Реклама

четверг, 12 марта 2015 г.

Повышаем свой уровень знаний словарь по теме Hedge Fund Glossary (Часть 4) From S to Z

Sharpe ratio

A measure of how well a fund is rewarded for the risk it incurs. The higher the ratio, the better the return per unit of risk taken. It is calculated by subtracting the risk-free rate from the fund's annualized average return, and dividing the result by the fund's annualized standard deviation. A Sharpe ratio of 1:1 indicates that the rate of return is proportional to the risk assumed in seeking that reward. Developed by Prof. William R. Sharpe of Stanford University. 

Sharpe ratio

A measure of how well a fund is rewarded for the risk it incurs. The higher the ratio, the better the return per unit of risk taken. It is calculated by subtracting the risk-free rate from the fund's annualized average return, and dividing the result by the fund's annualized standard deviation. A Sharpe ratio of 1:1 indicates that the rate of return is proportional to the risk assumed in seeking that reward. Developed by Prof. William R. Sharpe of Stanford University.

Short-biased investment strategy

An approach that relies on short sales. Such funds tend to hold larger short positions than long positions.

Soft dollars

Credits that can be used to pay for research and other services that brokerage firms provide to hedge funds and other investor clients in return for their business. Those credits are accumulated through soft-dollar brokers, which channel trades to multiple securities brokers.

Sortino ratio

Also called the "upside potential ratio." Similar to the Sharpe ratio, it was developed by the Pension Research Institute to determine the amount of "good" volatility that a fund's investment portfolio possesses -- that is, it seeks to define the amount by which the investment pool's value may increase, based on expected pricing fluctuations. 


Special situations investment strategy

An event-driven investment strategy in which the manager seeks to take advantage of unique corporate situations that provides the potential for investment gains.

Standard deviation

For an investment portfolio, it measures the variation of returns around the portfolios mean-average return. In other words, it expresses an investment's historical volatility. The further the variation from the average return, the higher the standard deviation.

Statistical arbitrage investment strategy

A market-neutral investment strategy that seeks to simultaneously profit and limit risk by exploiting pricing inefficiencies identified by mathematical models. The strategy often involves short-term bets that prices will trend toward their historical norms. 

Top-down investment strategy

An approach that seeks to assess the influence of various macro-and micro-economic factors before identifying individual investments.

Treynor ratio

A measure of the excess return per unit or risk, where the excess return is defined as the difference between the portfolio's return and the risk-free rate of return over the same period.

U

Sorry, we currently do not have any words in our glossary beginning with the letter U.

Value investment strategy

An approach that involves purchases of stocks that the manager deems to be priced below their intrinsic values, or are out of favor with the market but are still fundamentally solid. Such funds typically employ long-term holding periods and experience low volatility.

Venture capital

Money given to corporate start-ups and other new high-risk enterprises by investors who seek above-average returns and are willing to take illiquid positions.

Volatility

The likelihood that an instrument's value will change over a given period of time, usually measured as beta.


Warrent Arbitrage

Developed as a result of the experience gained whilst working and trading on the Japanese Warrants desk and having fine-tuned the software for the Japanese market, other markets, in particular the European markets, have been incorporated. The application combines a blend of traditional option pricing calculators together with practical fine tuning to identify warrant price anomalies on a volatility basis, or where warrant prices have broken their historic relationships with the underlying stock price.

At the heart of the system is empirical regression and volatility crossover analysis, providing real-time pricing and graphical capabilities to view particular issues, or the market by sector, maturity, SE or a combination (SE = stock price / exercise price). Other features include interactive Premium/SE and Implied Volatility/Historic Volatility graphics, what-if-scenarios and a variety of reports to track the warrant universe. Whilst the basis for creative warrant trading strategies, the system can dramatically enhance client comfort levels with graphical awareness of optimal warrant/stock purchases and by confirming fundamentals. 

Warrent Arbitrage

Developed as a result of the experience gained whilst working and trading on the Japanese Warrants desk and having fine-tuned the software for the Japanese market, other markets, in particular the European markets, have been incorporated. The application combines a blend of traditional option pricing calculators together with practical fine tuning to identify warrant price anomalies on a volatility basis, or where warrant prices have broken their historic relationships with the underlying stock price.

At the heart of the system is empirical regression and volatility crossover analysis, providing real-time pricing and graphical capabilities to view particular issues, or the market by sector, maturity, SE or a combination (SE = stock price / exercise price). Other features include interactive Premium/SE and Implied Volatility/Historic Volatility graphics, what-if-scenarios and a variety of reports to track the warrant universe. Whilst the basis for creative warrant trading strategies, the system can dramatically enhance client comfort levels with graphical awareness of optimal warrant/stock purchases and by confirming fundamentals. 

X

Sorry, we currently do not have any words in our glossary beginning with the letter X. :)

Y

Sorry, we currently do not have any words in our glossary beginning with the letter Y.

Zero-Coupon Bond

A Zero coupon bond (also known as a discount bond) is a bond bought at a price lower than its face value, with the face value repaid at the time of maturity. It does not make periodic interest payments, or so-called "coupons," hence the term zero-coupon bond. Investors earn interest via the difference between the discounted price of the bond and its par (or redemption) value. Examples of zero-coupon bonds include U.S. Treasury bills, U.S. savings bonds, and long-term zero-coupon bonds.In contrast, an investor who has a regular bond receives income from coupon payments, which are usually made semi-annually. The investor also receives the principal or face value of the investment when the bond matures.

Some zero coupon bonds are inflation indexed, so the amount of money that will be paid to the bond holder is calculated to have a set amount of purchasing power rather than a set amount of money, but the majority of zero coupon bonds pay a set amount of money known as the face value of the bond. Zero coupon bonds may be long or short term investments. Long-term zero coupon maturity dates typically start at ten to fifteen years. The bonds can be held until maturity or sold on secondary bond markets. Short-term zero coupon bonds generally have maturities of less than one year and are called bills. The U.S. Treasury bill market is the most active and liquid debt market in the world. 

Zero-Coupon Bond

A Zero coupon bond (also known as a discount bond) is a bond bought at a price lower than its face value, with the face value repaid at the time of maturity. It does not make periodic interest payments, or so-called "coupons," hence the term zero-coupon bond. Investors earn interest via the difference between the discounted price of the bond and its par (or redemption) value. Examples of zero-coupon bonds include U.S. Treasury bills, U.S. savings bonds, and long-term zero-coupon bonds.In contrast, an investor who has a regular bond receives income from coupon payments, which are usually made semi-annually. The investor also receives the principal or face value of the investment when the bond matures.

Some zero coupon bonds are inflation indexed, so the amount of money that will be paid to the bond holder is calculated to have a set amount of purchasing power rather than a set amount of money, but the majority of zero coupon bonds pay a set amount of money known as the face value of the bond. Zero coupon bonds may be long or short term investments. Long-term zero coupon maturity dates typically start at ten to fifteen years. The bonds can be held until maturity or sold on secondary bond markets. Short-term zero coupon bonds generally have maturities of less than one year and are called bills. The U.S. Treasury bill market is the most active and liquid debt market in the world.