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
    • M2 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
    • M2 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
  • M2 alpha
  • M2 (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
    • M2 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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