured products
exchange-traded funds
funds of funds
funds of funds fee value
hedge fund indices
Hedge Fund Research
incentive-based fees (
see also
Incentive fees)
incentive fees and manager behavior
incentive fees and operational risks
incentive fees as call options
legal review of funds
leveraged buyouts
liquid alternatives
management fees (
see also
Management fees)
mezzanine funds
multistrategy vs. funds of funds
perverse incentive
private equity
structured products
venture capital funds
Fiduciary duty
Film production and distribution:
asset characteristics
exhibition
financial analysis
negative costs
sequels
Financed positions
Financial Accounting Standards Board
Financial asset
Financial Conduct Authority (FCA)
Financial crises:
American International Group
Asian currency contagion
collateralized debt obligations
collateralized mortgage obligations
convertible bond arbitrage leverage
counterparty risk
financial engineering risk
Flash Crash
fund comparisons
Lehman Brothers
Quant Meltdown
recession (1990–91)
risks illustrated
Russian bond default
subprime mortgages
Financial data providers
hedge fund infrastructure
sources of data
Financial economics:
arbitrage-free models (
see also
Arbitrage-free pricing models)
CAPM (
see also
Capital asset pricing model)
economic vs. statistical significance
empirical asset pricing (
see also
Empirical asset pricing models)
ex ante asset pricing (
see also
Ex ante returns)
ex post asset pricing (
see also
Ex post returns)
forward contract term structure (
see also
Forward contracts)
informational efficiency (
see also
Informational market efficiency)
investor risk neutrality
large dealer banks
multifactor pricing (
see also
Multifactor asset pricing models)
normative models
options definition (
see also
Options)
positive models
single-factor pricing (
see also
Single-factor asset pricing models)
systemic risk
term structures (
see
Term structure of forward contracts; Term structure of futures contracts)
Financial engineering risk
Financial firewall.
See also
Limited liability
Financial Industry Regulatory Authority (FINRA)
Financial markets:
hedge funds affecting
primary capital markets
secondary capital market
Financial market segmentation
Financial platforms
Financial ratios and default risk
Financial software
Financial vs. real assets
Financing risk
Finished lots
Finland taxation
First lien
First-loss tranches
First mortgage
First-order autocorrelation
First-stage venture capital
Fixed charges ratio
Fixed expenses
Fixed income:
arbitrage-free pricing models
inflation
interest rates
methods of analysis
Fixed-income arbitrage
asset-backed securities
carry trades
convexity
counterparty risk
duration
duration-neutral
effective duration
financial crisis
historical returns
intercurve arbitrage
interest rate immunization
intracurve arbitrage
multialternatives
option-adjusted spread
parallel shift
prepayment risk
riding the yield curve
risks
rolling down the yield curve
sovereign debt
strategies
swap-spread trading
yield curve
Fixed Income Clearing Corporation (FICC)
Fixed-income securities
Fixed-rate mortgage
amortization
inflation risk
interest-only
interest rate risk
prepayment option
residential mortgages
unscheduled principal payments
FLOAM (Fundamental Law of Active Management)
Floating-rate tranches
Foreign exchange rates:
arbitrage-free pricing models
carry trades
currency option pricing model
FX option
macro funds
managed funds
power reverse dual-currency notes
Foreign investment funds (FIFs)
Foreign investment taxation
Form 13D
Form 13F
Form 13G
‘40 Act funds.
See also
Mutual funds; U.S. Investment Company Act
Forward contracts
as alpha drivers
backwardation
basis
as beta drivers
Black forward option pricing model
calendar spreads
carrying costs
cash vs. forward positions
collateralizing
commodity vs. financial
contango
convergence
cost-of-carry model cases
cost-of-carry models
counterparty risk
currency exchange
distant contracts
as financed positions
financial vs. commodity
forward curve reflecting market
front month contracts
futures contracts as
futures contracts versus
hedging and
marginal market participants
not marked-to-market
not structured products
over-the-counter typically
return components
returns vs. spot returns
rolling contracts
roll yield
securities vs. commodities
settlement dates
swaps
term structure of
U.S. Treasury bill example
zero starting value
Forward curves:
current market value reflection
dividend rates and financing costs
as forward contract term structure
roll yield and slope
Forward prices:
commodities vs. securities
cost-of-carry models
forward contract term structure
Foundation
Fourth markets
France:
ARIA funds (Agréé à Règles d’Investissement Allégées)
Autorités des Marchés Financiers (AMF)
hedge fund types
taxation
Fraud
affinity fraud
Bayou Management
Bernie Madoff
due diligence
Lancer Group
operational fraud
risk analysis
window dressing
Freddie Mac (FHLMC)
Free rider
Front contract
Front month contract
Front office operations
FTSE NAREIT Residential Index
FTSE NAREIT US Real Estate Index Series
Fulcrum securities
Full market cycle
Fully amortized
Fully collateralized
Fully collateralized position
forward contracts and
futures contracts and
return components
Fully taxed wrappers
Fund activities:
administrative review
investment process
operational risks (
see also
Operational risks)
overview
Fund administrator
administrative review
as outside service provider
Fundamental analysis
fundamental equity long/short funds
pairs trading
Fundamental equity investors
Fundamental Law of Active Management (FLOAM)
Fund-as-a-whole carried interest
Fund culture
Funded credit derivatives
Fund failures:
Amaranth Advisors
Carlyle Capital Corporation
fund mortality
Long-Term Capital Management
omega-score
operational risks
risk analysis (
see
Risk analysis)
Fund manager evaluation:
benchmarking a fund manager
CAIA designation
capacity
due diligence (
see also
Due diligence)
full market cycle
fund style index
hedge fund program evaluation
hedge vs. mutual funds
manager funnel
market timing
optimal benchmarks as standard
performance persistence
questions to be asked
single hedge fund investment
strategic review
trade allocation
value added
Fund managers:
agency relationships
alignment of interests
average time in hedge funds
brokerage fees
buyout agency issues
carried interest
catch-up rate
cherry-picking
chumming
closet indexers
compensation scheme
culture of fund
evaluation (
see
Fund manager evaluation)
excessive conservatism
Form 13F
funds of funds
headline risk
hedge vs. mutual funds
hurdle rates (
see also
Hurdle rates)
incentive fees (
see also
Incentive fees)
incentive fees and manager behavior
incentive fees and operational risks
lock-in effect
management fees (
see also
Management fees)
managing returns
market timing
opportunistic investments
optimal benchmarks as standard (
see also
Fund manager evaluation)
perverse incentive
pure asset gatherers
skill as information coefficient
skill of hedge fund management
skill persistence
time-weighted returns for evaluation
waterfall as incentive
Fund mortality.
See also
Fund failures
Fundraising:
private equity life cycle
venture capital funds
Funds.
See
Funds of funds; Hedge funds; Mutual funds
Funds of funds
access
asset allocation
backfill bias
benefits of
conservative category
consultants managing
currency risk
disadvantages
diversification
diversified category
diversified pools
due diligence
fees
fee value
historical returns
identifying funds for
internal
leverage
liquid alternatives versus
liquidity
liquidity facility
management of
market-defensive
multistrategy performance versus
objectives varying
operational risks
as private investment pools
regulation
seeding funds
selection bias
single versus
smaller vs. larger
strategic category
structure of U.S. funds
survivor bias
taxation
as venture capitalists
Fund style index
Future returns.
See also
Ex ante returns
Futures commission merchants (FCMs)
Futures contracts:
as alpha drivers
Amaranth Advisors case
backwardation
basis
as beta drivers
calendar spreads
carrying costs
collateralizing
commodities (
see also
Commodities)
commodities without
contango
convergence
cost-of-carry models
definition
distant contracts
excess return of futures contract
as exchange traded
Flash Crash
as forward contract settled
forward contracts versus
front month contracts
initial margin
liquidity
managed futures funds
marginal market participants
marked-to-market
open interest
regulation of futures market
return components
returns vs. spot returns
as risk exchange
rolling contracts
roll yield
securities structure
settlement dates
standardization of
supply and demand predictions
Gaming
Gamma
buying
convertible bond arbitrage
convertible bonds
CTA long gamma positions
put-call parity
tail risk protection funds
Gamma risk
GARCH (generalized autoregressive conditional heteroskedasticity)
Gates
Gaussian distribution.
See
Normal distribution
GCC (Gulf Cooperation Council)
Gearing
General collateral stocks
General partners (GPs):
carried interest
clawback clause
compensation scheme
hurdle rate
incentive fees
investment capital
leveraged buyout firms
limited liability
limited partnerships
limited partners selling shares
private equity funds
success spiral
venture capital funds
waterfall distribution
Geometric mean return:
definition
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
German deutsche marks and European ERM
Germany:
Aufsichtsrat supervisory board
Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)
funds of funds
hedge fund regulation
taxation
universal banks
Vorstand management board
Ginnie Mae (GNMA)
Global depository receipts (GDR)
Global macro funds.
See also
Macro funds
Gold:
convenience yield
developer equity vs. commodity prices
Market Vectors Gold Miners ETF
marking-to-market
moneyness of development
Golden parachute
Goodness of fit
Government influence:
central bank interventions
as credit default swap event
exchange rates
farmland political risk
financial crisis
infrastructure investments
privatization
regulatory risk
Russian bond default
sovereign debt arbitrage
Granularity
Greece sovereign bonds
Greenfield project
Gross domestic product energy consumption
Growth stocks
Guernsey taxation
Haircut
Hard hurdle rate
Hard lockup period
Hazard rate
Headline risk
Hedge fund
as alternative investment funds (AIFs)
as alternative investments
Amaranth Advisors case
asset allocation vs. manager selection
asset classes
capacity
characteristics of
classification of
clawbacks
commercial bank use
compensation structure
consolidation of industry
convertible bonds (
see
Convertible bond arbitrage)
correlations across
credit derivatives
definition
distressed debt
failures (
see
Fund failures)
fees (
see also
Hedge fund fees)
financial markets and
fraud
fund administrators
fund managers (
see
Fund manager evaluation; Fund managers)
fund mortality
gates
growth of industry
headline risk
hedge fund
as term
hedge fund CDOs
hedge fund programs (
see also
Hedge fund asset allocation)
hedge fund replication
history of
illiquidity of
incentive-based fees (
see also
Hedge fund fees)
indices (
see also
Hedge fund indices)
informational efficiency (
see also
Informational market efficiency)
infrastructure
investing with
large dealer banks
leveraging (
see also
Leverage)
lockup periods
margin requirements
as market makers
marketwide factors on returns
multifactor analysis of returns
mutual funds versus
net asset value
opportunistic investments
outside service providers
performance persistence
principal component analysis
private equity and
as private investment pools
redemption
regulation of
return characteristics
return distribution vs. mutual funds
returns reporting
return variation factors
risk analysis (
see
Risk analysis)
sector hedge funds
seeding funds
separately managed accounts versus
short selling (
see also
Short selling)
single hedge fund investment
single vs. funds of funds
skill of management
skill persistence of management
specialized market factors
strategy analysis
structural review
structure of U.S. funds
structures of investments
style analysis
systemic risk
tax issues
term structure and alpha
unwind hypothesis
waterfall distribution
wrapper access
Hedge fund asset allocation:
absolute return strategies
asset- vs. equally weighted returns
CAIA classification of strategies
capacity
diversified strategies
equity market-neutral strategy
equity strategies
evaluating
event-driven strategies
fat tail risk
funds of funds
hedge fund programs
indices of hedge funds
manager selection versus
market-defensive funds of funds
multistrategy funds
off-balance-sheet risk
relative value strategies
short volatility exposure
strategy analysis
synthetic hedge funds
tactical asset allocation
Trading Advisor Selection System (TASS)
Hedge fund fees:
annuity of fees
brokerage fees
closet indexers
computation of
excessive conservatism
fee bias
fee netting
fraud
funds of funds
funds of funds value for
hurdle rate (
see also
Hurdle rate)
incentive fees (
see also
Incentive fees)
incentive fees and manager behavior
incentive fees and operational risks
incentive fees option view
indices of hedge funds reporting
lock-in effect
management fees (
see also
Management fees)
managing returns
multistrategy funds
perverse incentive
private equity and hedge funds
pure asset gatherers
redemption fee
synthetic hedge funds
through time
waterfall distribution
Hedge fund indices:
asset- vs. equally weighted returns
backfill bias
as benchmark
fee bias
fees
fund performance as marketing
hazard rate
hedge fund universe
instant history bias
investability
liquidation bias
participation bias
as proxy to asset class
representativeness
selection bias
strategy definitions
style drift
survivorship bias
Trading Advisor Selection System (TASS)
Hedge fund program
Hedge fund replication
Hedge Fund Research (HFR):
equity hedge funds
event-driven hedge funds
fund fees reported
fund mortality
hedge fund universe
industry asset control
as industry index and analyst
macro and managed futures
management fees reported
relative value hedge funds
single hedge funds vs. funds of funds
Hedge fund replication
Hedge fund strategies:
discretionary trading
fundamental analysis
macro vs. managed futures funds (
see also
Macro funds; Managed futures funds)
strategy analysis
systematic trading
technical analysis
Hedging:
asset-backed securities risks
basis
beta via short-bias fund
calendar spreads
carry trades
commodities
credit derivatives for
credit risk
currency via funds of funds
delta hedging
dynamic delta hedging
forward contracts and
futures contracts for
hedge ratios via sensitivities
natural hedgers
option sensitivities
perfect negative correlation
risk with option sensitivities
Hedonic price index
Herd behavior
Hermes
Hertz
Heterogeneous
Heteroskedasticity
HFR.
See
Hedge Fund Research
HFRI Equity Hedge Index
HFRI Event-Driven Index
HFRI Fund of Funds Composite Index
HFRI Fund Weighted Composite Index
HFRI Macro Index
HFRI Relative Value Fixed-Income Convertible Arbitrage Index
HFRI Relative Value Fixed-Income Corporate Index
HFRI Relative Value Index
HFRI Relative Value Volatility Index
High-frequency trading
High-water mark (HWM)
hedge fund fees via option view
incentive fees through time
manager behavior and fees
High-yield bonds:
amortization
arbitrage CDOs
collateralized debt obligations
coupon rate
equity kickers
hedge fund strategy similarities
liquidity
mezzanine debt versus
prepayment penalty
seniority of loan
High-yield debt:
junk bond buyouts
leveraged loan similarity
mezzanine financing versus
Historical returns:
backfill bias
backtesting
beta
beta estimation
data mining vs. dredging
data sources
empirical asset pricing models
ex ante alpha from
ex post as
formulas for book
historical activist hedge funds
historical commodities
historical conservative FoFs
historical convertible bond arbitrage
historical distressed debt funds
historical diversified FoFs
historical equity long/short funds
historical equity market-neutral funds
historical equity REITs
historical film production and distribution
historical fixed-income arbitrage
historical funds of funds
historical liquid alternatives
historical managed futures funds
historical mean computation
historical merger arbitrage
historical mortgage REITs
historical private equity
historical real assets
historical real estate investment trusts
historical short-bias funds
historical strategic FoFs
historical venture capital funds
historical volatility arbitrage
performance review
positive economic models
ratio-based performance measures
real assets
smoothing
Standard & Poor's Goldman Sachs Commodity Index
survivorship bias in land
VaR estimation from
VaR estimation volatility
Historical risks:
commodities
equity REITs
film production and distribution
future risk understatement
mortgage REITs
quantitative risk analysis
real assets
Homoskedasticity
Hong Kong Stock Exchange
Hong Kong taxation
Horizontal spreads.
See
Calendar spreads
House account
Hunter, Brian
Hurdle rate
annuity of fees
fund manager benchmarking
hard hurdle rate
hedge fund fee computation
incentive fees
incentive fees via option view
private equity and hedge funds
soft hurdle rate
waterfall distribution
Hybrid convertibles
Hybrid REITs
Hypotheses
erroneous conclusions from
problems using
samples (
see
Samples)
steps of
t
-tests
type I & II errors
Idiosyncratic prepayment factors
Idiosyncratic return
abnormal return persistence
alpha
as
estimating
ex post asset pricing
luck vs. skill
multifactor asset pricing models
multifactor return attribution
pairs trading
single-factor return attribution
speculation
Idiosyncratic risk
alpha estimation
asset-backed securities
asset pricing models
commodity-linked notes
correlation and diversification
diversification definition
equity long/short funds
event-driven strategies
ex post asset pricing
funds of funds
hedge fund returns
multifactor asset pricing models
single-factor regression model
single-factor return attribution
tail risk strategies
venture capital
Illegal insider trading
Illiquidity.
See also
Liquidity
alternative investments
business development companies
CAPM and
circuit breakers
closed-end funds for
ex ante asset pricing models
farmland
hedge fund replication
mutual fund constraints
non-normality source
profiting from
real assets
real estate
reduced-form models for
return characteristics
return correlations with liquid assets
risk premium
securitization
side pocket arrangement
timberland
venture capital
Implied volatility
convertible bonds
dispersion trade
volatility arbitrage
Incentive fee
Amaranth Advisors case
asymmetric incentive fees
as call options
carried interest (
see also
Carried interest)
clawbacks
compensation scheme
due diligence
funds of funds
gaming
hedge fund definition
hurdle rates
leveraged buyout firms
liquid alternatives vs. private placements
management fee as not
mezzanine funds
multistrategy funds
operational risks
private equity
real estate limited partnerships
realized gains only
symmetric per regulations
U.S. fund structure
venture capital funds
vesting
waterfall distribution
Incentive fee option value
Income approach
Income from investments
Income taxation.
See also
Taxation
Incomplete markets
Incurrence covenants
Independent active bets
Independent variables
Indexed CDs
Index products
Index rate
Indices:
AMEX Biotech Index
asset-weighted hedge fund indices
Bloomberg Commodity Index (BCOM)
CAIA Alternatives Index
capitalization-weighted indices
CBOE Volatility Index (VIX)
CDS indices
CDX index
closet indexers
commodities
credit indices
Credit Suisse Convertible Bond Arbitrage Index
Credit Suisse Global Macro Index
cumulative wealth (
see
Cumulative wealth index)
data sources
DAX Global Agribusiness Index
Dow Jones Industrial Average
Dow Jones U.S. Real Estate Index
equally weighted hedge fund indices
FTSE NAREIT Residential Index
FTSE NAREIT US Real Estate Index Series
fund performance as marketing
fund style index
hedge funds (
see
Hedge fund indices)
hedonic price index
HFR (
see
Hedge Fund Research)
HFRI Equity Hedge Index
HFRI Event-Driven Index
HFRI Fund of Funds Composite Index
HFRI Fund Weighted Composite Index
HFRI Macro Index
HFRI Relative Value Fixed-Income Convertible Arbitrage Index
HFRI Relative Value Fixed-Income Corporate Index
HFRI Relative Value Index
HFRI Relative Value Volatility Index
investability
iTraxx index
JPM Aggregate Global Bond Index
Mount Lucas Management Index
MSCI World Index (
see
MSCI World Index)
NASDAQ
NCREIF Property Index (NPI)
Nikkei index
NYSE Arca Gold Miners Index
passive indices
real estate, based on appraisals
real estate, based on market prices
real estate, based on private trades
Reuters/Jeffries Commodity Research Bureau (CRB) Index
Russell (
see
Russell 1000 Index; Russell 2000 Index)
S&P 500 (
see
S&P 500)
S&P 500 Equity Index
S&P Global Infrastructure Index
S&P Goldman Sachs Commodity Index
S&P Timber and Forestry Index
TASS (
see
Trading Advisor Selection System)
Thomson-Reuters In-the-Ground Global Agriculture Equity Index
Individual retirement accounts (IRAs)
Individual savings accounts (ISAs)
Indonesia and Asian contagion
Industry risk
Inefficiency
Inefficient markets
Inelastic supply
Inflation
commodities as diversifiers
commodity prices
fixed income securities
nominal prices
real estate as hedge
real prices
Inflation risk
fixed-rate mortgages
real assets against
Information.
See also
Transparency
background on investing
credit derivatives as source
event-driven funds
fund manager value added
funds of funds
as option essence
price revelation
price transparency
sector hedge funds
transparency risk
venture capital firms
Informationally efficient
Informationally inefficient term structure
Informational market efficiency
abnormal returns
alternative investments
asset pricing models
asynchronous trading
buyouts
CAPM vs. single-factor market model
distressed securities
equity hedge funds
factors driving
market anomalies
net stock issuance
normal backwardation and contango
roll yield
semistrong form
strong form
weak form
Information asymmetries
alternative vs. traditional investments
convertible bonds
crisis at maturity
fourth markets
Information coefficient
Information filtering
Information gathering
Information node
Information ratio
Infrastructure investments
alternative investment funds (AIFs)
brownfield projects
economic vs. social
evergreen funds
exit strategy
gates on funds
government influence
greenfield projects
identifying
portfolio management
as real assets
regulatory risk
risk and return
S&P Global Infrastructure Index
structures of investments
“toll road” for energy
traditional investments versus
vehicles for investment
Initial margin
Initial public offering (IPO):
Chipotle Mexican Grill
closed-end real estate mutual funds
definition
investment banks
leveraged buyouts
leveraged buyouts vs. venture capital
mezzanine finance as bridge
private equity firms
short selling and
venture capital
Innovative financial products, 18
In-sample data
Insider trading:
buying vs. selling
legal vs. illegal
market anomalies
regulation of
strong form informational market efficiency
trading windows
Instant history bias
Institutional-quality investment
Institutional structure
Insurance companies:
balance sheet CDOs
credit derivatives
equity-linked annuities
as market completers
MetLife
as mezzanine debt investors
monolines
structured product example
Intangible assets
as excludable goods
intellectual property as (
see also
Intellectual property)
as real assets
Intellectual property (IP)
activist investors
characteristics of
film production and distribution
financial analysis
as intangible asset
R&D patents
risks and returns
simplified model of
structures of investments
unbundling as stand-alone
visual works of art
as wasting assets
Intercept
Intercreditor agreement
Intercurve arbitrage positions
Interest:
convertible bond arbitrage
fixed-rate mortgages
rebates
simple interest
tax deductions as interest-free loans
Interest coverage ratio
Interest-only (IO) tranches
Interest rate cap
Interest rate hedging
Interest rate immunization
Interest rate risk:
convertible bond arbitrage
fixed-income arbitrage
fixed-rate mortgages
prepayment risk
residential mortgages
volatility arbitrage
Interest rates:
arbitrage-free pricing models
fixed-income value and
FX (
see
Foreign exchange rates)
immunization
internal rate of return as
power reverse dual-currency notes
securities relationships
Interim IRR
Interlocking boards
Internal credit enhancement
Internal funds of funds
Internal rate of return (IRR)
aggregation of IRRs
alternative investments
averaging
comparing investments
complex cash flow patterns
computing
daily price not available
dollar-weighted return
interim IRRs
interim valuations
lifetime IRRs
point-to-point IRRs
realized vs. expected cash flows
reinvestment rate assumption
scale differences
since-inception IRRs
start-up companies
venture capital funds
International Swaps and Derivatives Association (ISDA)
Interncontinental Exchange (ICE)
In-the-money options:
commodity prices
conversion premiums
equity-like convertibles
exercising
gamma
look-back options
natural resources development
Intracurve arbitrage positions
Intrinsic option value
Inverse floater tranche
Investability
Investable index
Investable infrastructure.
See also
Infrastructure investments
Investment activities
Investment advisers
Investment bank
Investment companies:
business development companies as
mutual fund regulation vs. hedge funds
open-end real estate mutual funds
taxation
Investment management governance process
Investment managers.
See
Fund managers
Investment mandate
Investment objective
Investment pools:
alpha-beta driver spectrum
hedge funds as
private
private equity funds as
publicly traded
regulation of advisers
Undertakings for Collective Investment in Transferable Securities (UCITS)
Investment process
Investment process risk
Investments
background information
comparing IRRs
efficient
usage
institutional quality
investment mandate
regulation of
return characteristics
structures of
Investments
(Bodie, Kane, & Marcus)
Investment strategy
Investors:
compensation scheme
due diligence
fund investor relations
risk-neutral investors
IP.
See
Intellectual property
IRAs (individual retirement accounts)
Ireland taxation
IRR.
See
Internal rate of return
ISA.
See
individual savings accounts
ISDA.
See
International Swaps and Derivatives Association
Islamic wrappers
Isle of Man taxation
Israel, Samuel III
Issuance of new stock
Italy
ITraxx index
IWM
Japan:
city banks
Financial Services Agency (FSA)
hedge fund regulations
keiretsu
Nikkei 225 index
taxation
Tokyo Stock Exchange
Japanese yen and Abenomics
Jarque-Bera test
J-curve
mezzanine debt
start-up companies
venture capital life stages
Jensen's alpha.
See also
Alpha
capital asset pricing model
performance measures
Joint back office account
Joint hypotheses test
Joint ventures
Jones, Alfred Winslow
Jones, Robert
JPM Aggregate Global Bond Index
JPMorgan Chase
Junk bonds
Keiretsu
(Japan)
Key personnel clause
Knight Capital Group case
Knock-in option
Knock-out options
Knowledge.
See
Information
Kohlberg Kravis Roberts & Co. (KKR)
Kurtosis
as central moment
degrees of
excess kurtosis (
see also
Excess kurtosis)
fat tails
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
managed futures vs. others
non-normality of returns
normally distributed variables
Kuwait in GCC
Lack of trends risk
Lambda
Land
as binomial option
blue top lots
as call option
definition
farmland
finished lots
land banking
mineral rights
as natural resource
as option
paper lots
as real asset
real estate versus
risk and return
split estates
structures of investments
surface rights
survivorship bias of historical returns
Land banking
Large-cap stock
Large dealer banks
Late-stage/expansion venture capital
Lauer, Michael
Law of one price
LBO.
See
Leveraged buyouts
League table
Least squares regression
Legal insider trading
Legal review of funds:
advisory committee
fees
investment structures
limited partnerships
lockups and redemptions
separate accounts
Legal risks
Lehman Brothers
Leptokurtosis
alternative investment returns
credit-risky investments
extreme event probabilities
outliers
VaR estimation
Level 1 assets
Level 2 assets
Level 3 assets
Leverage
alternative investment return analysis
assets under management
buyouts
leveraged
as call option
Carlyle Capital Corporation case
commodities as unleveraged
convertible bond arbitrage
equity market-neutral funds
Federal Reserve Board rules
funds of funds
gearing
hedge funds
Investment Company Act
investment process risk
Long-Term Capital Management
mutual fund restrictions
partially collateralized positions and
portfolio risk review
rebalancing as optionlike
relative value strategies
repurchase transactions
return on equity and
risk magnification
separately managed accounts vs. funds
shareholder-manager conflicts
structured product with leverage
traditional merger arbitrage
Leveraged buyout (LBO)
agency relationship
auction market environment
buy-and-build strategy
buyout-to-buyout deals
call option view
categories of
conglomerates
corporate governance
as distressed debt source
due diligence
efficiency buyouts
entrepreneurship stimulators
equity tranche
exit strategies
fees
financing tranches
leveraged fallouts
limited partners
as limited partnerships
management buy-ins
management buyouts as
mergers versus
mezzanine debt tranche
mezzanine financing
portfolios
as private equity
rates of return
risk vs. venture capital
senior debt tranche
stylized example of
target benefits
traditional investments versus
turnaround strategy
Leveraged fallouts
Leveraged loans
amortization
coupon rate
equity kickers
as fixed-income security
growth of
as junk bonds
liquidity
mezzanine debt versus
prepayment penalty
as private equity
seniority of loan
Life insurance contracts:
durations and mezzanine financing
taxation
as wrappers
Lifetime IRR
Limited liability
Limited liability companies
Limited liability shield
Limited partners (LPs):
carried interest
clawback clause
compensation scheme
hurdle rate
investment capital
leveraged buyouts
private equity funds
selling shares to third parties
venture capital funds
waterfall distribution
Limited partnerships:
compensation structures
fund structures
hedge funds as
legal review of funds
leveraged buyouts as
master limited partnerships
private equity firms as
private equity funds as
private equity real estate funds
private limited partnerships
subscription agreements
taxation
venture capital funds
waterfall distribution
Limit orders
Limits to arbitrage
Linear regression of returns
Linear risk exposure
Liquid alternatives
constraints on
correlation with equities
diversification with
fees
funds of funds versus
growth factors
historical returns
macro and managed futures
multialternatives
private placements versus
products
pure play on natural resources
real assets
regulation
REITs as
return enhancement
risk and return
structured products
UCITS framework
Liquidation bias
Liquidation of hedge funds.
See
Fund mortality
Liquidation process
Liquidity.
See also
Illiquidity
alternative investments (
see
Liquid alternatives)
anxious sellers
bid-ask spread
CDS indices
credit derivatives
equity hedge funds
exchange-traded vs. OTC derivatives
funds of funds
futures contracts vs. forward
hedge fund regulations
high-yield bonds
Investment Company Act, 601
large dealer banks
large positions and
leveraged loans
liquidity facility
Long-Term Capital Management
market impact and
market makers
mezzanine debt
open-ended real estate mutual funds
price movements
private equity limited partnerships
real estate investment trusts
return correlations with illiquid assets
short selling and
structuring heterogeneously
U.S. Treasury bills
Liquidity-based replication products
Liquidity crisis:
Carlyle Capital Corporation
closed-end funds
credit risk
fair market value and
Long-Term Capital Management
private equity secondary markets
Russian bond default
Liquidity facility
Liquidity premium
Liquidity risk
convertible bond arbitrage
convertible bonds
credit derivatives
equity hedge funds
fixed-income arbitrage
managed futures funds
venture capital
volatility arbitrage
Listing of a security
Ln() as natural logarithm function
Loan-to-value (LTV) ratio
commercial mortgage-backed securities
commercial mortgages
gearing
residential real estate
Lock-in effect
Lockup period
Lognormal distribution
Log returns
computation of
as normal distribution
return computation interval
return on fully collateralized position
returns reporting
Lognormal distribution
London Stock Exchange
Long binary call option
Long binary put option
Longitudinal data sets
Long/short funds.
See
Equity long/short funds
Long-Term Capital Management (LTCM):
case study
event disaster
leverage
Look-back option
breakout strategies
structured products
Loss given default
Lower attachment point
Low-hanging-fruit principle
LTV ratio.
See
Loan-to-value (LTV) ratio
Lumpiness
Lumpy assets
Luxembourg taxation
M
2
alpha
M
2
(M-squared) approach
Maastricht Treaty
Macro funds
capacity
conditional correlation
correlation to other funds
counterparty risk
discretionary vs. systematic trading
downside risk
examples of
financial crisis
fundamental vs. technical analysis
as hedge fund strategy
liquid alternative products
managed futures funds versus
managed futures versus
portfolio effects
returns of
risks of
thematic investing
Madoff, Bernie
Madoff, Mark
Maintenance covenants
Maintenance margin requirement
Malaysia and Asian contagion
Managed account
cash flow commingling
commodity trading advisers
funds of funds into
Managed futures
active management
alpha
capacity
commodity hedging
commodity pools
conditional correlation
counterparty risk
CTAs (
see also
Commodity trading advisers)
downside risk
financial crisis
futures contracts
historical returns
history of
indices of hedge funds
Investment Company Act
liquid alternative products
macro funds versus
managed accounts
National Futures Association
portfolio effects
as private investment pools
regulation
relative value strategies
risks of
skill-based
systematic vs. discretionary trading (
see also
Systematic trading)
technical analysis
technical vs. fundamental analysis
volatility exposure
Managed returns
Management buy-ins (MBIs)
Management buyout (MBOs)
agency issues
buy-in management buyout
as leveraged buyouts
mezzanine financing
Management company operating agreements
Management fees
compensation scheme
funds of funds
leveraged buyout firms
mezzanine funds
not incentives
private equity
profit calculation
real estate limited partnerships
venture capital funds
Managerial coinvesting
Managing returns
Maounis, Nicholas
Marginal market participant
Margin call
Carlyle Capital Corporation
Long-Term Capital Management
marking-to-market
Margin rate
Margins:
hedge fund requirements
initial margin
maintenance margins
margin call
margin requirements
Regulation T margin rule
Marino, Daniel
Marked-to-market
Market anomalies
accounting accruals
arbitrage limits
earnings momentum
equity hedge funds
implementing strategies
insider trading
net stock issuance
persistence of
price momentum
Market-based economy
Market completeness
Market-defensive funds of funds
Market efficiency:
backwardation and contango
efficiency definition
efficient market theory
informational market efficiency
joint hypotheses test
“random walk”
Market equilibrium
Market impact
equity hedge funds
low liquidity and
market-neutral strategies
Market index funds
Marketing:
alternative investment vehicles
attorney guidance
fund performance as
regulation of hedge funds
Market-linked CDs
Market makers
Market making
Market manipulation
fraud by Lancer Group
performance review
Market microstructure
Market neutrality:
market-neutral funds
as mean neutrality
unwind hypothesis
Market orders
Market participants
Market portfolio
capital asset pricing model
Fama-French model
multifactor asset pricing models
perfect diversification
single-factor regression model
Market return
Market risk
equity market-neutral funds
independence from
macro funds
risk analysis
tail risk strategies
variance neutrality
volatility arbitrage
Market risk in the investment process
Market takers
Market timing:
beta nonstationarity
equity long/short funds
nonlinear risk exposures
timberland
Market value CDO
Market Vectors Agribusiness ETF
Market Vectors Gold Miners ETF
Market weight
capital asset pricing model
commodity underrepresentation
perfect diversification
Markets in Financial Instruments Directive (MiFID)
Marking-to-market
counterparty risk
credit default swaps
crisis at maturity
exchange-traded vs. OTC derivatives
mechanics of
performance review
price transparency
time value of money and prices
time value of money and risk
Marking-to-model
Markopolos, Harry
Markowitz portfolio theory
Mark-to-market adjustment
Massaging returns
Master-feeder structure
Master limited partnerships (MLPs)
as buy side participants
distribution rates
limited partnership units
liquid alternative real assets
Natural Resource Partners as
structure of
taxation
valuation
Master trust
Mathematics required
Mauritius taxation
Maximum drawdown
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
managed futures vs. others
risk measures
Maximum subscription amount
McDonald's
McGuire, William
Mean
central vs. raw moments
deviations
as first raw moment
historical mean computation
normally distributed returns
perfect positive correlation
Mean absolute deviation
Mean neutrality
Mean-reverting
Merchant banking
Merger:
activist investors
antitrust review
buyouts versus
decline in crises
distressed debt market
event-driven strategies
leveraged buyouts versus
share vs. cash deals
Merger arbitrage
assets under management
bidding wars
binary options
as event-driven
event risk
financing risk
hedge fund strategies
historical returns
MSCI World Index versus
nonlinear risk exposures
off-balance-sheet risk
regulatory risk
risk avoidance
risk premium
selling insurance
stock-for-stock mergers
style drift
traditional merger arbitrage
Merrill Lynch
Merton, Robert
Mesokurtosis
MetLife
Mezzanine debt
acceleration of
amortization
assignment of
blanket subordination
board representation
characteristics of
collateral
corporate governance
coupon rate
coupons
covenants
distressed debt versus
EBITDA multiple
equity kickers
as equity vs. lien
exit strategies
high-yield bonds versus
intercreditor agreement
investing by insurance companies
investing by mezzanine funds
J-curve effect
leveraged buyouts
leveraged loans versus
liquidity
mezzanine financing definition
mezzanine financing examples
middle market
prepayment penalty
as private equity
returns sought
seniority of loan
springing subordination
story credit
structures of
stylized example of
takeout provision
as venture capital bridge
venture capital funds
Mezzanine funds
Mezzanine tranche
Mezzanine venture capital
MFCs (most favored clients)
Micro-cap stocks
Microsoft
Mid-cap stock
Middle market
Middle office operations
Midstream operations
Milestone
Milken, Michael
Mineral rights
Minimum investment:
due diligence
funds of funds
hedge fund program evaluation
liquid alternatives
public commodity pools
single hedge funds
MLP.
See
Master limited partnerships
Modeling:
asset pricing (
see
Asset pricing models)
CAPM (
see
Capital asset pricing model)
conditional correlation
data sets
factor modeling anomalies
Fama-French (
see
Fama-French model)
Fama-French-Carhart (
see
Fama-French-Carhart model)
model risk
multiple-factor scoring models
option pricing
Model manipulation
Model misspecification
Model risk
Modified duration
Modified IRR approach
Moments of return distributions:
central moments
central vs. raw
definition
non-normality of alternatives
normality tests
raw moments
Momentum
alpha of momentum strategies
earnings
Fama-French-Carhart model
in factor models
market anomalies
price momentum
small-cap stocks
trend-following strategies
Money laundering regulation
Moneyness
convertible bonds
in- vs. at- vs. out-of-the-money
natural resources
time horizon and
Monolines
Monopolistic power:
infrastructure investments
pricing power
stable cash flows
Monte Carlo analysis
structured product pricing
VaR estimation
Moody's Investors Service
Moral hazard
Mortgage
amortization
balloon payments
commercial (
see also
Commercial mortgages)
conditional prepayment rate
covenants
debt service coverage ratio
default as prepayment
default risk
defaults on
fixed-rate
index rate
interest coverage ratio
interest-only
interest rate cap
interest rate risk
loan-to-value ratio
margin rate
mortgage-backed securities (
see also
Mortgage-backed securities)
mortgage REITs
negative amortization
prepayment option
recourse
residential (
see also
Residential mortgages)
residential vs. commercial
securitization
seniority of loan
structures of investments
unscheduled principal payments
variable-rate
Mortgage-backed securities (MBS)
CMOs (
see also
Collateralized mortgage obligations)
commercial (
see also
Commercial mortgage-backed securities)
conditional prepayment rate
counterparty risk
effective duration
option-adjusted spread
pass-through MBS
prepayment options
prepayment risk
risks
RMBS (
see also
Residential mortgage-backed securities)
subprime mortgages
volatility arbitrage
Mortgage-backed securities arbitrage
Mortgage REITs
Most favored clients (MFCs)
Mount Lucas Management Index
Moving average
exponential
illustration of
sideways market
simple moving averages
trend-following strategies
weighted
whipsawing
MSCI World Index:
as benchmark
correlations across funds
financial crisis
managed futures versus
merger arbitrage fund returns versus
Multialternative funds
Multicollinearity
Multifactor model
asset classes
challenges of
ex ante alpha
factor selection
Fama-French model as
hedge fund replication
hedge fund returns
marketwide factors
regression and
return attribution
single-factor versus
strategy analysis
style analysis
Multiname instruments
Multiperiod analysis
Multiple-factor scoring models
Multiple regression model
Multiple sign change pattern
Multiple-use options
Multistrategy fund
Amaranth Advisors case
event-driven multistrategy
fees vs. funds of funds
manager selection
operational risks
performance vs. funds of funds
relative value multistrategy
Mutual funds:
hedge funds versus
relative return products
wrappers around regulations
Mutual funds (40 Act funds)
asset classes
as buy side participants
closed-end
closed-end real estate mutual funds
distributions
hedge funds versus
liquid alternative constraints
as liquid alternative products
marketwide factors on returns
momentum
open-end real estate mutual funds
performance persistence
strategy analysis
style analysis
taxation
as traditional investments
Naked option
NASDAQ
NASDAQ Intermarket
National Council of Real Estate Investment Fiduciaries (NCREIF)
National Futures Association (NFA)
Nationally recognized statistical rating organizations (NRSRO)
National Securities Clearing Corporation
National security regulatory risk
Natural gas:
alpha and term structure
Amaranth Advisors case
normal backwardation
storage as business
Natural hedger
Natural logarithm function
Natural Resource Partners
Natural resources
commodities versus
commodity and equity price correlation
developing
economic roles
as exchange options
farmland (
see
Farmland)
land as (
see also
Land)
low-hanging fruit principle
moneyness
multiple sign change cash flow
pure plays on
as real assets
structures of investments
timberland (
see
Timberland)
NAV.
See
Net asset value
NCREIF Property Index (NPI)
Nearby contract
Negative amortization
Negative conditional correlation
Negative costs
Negative covenants
Negative survivorship bias
Net asset value (NAV):
annuity of fees
business development companies
formula for book
hedge fund incentive fees
hedge fund management fees
high-water mark
incentive fees via option view
Net delta
Netherlands taxation
Net income and accounting accruals
Net lease
Net operating income (NOI)
Net present value (NPV):
informational market efficiency
internal rate of return computation
IRR comparison
Net sale proceeds (NSP)
Net stock issuance
New investment model
New York Mercantile Exchange (NYMEX)
New York Stock Exchange (NYSE):
Knight Capital Group case
as primary listing market
structured products
New Zealand taxation
Nikkei index
1940 Act.
See
Mutual funds; U.S. Investment Company Act
No arbitrage.
See
Arbitrage-free pricing models
Nominal price
Nomura Securities
Nonactive bets
Nonlinear exposure
Nonlinearity:
conditional correlation
non-normality source
Non-normality of returns:
alternative vs. traditional investments
CAPM and alternatives
cross-sectional search for alpha
Sharpe ratio
structures that cause
Nonstationarity
Nonsystematic risk.
See
Idiosyncratic risks
Nontraditional bond funds
Non-trend following strategies
Normal backwardation
Normal contango
Normal distribution
alternative investments
determining
excess kurtosis of zero
Jarque-Bera test for
lognormal distribution
log returns as
managed futures
mean absolute vs. standard deviation
as mean vs. variance
mesokurtic distributions
non-normality sources (
see also
Non-normality of returns)
probability distribution as
Sharpe ratio
skewness of zero
standard deviation
statistical analysis
traditional investments
value at risk estimation
variables
Normative model
North American forest public ownership
Not-for-profit corporation MLP taxation
Notional principal
calendar spreads
CDS notional amount
return on
vega notional value
Novation
N-sigma event
Null hypothesis
Numerical methods
NYSE Arca Gold Miners Index
Oceania forest public ownership
Off-balance-sheet financing
Off-balance-sheet risk
Offering documents
Offshore finances:
fund organization
margin requirements
tax regulations
Oil industry.
See
Energy sector
Oman GCC
Omega
Omega-score
Omicron
One-off transaction
Open-end real estate mutual funds
Open interest
Operating expenses
Operational activities
Operational due diligence
Operational errors
Operational fraud
Operationally focused real assets
Operationally intensive real assets:
commodity producers
downstream operations
intellectual property (
see also
Intellectual property)
investable infrastructure (
see also
Infrastructure investments)
liquid alternatives
midstream operations
upstream operations
Operational risk
agency conflicts
asset segregation
business risk
controlling (
see also
Due diligence)
culture of fund
fund failures
funds of funds
gaming
incentives increasing
internal control procedures
multistrategy funds
omega-score
operational defaults
operational errors
operational fraud
position limits
prevention
risk analysis
risk limits
rogue traders
valuation procedures
Opportunistic (investing)
Opportunistic real estate
Opportunity cost
Optimal contracting
Optimizers
Option:
active options
American credit options
American options
Asian options
barrier options
binary options
binomial options
call (
see
Call options)
calls and puts same
collars
collateralized debt obligation tranches
combinations
compound options
credit options
credit risk option theory
definition
elasticity
equity kickers
European credit options
European options
event-driven hedge funds
exchange options
exotic
exotic vs. simple
expiration date
exposures
floor features
incentive fees option view
intrinsic option value
knock-in options
knock-out options
land as
look-back option mimicry
look-back options
multifactor return analysis
multiple-use options
naked options
path-dependent options
perpetual options
on a portfolio
pricing models
put (
see
Put options)
put-call parity
quanto options
real options
risk exposure diagrams
risk reversal
sensitivities
simple vs. exotic
smoothing via
straddles
strangles
time value of
underlying asset positions
VaR estimation
vega
as volatility bets
Option adjustable-rate mortgage (option ARM)
Option-adjusted spread (OAS)
Option collar
Option combination
Option pricing models:
binomial option pricing
Black forward option
Black-Scholes call and put
currency option pricing
option on portfolio
Option spread
Option straddle
Option strangle
Option view of incentive fees
Order exposure
Ordinary least squares regression
Original debt seniority
OTC (over-the-counter):
derivatives
forward contracts as
market as third market
Outlier
alpha search
behavior prediction
commodities
correlation estimation
linear regression
ranking and
Out-of-sample data
Out-of-the-money options:
conversion premiums
distressed debt
gamma
natural resources development
portfolio insurance
private equity investments as
shorting volatility
venture capital projects
volatility arbitrage
Outside service providers:
accountants and auditors
attorneys
consultants
depositories and custodians
due diligence
fund administrators
hedge fund regulations
prime brokers
Outsourced chief investment officers (OCIO)
Overcollateralization
Overconfidence bias
Overfitting
Overreacting.
See also
Underreacting
Overcollateralization
Over-the-counter.
See
OTC
Ownership.
See also
Agency relationships
assets
bankruptcy process
business development companies
buyout agency relationships
cash-funded CDOs
C corporations
collateralized debt obligation collateral
corporations
excludable goods
Form 13D
fund management
infrastructure investments
intellectual property
investment companies
limited partnerships
master limited partnerships
owner-manager relationships
private equity
privatization
securities structures
stock buybacks
vesting
p
-value
Painting the tape
Pairs trading
Panel data sets
Paper lots
Parallel shift
Parametric VaR
Partial differential equation approach (PDE approach)
Partially collateralized position
collateral yield
leverage and
Participation bias
Participation rate
Partnership agreement
Passive beta driver
Passive exposure in commodities
Passive investing
distressed debt investors
passively managed portfolios
real estate investment trusts
Passively managed portfolio
Pass-through MBS
Patents
Path-dependent option–769
Pattern recognition system
Paulson, John
Payoff diagram level
Payoff diagram shape
Pearson correlation coefficient:
autocorrelation equation
extreme values
information coefficient
statistical analysis
Peer group
Pension plans
Perfectly elastic supply
Perfect linear negative correlation
Perfect linear positive correlation
Performance attribution.
See also
Return attribution
Performance benchmarking.
See
Benchmarking
Performance-based fee.
See also
Carried interest; Incentive fee
Performance measures:
average tracking error
information ratio
Jensen's alpha
M
2
approach
return on VaR
Sharpe ratio (
see also
Sharpe ratio)
Sortino ratio (
see also
Sortino ratio)
Treynor ratio
types of
Performance persistence
Performance review:
benchmarking (
see also
Benchmarking)
confirmation bias
drawdown
list of funds/assets under management
portfolio pricing
selection bias
statistical return analysis horizon
statistical return data
trade allocation
volatility in AUM
Permitted investment strategies
Perpetual option
Perverse incentive
Physical commodities:
arbitrage-free forward pricing
carrying costs
convenience yield
exchange-traded funds
inflation
investing in
returns via futures
Physical settlement
PIK (payment in kind) toggle
PIPEs (private investments in public equity)
Planned amortization class (PAC) tranches
Plan of reorganization
Plan sponsor
Platforms
Platykurtosis
Point-to-point IRR
Poland taxation
Political risk
Ponzi-like valuation theory
Ponzi scheme
Popper, Karl
Population (demographics):
farmland and
infrastructure and
Japan and Abenomics
Population (statistical analysis):
ranks for correlation
type I errors
unrepresentative data sets
Portable alpha
applying
challenges
derivatives and systematic risk
numerical illustrations
Portfolio insurance
Portfolio management:
active management
alpha drivers
alternative vs. traditional investments
asset allocation new model
asset allocation traditionally
beta
beta drivers
covariance
diversification and correlation
diversity score
efficient portfolios
fund administrators
hedge fund inclusion
hedge fund return variation factors
hedge funds (
see
Hedge fund asset allocation)
identifying funds for
infrastructure investments
internal control procedures
investability
managed futures
mean and variance only
passively managed portfolios
portfolio risk review
position limits
real estate
real estate investment trusts
return diversifier
return drivers
return enhancer
risk limits
Sharpe ratio
side pocket arrangement
tactical asset allocation
Treynor ratio
valuation separate from
Portfolio risk
Portugal sovereign bonds
Position limit
Positive conditional correlation
Positive covenants
Positive model
Post-earnings-announcement drift
Potential default risk
Potential gross income
Power reverse dual-currency note
Preferred return.
See also
Hurdle rate
Preferred stock seniority
Prepackaged bankruptcy filing
Prepayment option
commercial mortgages
conditional prepayment rate
consumer loans
default as
option-adjusted spread
PSA benchmark
residential mortgages
Prepayment penalty
Prepayment risk:
asset-backed securities
collaterialized mortgage obligations
commercial mortgages
fixed-income arbitrage
planned amortization class tranches
principal- and interest-only tranches
residential mortgages
targeted amortization class
Present value of growth opportunities (PVGO)
Pre-tax discounting approach
Price momentum
Price movements:
circuit breakers
equity risk premium
Flash Crash
managed futures alpha
market impact
net stock issuance
post-earnings-announcement drift
price momentum
price reversals
spoofing
trending vs. reverting
Price revelation
Price-to-earnings (P/E) ratio
Price transparency
Pricing models.
See
Asset pricing models
Pricing risk
Primary capital markets.
See
Primary markets
Primary listing markets
Primary market
large dealer banks
regulation of securities issued
Prime broker
due diligence
hedge funds as MFCs
large dealer banks
LTCM margin call
manager list of assets
as outside service providers
Principal-agent relationship
Principal components analysis
Principal-only (PO) tranches
Principal protected absolute return barrier note
Principal-protected structured products
Private commodity pools
Private equity
as alternative investment
asset management companies
background
business development companies
buyouts as (
see also
Buyouts)
buyouts vs. venture capital
buyout-to-buyout deals
call option view
club deals
definition per CAIA
distressed debt as
diversification
due diligence
fees
funds of funds as
hedge funds and
historical returns
illiquidity of
informational market efficiency
infrastructure investments versus
IRR for returns
leveraged buyouts as (
see also
Leveraged buyouts)
leveraged loans as
limited partnerships
liquid alternatives
merchant banking as
mezzanine debt as
non-normality of
as out-of-the-money options
portfolio companies
primary market use
private equity firms
private equity funds
private equity investments
for funds
private equity investments
for stock
private equity real estate funds
private equity securities
private investments in public equity (PIPE)
return analysis
return characteristics
return persistence
smoothing
structures of investments
terminology
traditional equity versus
trends and innovations
underlying business enterprises
underlying investment
venture capital as (
see also
Venture capital)
venture capital vs. buyouts
vintage year
Private equity firms
Private equity funds
as alternative investment funds (AIFs)
clawbacks
contractually set lifetimes, 656
as limited partnerships
mezzanine funds versus
portfolios
as private investment pools
secondary buyouts
venture capital funds as
waterfall distribution
Private equity real estate funds
Private investment pools
Private investments in public equity (PIPE)
Private limited partnerships
Privately placed common stock
Private-placement memoranda
Private placements
Private wealth
Privatization
Probability distributions
Probability of default
Process drivers
Process risk.
See
Investment process risk
Product innovators
Production-weighted index
Profit
Profit and loss (P&L) statements
Profit approach
Progressive taxation
Proprietary trading
brokerage firms
hedge funds
large dealer banks
Protective put
Protective put strategy
Providing liquidity
Proviso
Proxy battle
Prudent person standard
Prudential Regulatory Authority
PSA benchmark
Public commodity pools
Public equity returns
Publicly traded investment pools
Public-private partnership (PPP)
Public Securities Association (PSA)
Pure arbitrage
arbitrage-free models
definition
Pure asset gatherer
Pure play
Put-call parity
arbitrage-free model
as European options, 153, 812
graph of
option sensitivities and
protective put
Put options:
Black-Scholes put option formula
calls same as
collars
down-and-out put
event-driven hedge funds
nonlinear risk exposures
option combinations
option pricing models
option sensitivities
option spreads
option straddles
option strangles
prepayment option of mortgages
protective
put-call parity
ratio spreads
real estate development
risk exposure
risk reversal
Put option view of capital structure
PVGO valuation theory
Qatar in GCC
Quadratic approach to dynamic exposure
Quantitative equity investors:
beta neutrality
equity long/short funds
long/short meltdown
risks
tail event cases lesson
Quantitative foundations:
aggregation
arithmetic mean log return
ex ante vs. ex post returns
geometic mean log return
internal rate of return
IRR and complex cash flows
IRR and reinvestment rate assumption
IRR comparison
log returns
mathematics required
notional principal
return computation interval
returns as log returns
returns on zero value positions
time- vs. dollar-weighted returns
waterfall distribution
Quantitative Investment Analysis
(DeFusco, McLeavey, Pinto, & Runkle)
Quant Meltdown
Quanto option
Quantum Fund
Rampart Investment Management
Ramp-up period
Random variables
Random walk
Rate of return:
computations as log returns
diversification and
risk measures
Rating agencies:
AAA-rated mortgage bonds
CDO credit rating
copula model
distressed debt rating
leveraged loans
nationally recognized statistical rating organizations
Ratio spreads
Raw moments
Real assets
as alternative investments
appraisals for valuation (
see also
Appraisals)
carrying costs
commodities as (
see also
Commodities)
financial assets versus
historical returns
illiquidity
inflation risk
infrastructure investments as (
see also
Infrastructure investments)
intangible assets as
intellectual property as (
see also
Intellectual property)
land as (
see also
Land)
liquid alternatives
managerial attention
market returns vs. smoothed
natural resources as (
see also
Natural resources)
operationally focused
real estate as (
see also
Real estate)
real options
smoothing of valuation (
see
Smoothing)
structures of investments
valuation via appraisal (
see also
Appraisals)
volatility
Real estate
advantages of
borrowing type cash flow pattern
CMBS (
see also
Commercial mortgage-backed securities)
commerical mortgages (
see also
Commercial mortgages)
core real estate
covariance with market index fund
depreciation
depreciation tax shield
disadvantages of
discount rate
Dow Jones U.S. Real Estate Index
equity investments (
see
Real estate equity investments)
farmland versus
fundamental analysis of property
illiquidity
infrastructure investments versus
land versus
loan-to-value ratio
mezzanine financing
mortgage-backed securities (
see also
Mortgage-backed securities)
net operating income
net sale proceeds
non-normality of
opportunistic real estate
as real asset
REITs (
see also
Real estate investment trusts)
REITs versus
residential mortgages (
see also
Residential mortgages)
RMBS (
see also
Residential mortgage-backed securities)
stale pricing
structures of investments
styles of investing
taxation
taxation and depreciation
value-added real estate
Real estate development projects
Real estate equity investments:
closed-end real estate mutual funds
commingled real estate funds
decision trees
derivative products
development analysis
development as real options
Dow Jones U.S. Real Estate Index
equity REITs
exchange-traded funds
FTSE NAREIT US Real Estate Index Series
gearing
hedonic price index
indices based on appraisals
indices based on market prices
indices based on private trades
joint ventures
limited partnerships for
NCREIF Property Index (NPI)
open-end real estate mutual funds
private equity real estate funds
as residual claims
risks and returns
stale pricing
syndications
valuation
valuation for real estate indices
valuation via comparable sale approach
valuation via income approach
valuation via profit approach
Real estate funds
Real estate investment trust (REIT)
characteristics of
correlation with equity markets
distributions
equity REITs
FTSE NAREIT Residential
FTSE NAREIT US Real Estate Index Series
historical returns
hybrid REITs
indices based on market prices
liquid alternative product
mortgage REITs
price risk
real estate versus
return analysis
return characteristics
single-factor asset pricing model
taxation
timberland
Real estate joint ventures
Real estate valuation
via comparable sale approach
via income approach
via profit approach
Realized cash flows
Realized volatility
Real option
Real price
Rebalancing as optionlike
Rebate
convertible arbitrage short selling
convertible bond arbitrage
short selling
Recapitalizations
Recourse
Recovery rate
Recovery value
Redemption fee
Reduced-form credit models
credit risk
credit spreads
critique of
expected loss
hazard rate as default rate
intuition of
risk-neutral modeling approach
structural models versus
Referenced asset
Reference portfolio
Reference review (due diligence)
Refinancing burnout
Registered common stock
Registration:
commodity pool operator
commodity trading advisers
due diligence
funds of funds
hedge funds
hedge funds as broker-dealers
investment advisers
mutual funds
private commodity pools
private equity limited partnerships
public commodity pools
restricted shares
structured products
Regression
autocorrelation
conditional correlation versus
dependent variables
goodness of fit
heterskedasticity
homoskedastic variance
independent variables
linear (
see also
Linear regression)
multicollinearity
multifactor regression
nonlinear risk exposures
ordinary least squares
outliers
regression definition
residuals
rolling window analysis
separate regression approach
simple linear regression
single-factor asset pricing models
stepwise regression
t
-test on parameters
weighted least squares
Regulation:
business development companies
credit derivatives
electronic vs. physical exchanges
energy trading
Enron loophole
fraud
funds of funds
hedge funds
infrastructure investments
insider trading
liquid alternatives
managed futures funds
master limited partnerships
mutual funds
private commodity pools
SEC market access rule (
see also
Securities and Exchange Commission)
short selling
Regulation T margin rule
Regulatory capital:
cash-funded CDOs
divestiture of distressed debt
Regulatory risk
convertible bonds
equity hedge funds
infrastructure investments
managed futures funds
merger arbitrage
national security
Regulatory structure
hedge funds
as investment structure
Reinsurers
Reinvestment rate assumption
REIT.
See
Real estate investment trusts
Relative pricing model
Relative return product
Relative return standard
Relative strength index (RSI)
Relative value strategies
classic relative value strategy
convertible bonds (
see also
Convertible bond arbitrage)
fixed-income arbitrage (
see also
Fixed-income arbitrage)
as hedge fund strategy
liquid alternative products
Long-Term Capital Management
managed futures funds
relative value multistrategy (RVMS) funds
volatility arbitrage (
see also
Volatility arbitrage)
Rental income
Reorganization process
Replication:
convertible bond arbitrage
hedge fund replication
liquidity-based replication products
skill-based replication products
SPDR XLF
SPDR XME
structured product replication
Reporting.
See also
Documentation
capital account statements
hedge fund regulations
profit and loss statements
returns smoothing
returns via discrete compounding
returns via log returns
Representativeness
Repurchase (repo) transactions
Research and development patents
Reserve account
Residential mortgage-backed securities (RMBS)
conditional prepayment rate
prepayment options
prepayment rates
prepayment risk
pricing
Residential mortgage loans
amortization
balloon payments
as callable bonds
commercial versus
conditional prepayment rate
covenants
default risk
defaults on
fixed-rate
index rate
interest-only
interest rate cap
interest rate risk
loan-to-value ratio
margin rate
mortgage definition
negative amortization
prepayment option
RMBS (
see also
Residential mortgage-backed securities)
unscheduled principal payments
variable-rate
Residuals
Resources on investing
Restitution
Restricted shares
Retail brokers
Retirement assets
Return analysis.
See
Asset pricing models
Return attribution
alpha-beta commingling
alpha numerical example
benchmarking (
see
Benchmarking)
beta nonstationarity
empirical multifactor model challenges
luck vs. skill
multifactor asset pricing models
multifactor benchmarking
single-factor asset pricing models
single-factor benchmarking
single-factor regression model
Return computation interval
Return distributions:
autocorrelation
autocorrelation shaping
beta
correlation coefficient (
see also
Correlation coefficient)
covariance (
see also
Covariance)
ex ante
ex ante vs. ex post returns
ex post
hedge funds vs. mutual funds
Jarque-Bera test for normality
lognormal distribution
moments of
normal distribution
normal distribution determination
smoothing
standard deviation of normal distribution
standard deviation properties
testing for normality
variance properties
Return diversifier
Return driver
Return enhancer
Return of capital
Return on assets (ROA)
Return on equity (ROE)
Return on notional principal
Return on VaR (RoVaR)
Return persistence
Returns:
abnormal returns estimation (
see also
Abnormal returns)
absolute
active return
asset pricing models (
see
Asset pricing models)
attribution of (
see
Return attribution)
benchmark return
bond returns
computations as log returns
computations on notional principal
computations on rate
diversification
ex ante vs. ex post
hedge fund return variation factors
hurdle rate
illiquidity
inefficiency
internal rate of return computation
internal rate of return problems
as investment characteristics
larger vs. smaller funds of funds
log return computation
managed (
see
Managed returns)
normal distribution (
see also
Return distributions)
as random variables
relative
return computation interval
return diversifier
return drivers
return enhancer
size factor
stock returns
time- vs. dollar-weighted
traditional vs. alternative investments
variance of return (
see also
Variance)
zero value positions
Reuters/Jeffries Commodity Research Bureau (CRB) Index
Reverse trading
Revolving period
Rho
Riding the yield curve
Risk analysis:
actual vs. stated investment strategies
herd trading
investment process
investment process risk
market risk
operational risk
operational risk controlled
quantitative as historical
style drift
synergistic risk effects
transparency
Risk exposures:
calendar spreads
convertible bond arbitrage
dynamic models
hedge fund strategies
leverage magnifying
macro funds
marking-to-market
multifactor asset pricing
nonlinear exposures
risk exposure diagrams
Riskless portfolio
Risk limits
Risk management:
active risk
chief risk officer
credit default swaps
credit derivatives
diversification
futures contracts for
hedge fund regulations
hedging with option sensitivities
imperfect correlation
middle office of brokerage firm
non-normally distributed returns
option sensitivities
portfolio risk review
pure arbitrage
structured products for
systemic risk
variance in risk formulas
Risk measures:
conditional value at risk
drawdown (
see also
Drawdown)
ex post CAPM
historical data estimations
risk limits
semistandard deviation (
see also
Semistandard deviation)
semivariance
shortfall risk
target semistandard deviation
target semivariance
tracking error
value at risk (VAR) (
see also
Value at risk)
volatility (
see also
Volatility)
Risk-neutral approach
Risk-neutral investor
Risk-neutral probability
Risk of the underlying collateral
Risk premium approach
Risk premiums:
capital asset pricing model
definition
equity risk premium
equity risk premium puzzle
illiquid assets
merger arbitrage
venture capital
Risk reversal
Risk shifting
RJR Nabisco
Robustness
Rogue trader
Rolling contracts
alpha
benchmarking
long-term exposures
roll yield
Rolling down (the yield curve)
Rolling window analysis
Roll return
. See also
Roll yield
Roll yield.
futures return component
rolling contracts
slope of forward curve
spot and forward prices
Rotation
Roth IRA tax-free wrappers
r
-squared
as goodness of fit
multifactor regression
style analysis
Russell 1000 Index:
as cap-weighted equity index
commodities market weight
median weight of
survivorship bias
Russell 2000 Index
Russia bond default
Safe harbor
Samples:
bias
outliers and small samples
out-of-sample data
representativeness
sample size and type I/II errors
selection bias
self-selection bias
survivorship bias
unrepresentative data sets
Saudi Arabia in GCC
Scale differences
Scatter plots:
autocorrelation detection
commodities
distressed debt funds
equity hedge funds
equity long/short funds
equity market-neutral funds
equity REITs
event-driven hedge funds
formulas for book
funds of funds
macro funds
managed futures funds
merger arbitrage funds
multistrategy funds
private equity
real assets
real estate equity investments
real estate investment trusts
relative value funds
simple linear regression
Schedule K-1
SEC.
See
Securities and Exchange Commission
Secondary buyout
Secondary issues
Secondary market
commercial mortgages
infrastructure exit strategy
private equity partnership
Second lien
Second mortgage seniority
Second-stage/expansion venture capital
Secrecy.
See
Transparency
Section 1256 contracts
Sector hedge funds
Securities and Exchange Commission (SEC):
activist hedge funds
attorney advice
fraud by Bernie Madoff
informational market efficiency
investment adviser registration
market-access rule
mutual fund reporting
registration with
transaction tax
UnitedHealth Group
Securities structure
Securitization
Seed capital stage
Seeding funds
Segmentation
Selection bias
funds of funds
hedge fund indices
performance review
Selective appraisals
Self-selection bias
Selling insurance
Sell-side
Semideviation.
See
Semistandard deviation
Semistandard deviation
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical volatility arbitrage
macro funds-
risk measure
target semistandard deviation
Semistrong form informational market efficiency
Semivariance
historical private equity
historical venture capital
risk measure
target semivariance
Seniority of loan:
bankruptcy process
capital structure arbitrage
commercial mortgages
fulcrum securities
high-yield bonds
intercreditor agreement
leveraged loans
mezzanine debt
Senior tranche
Sensitivities of option prices
Separate regression approach
Separately managed accounts (SMAs)
Separating alpha and beta
Sequential-pay collateralized mortgage obligation
Serial correlation
Settlement dates
Settlement period
Share buyback program.
See also
Stock buybacks
Shareholder activism
agenda of corporate governance
agenda of dividends
dimensions of
free riders
proxy battles
strategies of
Shareholders:
activist Form 13D
agency relationships
corporate governance
passive Form 13G
proxy battles
shareholder activism (
see also
Shareholder activism)
spin-offs
votes
wealth maximization
Shari’a compliance via Islamic wrappers
Sharpe ratio
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
larger vs. smaller funds of funds
macro fund returns
non-normality
performance measures
portfolio use
properties of
real asset historical returns
Short-bias funds
equity risk premium
historical returns
Short correlation
Shortfall risk
Shorting credit
Shorting volatility
Short interest
Short selling:
arbitrage limits
barrier to arbitrage
breadth of strategy
cautions
commodity prices
convertible arbitrage
crowded short
distressed debt
downside risk protection
fund manager evaluation
haircut
hedge funds
liquidity and
mechanics of
rebates
Regulation T margin rule
restrictions on
return calculation
right to demand shares
short interest
short squeeze
special stock
uptick rule
volatility of market
Short squeeze
Short volatility exposure
Side pocket arrangement
Sideways market
Significance level
Significance testing
Silver margin requirements
Simple interest
Simple linear regression
Simple moving average
Simple option
Since-inception IRR
Singapore:
Monetary Authority of Singapore (MAS)
taxation
Single-factor asset pricing model
beta estimation
capital asset pricing model
CAPM for alternative investments (
see also
Capital asset pricing model)
entire or subset of economy
ex ante alpha
ex post alpha
multifactor versus
performance attribution
regression and
regression models
REIT based
Single-manager hedge fund
Single-name credit derivatives
Single-tranche CDO
Size factor
Skewness
alternative investments
as central moment
credit risk
credit-risky investments
event-driven hedge fund strategy
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
Jarque-Bera test for normality
lognormal distribution for VaR
macro funds
managed futures vs. others
non-normality of returns
relative value hedge fund strategy
zero in normal distribution
Skill-based replication products:
hedge fund replication
liquid alternative product
skill persistence of management
Skill of fund managers:
benchmarking a fund manager
hedge fund management
idiosyncratic risks
luck vs. skill
skill as information coefficient
skill persistence
Slack variable
Slippage
Slope coefficient
as beta
multicollinearity
ordinary least squares
payoff diagram slope mimicked
single-factor regression model
standard deviation linear combinations
Small-cap stock:
earnings surprises
large-cap versus
leveraged buyout funds
momentum
Russell 200 index
Smart beta
Smoothing
anchoring
appraisals
historical returns
market returns vs. smoothed
private equity
real estate private returns
volatility and
Social infrastructure
Soft dollar arrangements
Soft hurdle rate
Soft lockup period
Software
Soros, George
Sortino ratio
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
macro funds
performance measures
Sourcing investments
South Africa Financial Services Board
South America forest public ownership
Sovereign debt
fixed-income arbitrage
sovereign bond default
Sovereign nations:
credit derivatives
repudiation of debt
Sovereign wealth funds
S&P 500:
as cap-weighted equity index
changing correlation
equity-linked structured products
ex post return distribution as
financial crisis
hedge funds' worst performance
managed futures versus
multifactor marketwide factors
SPDR XLF replication of
SPDR XME replication of
volatility via VIX
S&P 500 Equity Index
S&P 500 Index fund:
as beta driver
changing correlation
commodity correlations
Spain sovereign bonds
SPDR XME
Spearman rank correlation
information coefficient
statistical analysis
Special dividends
Special purpose vehicles (SPV)
Special situation funds
Special stock
Speculation
convertible bond arbitrage
dispersion trades on correlation
on earnings
equity hedge funds
fixed-income relative values
futures contracts for
Speculators
S&P Global Infrastructure Index (S&P GII)
Spin-off
event-driven strategies
McDonald's and Chipotle
short selling and
Split estate
Split-off
Sponsor of the trust
Spoofing
Spot contract
Spot market
arbitrage-free pricing models
carrying cost
cash vs. forward positions
spot return
Spot prices:
basis
carrying costs
cost-of-carry models
future prices versus
futures contract cash flows
normal backwardation and contango
physical commodities
roll yield
Spot return
Spread compression
Spread enhancement
Spread option
Spreads:
calendar spreads
multicollinearity return spreads
pairs trading
Springing subordination
S&P Timber and Forestry Index
Spurious correlation
SPY
Staggered board seats
Stale pricing
Standard deviation
annual standard deviation
benchmarking simple example
deviations and
extreme tail events
formula for book
historical activist funds
historical commodity returns
historical convertible bonds
historical distressed debt funds
historical equity long/short
historical equity REITs
historical event-driven multistrategy
historical fixed-income arbitrage
historical funds of funds
historical macro funds
historical market-neutral funds
historical merger arbitrage
historical private equity
historical real assets returns
historical REIT returns
historical relative value multistrategy
historical short-bias funds
historical venture capital
historical volatility arbitrage
larger vs. smaller funds of funds
macro funds
managed futures vs. others
normally distributed returns
one-tail probabilities
properties of
rate of return and diversification
of returns (
see
Standard deviation of returns)
semistandard deviation
Sharpe ratio
single- vs. multiple-period returns
tracking error
two-tail probabilities
VaR estimation
volatility
as
Standard deviation of returns:
autocorrelation and
importance of
normally distributed returns
risk measure
as volatility
Standard ISDA agreement
Standardized unexpected earnings (SUE)
Standard & Poor's Goldman Sachs Commodity Index (S&P GSCI)
commodity-linked notes
financial crisis
historical returns
weighting methods
Starting value
Start-up companies:
business plans
business risk
initial public offering
J-curve
20-bagger
venture capital financing
venture capital time horizon
Stated investment strategy
State of the world
Static hedge
Statistical analysis:
for alpha (
see also
Alpha)
alternative vs. traditional investments
autocorrelation (
see
Autocorrelation)
backfilling
backtesting
beta (
see
Beta)
biased samples
central limit theorem
cherry-picking
chumming
correlation (
see
Correlation coefficient)
covariance (
see
Covariance)
data mining vs. dredging
erroneous conclusions from
ex ante vs. ex post returns
kurtosis (
see
Kurtosis)
lognormal distribution
log returns (
see also
Log returns)
mean (
see
Mean of distribution)
moments (
see also
Moments of return distributions)
normal distribution (
see also
Normal distribution)
outliers
overfitting
problems using
regression (
see also
Regression)
return distributions (
see
Return distributions)
samples (
see
Samples)
single-factor regression model
skewness (
see
Skewness)
standard deviation (
see
Standard deviation)
statistical power
statistical vs. economic significance
time series (
see
Time series of returns)
t
-tests
type I errors
type II errors
variance (
see
Variance)
Stepwise regression
Stock:
alternative investment returns
bankruptcy and prices
binomial tree example
buyback (
see
Stock buybacks)
conversion price
conversion ratio
dilution
as earnings per share and price-to-earnings
equity investors as owners
equity risk premium
issuance of new
net stock issuance
preferred vs. common
as
private equity investments
private investments in public equity
recovery value
right to demand
risk contribution of individual
small- vs. large-cap
special stock
stock-for-stock mergers
stock returns
structured products
value vs. growth
venture capital securities
Stock buybacks:
event-driven strategies
net stock issuance
shareholder cash
taxation
Stock-for-stock mergers
Stock options
Stomber, John
Storage costs
calendar spread
carrying costs (
see also
Carrying costs)
commodities
financials vs. commodities
physical commodities
return on futures vs. spot
Story credit
Straddle (options)
Strategic asset allocation decision
Strategic funds of funds
Strategic review of funds:
benchmarking a fund manager
capacity
competitive advantage
current portfolio position
fund style index
investment idea sources
investment markets and securities
Strategy definitions
Stretch financing
Strong form informational market efficiency
Structural credit risk models
critique of
option-like structured cash flows
reduced-form models versus
risk level conflict
Structural review of funds:
chief financial officer
compensation structures
feeder funds
fund manager organization
fund organization
master trust account
outside service providers
ownership
registrations
Structured PIPEs
Structured products
as alternative investments
Asian options
barrier options
behavioral finance
benefits of
binary options
cash-and-call strategy
cash flows
collateralized debt obligations
collateralized mortgage obligations
complexity examples
corporate capital structure
credit derivatives
definition
equity-linked structured products
example of
examples with absolute returns
example with floor features
example with kinks
example with leverage
example with multiple currencies
exotic options abstract
fees
financial structuring
history of
liquid
look-back options
as market completers
no exotic options
participation rate
path-dependent options
payoff diagrams
power reverse dual-currency notes
pricing
pricing via building blocks
pricing via Monte Carlo
pricing via numerical methods
pricing via partial differential equations
principal-protected
principal-protected absolute return barrier notes
private
quanto options
for return enhancement
risk level conflict
for risk management
S&P 500–linked
spread options
structural credit risk models
structured finance market size
structured products
as term
structures of investments
structuring definition
structuring economic role
taxation
types of
valuation
wrappers
Structures:
compensation
definition
institutional
as investment aspects
non-normality of returns
regulatory
securities
trading
Structuring
Style analysis
Style drift
Styles of real estate investing
Subordination
Subprime mortgage
financial crisis
financing risk
Subscription agreement
attorney preparation
subscription amount (
see also
Minimum investment)
Supply and demand predictions:
alpha
commodities
hedging against operational risks
inelastic supply
perfectly elastic supply
Surface rights of land
Survivorship bias
funds of funds
hedge fund indices
land historical returns
Swap
Swap-spread trading
Sweden taxation
Switzerland:
hedge fund regulation
Swiss Financial Market Supervisory Authority (FINMA)
taxation
Syndicated
Syndications
Synergistic risk effects
Synthetic cash positions
Synthetic CDO
Synthetic hedge funds
Synthetic ownership:
convenience yield
margin requirement avoidance
Synthetic positions
Synthetic shorts
Systematic fund trading
backtesting
as black-box trading
breakout strategies
degradation
evaluating
managed futures funds
model risk
moving averages
non-trend following strategies
slippage
strategies
transparency risk
trend-following analysis
trend-following strategies
trend- vs. non-trend trading
validation of
Systematic return
Systematic risk
beta as
beta nonstationarity
commodities
derivatives for transferring
ex post asset pricing
hedge fund strategies by
multifactor asset pricing models
pairs trading
return attribution
single-factor regression model
single- vs. multifactor benchmarking
Treynor ratio
Systemic risk
hedge funds exacerbating
technology for trading and
t
-score
t
-statistic
t
-test
Tactical asset allocation decision
Tail events:
Amaranth Advisors
Bayou Management
behavioral biases (
see also
Behavioral finance)
Bernie Madoff
Carlyle Capital Corporation
Flash Crash
Knight Capital Group
leverage and ROE
Long-Term Capital Management
Quant Meltdown
Tail risk
Tail risk strategies:
option collars
volatility arbitrage
Taiwan taxation
Takeout provision
Taking liquidity
Targeted amortization class (TAC) tranches
Target semistandard deviation (TSSD)
Target semivariance
TASS (Trading Advisor Selection System)
Tax adviser
Taxation:
abstract
accelerated depreciation
after-tax discounting approach
business development companies
capital gains
C corporations
coupon payments
deduction
deferred
depreciation
depreciation tax shield
dividends vs. buybacks
double taxation
estates
foreign investments
fully taxed investments
funds of funds
income taxation
interest and dividends
investment companies
Japan and Abenomics
life insurance contracts
limited partnerships
master limited partnerships
master trust
pre-tax discounting approach
real estate
real estate income approach
real estate investment trusts
Section 1256 contracts
structured products
structuring
tax deferral
tax rates
transaction taxes
withholding taxes
wrappers
Tax deduction
Tax deferral
Tax-free wrappers
T-bills.
See
U.S. Treasury bills
t
-distribution
Technical analysis
managed future funds
pairs trading
quantitative equity long/short funds
Technical trading strategies
Technology for trading:
circuit breakers
Enron loophole
financial software
Flash Crash
fourth markets
high-frequency trading
Knight Capital Group
position limit enforcement
Quant Meltdown
SEC market access rule
unwind hypothesis
Term structure of forward contracts
cost-of-carry model cases
current market value reflection
dividend rates and financing costs
as forward curve
Term structure of futures contracts:
alpha and
arbitrage-free forward pricing
backwardation
carrying costs
contango
roll yield and forward curve
seasonal patterns
supply and demand predictions
Term structure of interest rates.
See also
Yield curve
Terrorism finance regulation
Test of joint hypotheses
Test statistic
Thai baht and macro funds
Thailand and Asian contagion
Thematic investing
Theoretical model
Theoretical vs. empirical models
Theta
convertible bond arbitrage
convertible bonds
Theta risk
Third markets
Thomson-Reuters In-the-Ground Global Agriculture Equity Index
Timberland
correlation with traditional investments
definition
farmland versus
forest products versus
historical risks and returns
illiquidity
as natural resource
ownership of
publicly traded
risk and return
rotation
structures of investments
Timberland investment management organizations (TIMOs)
Time decay:
convertible bond arbitrage
convertible bonds
Time element.
See also
Time series of returns
alternative vs. traditional portfolios
Asian options
beta
calendar spreads
CAPM in multi-period world
carry trades
continuous time mathematics
correlations
distressed debt investing
farmland
granularity
hedge fund fees through time
hedge fund managers
internal rate of return
log returns for reporting
market orders
return computation interval
rolling contracts
rolling window analysis
roll yield
Sharpe ratio
structures of alternative investments
swaps
theta
timberland
time decay
time value of options
Treynor ratio
variance properties
VaR time horizon
venture capital securities
wasting assets
Time-series models
autocorrelation
cross-sectional models versus
ex post CAPM
GARCH
REIT analysis
separate regressions
single-factor benchmarking
single-factor regression model
volatility models
Time value of money
Time value of an option
Time-weighted returns
Toehold
Tokyo Stock Exchange
Total return swap
Toxic PIPE
Tracking error
average tracking error
Fundamental Law of Active Management
information ratio
nonactive bets
risk measures
Track record
Tradable asset
Trade allocation
Trading Advisor Selection System (TASS)
Trading structure
Trading technology.
See
Technology for trading
Traditional approach to portfolio allocation
Traditional investments
correlation with commodities
examples of
ex ante vs. ex post returns
historical returns vs. alternative
infrastructure investments versus
methods of analysis abstract
multifactor asset pricing models
mutual funds as
normally distributed returns
rate of return computation
return characteristics
risk-adjusted returns
Sortino ratio
structures of investments
traditional vs. private equity
Traditional merger arbitrage
Traditional PIPEs
Tranch
accrual tranche
attachment points
cash flow CDOs
CDO ramp-up period
collateralized debt obligations
collateralized mortgage obligations
detachment point
distressed debt CDOs
equity tranche
first-loss tranches
floating-rate tranches
interest-only tranches
inverse floater tranche
mezzanine tranche
planned amortization class
principal-only tranches
risk shifting and correlation
security classes
seniority
senior tranche
sequential-pay CMOs
single-tranche CDOs
structuring with
targeted amortization class
tranche width
upper attachment point
Tranche width
Transaction costs:
autocorrelation
CAPM assumption
efficient markets
farmland
portfolio management assumption
private markets
taxes globally
Transparency
activist hedge fund positions
arbitrage limitation
dark pools
exchange-traded vs. OTC derivatives
forwards vs. futures contracts
fourth markets
fraud by Lancer Group
funds of funds
hedge funds
Investment Company Act
managed accounts
managed futures funds
multistrategy funds
mutual vs. hedge fund strategies
price transparency
publicly traded securities
risk analysis
separately managed accounts vs. funds
trader positions or losses
transparency risk
Transparency risk
Treasury bills.
See
U.S. Treasury bills
Trend-following strategies
alpha
lack of trends risk
mean-reverting
momentum
Mount Lucas Management Index
moving averages
price momentum
Treynor ratio
Trigger events of CDSs
Turnaround strategy
20-bagger
TXU Corporation
Type I error
Type II error
UCITS.
See
Undertakings for Collective Investment in Transferable Securities
Unbundling
Unconstrained bond funds
Unconstrained clones
Underlying business enterprises
Underlying investment
Underreacting.
See also
Overreacting
Undertakings for Collective Investment in Transferable Securities (UCITS)
Underwriter
Unexpected inflation:
commodity diversifiers
natural resource diversifiers
real estate hedging against
Unfunded credit derivatives
Unique risk.
See
Idiosyncratic risks
United Airlines
United Arab Emirates (UAE):
Dubai Financial Services Authority (DFSA)
GCC (Gulf Cooperation Council)
UAE Central Bank
UnitedHealth Group of Minnesota
United Kingdom (UK):
Capital Requirement Directive
clearing banks
Financial Conduct Authority
hedge fund assets
individual savings accounts
London Stock Exchange
merchant banks
Prudential Regulatory Authority
taxation
United States (U.S.):
bankruptcy process
commercial banks
commodities and farmland
credit derivative regulation
forest public ownership
hedge fund regulations
individual retirement accounts
investment banks
mortgage agencies
offshore fund taxation
regulation of energy trading
Section 1256 contracts
sovereign debt arbitrage
taxation (
see also
Taxation)
third markets
Universal banking
Unlisted assets
Unregistered shares
Unrepresentative data sets
Unscheduled principal payments
Unwind hypothesis
Up market beta
Upper attachment point
Upstream operations
Uptick rule
U.S. Commodity Exchange Act (CEA)
U.S. Commodity Futures Trading Commission (CFTC)
U.S. Department of Justice
U.S. Federal Reserve:
leverage rules
Long-Term Capital Management
U.S. Federal Trade Commission
U.S. Investment Advisers Act (1940)
U.S. Investment Company Act (1940)
U.S. Securities Act (1933)
U.S. Treasury bills:
arbitrage CDOs
forward contract example
liquidity
off-the-run bonds
on-the-run
sovereign debt arbitrage
unconditionally heteroskedastic
Vacancy loss rate
Validation
Valuation:
alternative vs. traditional investments
appraisal autocorrelation
appraisals as nonmarket value
appraisals for real assets
appraisals for real estate indices
asset pricing model tradable assets
building blocks approach
convertible bonds
credit default swaps
daily price not available
debt via Black-Scholes
depreciation
derivatives
fair market value definition
favorable marks
fraud
informational market efficiency
market manipulation
master limited partnerships
model manipulation
Monte Carlo simulation
notional principal
numerical pricing of derivatives
partial differential equations
portfolio management separate from
real assets
real estate
real estate indices
selective appraisals
side pocket arrangement
smoothing
structured products
Value-added real estate
Value at risk (VaR)
aggregating
conditional value at risk (CVaR)
deceptiveness of
estimating abstract
estimating for leptokurtic
estimating from historical returns
estimating via Monte Carlo analysis
estimating with normality
estimating with underlying normality
normal distribution
parametric VaR
return on VaR
risk measures
Value stocks
VaR.
See
Value at risk
Variable expenses
Variable-rate mortgage
balloon payments
graduated payment loan
index rate
interest rate cap
low initial interest rate
margin rate
negative amortization
option ARMs
residential mortgages
Variables:
analysis of (
see
Statistical analysis)
central limit theorem
covariance with self = variance
dependent
deviation
dummy variable
independent
mean absolute deviation
normal distribution
random variables
rank vs. absolute size
slack variables
Variance
covariance with self equaling
heterskedasticity
homoskedasticity
as measure of dispersion
properties of
as second central moment
semivariance
standard deviation
uncorrelated assets
variance of return
variance of return for time interval
Variance neutrality
Variance notional value
Variance swaps
Vega
buying
definition
put-call parity
tail risk protection funds
volatility arbitrage
volatility swap
Vega notional value
Vega risk
Venture capital (VC)
burn rate
business plans
buyouts versus
call option view
as compound option
diversification of portfolio
due diligence
exit strategies
funds (
see
Venture capital funds)
funds of funds as
history of
IRR for returns
mezzanine debt as bridge
out-of-the-money call options
payout
as private equity
as
private equity
return persistence
risk premiums
risks vs. leveraged buyouts
securities used
successful startups
20-bagger
venture capitalists
venture capital securities
Venture capital fund
angel investing
capital calls
capital fundraising
clawback provisions
due diligence
early stage
escrow agreement
exit strategies
expansion stage
fees
general partner
historical returns
J-curve effect
late stage
life cycles of
limited liability
as limited partnerships
as mezzanine debt investors
mezzanine financing
partnership agreements
percentage of capital committed
as private equity funds
rates of return
seed capital
stages of financing
success spiral
time horizon
Venture capital securities
Vertical spreads
Vesting
clawbacks versus
waterfall distribution
Vintage year
Visual works of art as IP
VIX.
See
CBOE Volatility Index (VIX)
Volatility
anticipated volatility
autoregressive
delta cross-derivative
exchange option value
exposure of managed futures
forecasting
fund diversification
funds of funds diversification
GARCH
hedge funds causing
historical data estimates
implied volatility
importance of
infrastructure stocks
managed returns and
marking-to-market
option pricing
options as volatility bets
performance review
real estate investment trusts
realized volatility
risk measure
Sharpe ratio
shorting
short volatility exposure
sideways market
smoothing effects
as standard deviation
time series of returns
VaR estimation
vega
Volatility arbitrage
classic dispersion trade
correlation risk
delta-neutral
dispersion measurement
dispersion trades
exchange-traded vs. OTC
historical returns
implied volatility
instruments used
market-neutral
market-neutral vs. exposed
portfolio insurance
realized volatility
risks
strategies
tail risk strategies
theta risk
variance swaps
vega
volatility risk
volatility swap
Volatility risk
convertible bond arbitrage
fixed-income arbitrage
volatility arbitrage
Volatility swap
Vorstand (Germany management board)
Votes
Vultures
Warrants
Wasting assets
Waterfall
Waterfall distribution:
carried interest as incentive
carried interest deal-by-deal
cash flow definition
catch-up provision
clawback clause
collateralized debt obligations
collateralized mortgage obligations
fund-as-a-whole carried interest
hurdle rate
limited partnership agreement
vesting
Weak form informational market efficiency
Wealth ratio
Weighted average cost of capital (WACC)
Weighted average rating factor (WARF)
Weighted average spread (WAS)
Weighted least squares regression
Weighted moving average
Well-diversified portfolio
Whipsawing
Window dressing
Withholding taxes
Wolf pack
Wrapper
annuity
certificates
examples
fully taxed
taxation
tax deductable
tax deferral
tax-free
Yield curve
collateralized debt obligations
fixed-income arbitrage
intercurve arbitrage
intracurve arbitrage
parallel shift
riding
rolling down
Z-bonds
Zero-coupon bonds:
absolute return structured products
cash-and-call strategy
coupon payments
pricing via partial differential equations
risk-neutral bond pricing
Zero-sum games
Zimbabwe farmland political risk
z
-score
z-transform
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