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| Glossary |
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- Actuals
- The physical commodity underlying a futures contract.
- Agency basis
- A means of compensating the broker of a program trade solely on the basis of commission established through bids submitted by various brokerage firms.
- Agency incentive arrangement
- A means of compensating the broker of a program trade using benchmark prices for issues to be traded in determining commissions or fees.
- Alpha
- In a Jensen Index, a factor to represent the portfolio's performance that diverges from its beta, representing a measure of the manager's performance.
- American Depository Receipt (ADR)
- The U.S. version of the International Depositary Receipt.
- American option
- An option that may be exercised at any time up to and including the expiration date. Related: European options
- Annual fund operating expenses
- For investment companies, the management fee and "other expenses," including the expenses for maintaining shareholder records, providing shareholders with financial statements, and providing custodial and accounting services. For 12b-1 funds, selling and marketing costs are included.
- Arbitrage
- The simultaneous buying and selling of a security at two different prices in two different markets, resulting in profits without risk. Perfectly efficient markets present no arbitrage opportunities.
- Arbitrage-free option-pricing models
- Yield curve option-pricing models.
- Arbitrage pricing theory (APT)
- An alternative model to the capital asset pricing model developed by Stephen Ross and based purely on arbitrage arguments.
- Arithmetic average (mean) rate of return
- Arithmetic mean return.
- Arithmetic mean return
- An average of the subperiod returns, calculated by summing the subperiod returns and dividing by the number of subperiods.
- Ask price
- Also called "offer". Indicates a willingness to sell a futures contract at a given price.
- Asset
- Any possession that has value in an exchange.
- Asset/equity ratio
- The ratio of total assets to stockholders' equity.
- Asset/liability management
- Also called surplus management, the task of managing funds of a financial institution to accomplish the two goals of a financial institution: (1) to earn an adequate return on funds invested and (2) to maintain a comfortable surplus of assets beyond liabilities.
- Asset allocation decision
- The decision regarding how the institution's funds should be distributed among the major classes of assets in which it may invest.
- Asset-backed securities
- Securities backed by assets that are not mortgage loans. Examples include assets backed by automobile loans and credit card receivables.
- Asset classes
- Categories of assets, such as stocks, bonds, real estate, and foreign securities.
- Asset swap
- An interest rate swap used to alter the cash flow characteristics of an institution's assets so as to provide a better match with its liabilities.
- Asset turnover
- The ratio of net sales to total assets.
- At-the-Money
- An option which has a strike price that is nearest to the underlying futures price.
- Attribute bias
- The tendency of stocks preferred by the dividend discount model to share certain equity attributes such as low price-earnings ratios, high dividends yield, high book-value ratio, or membership in a particular industry sector.
- Average (across-day) measures
- An estimation of price that uses the average or representative price or a large number of trades.