Glossary
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
30-Day SEC Yield: Represents net investment income, which excludes option income, earned by the Fund over the 30-Day period, expressed as an annual percentage rate based on such Fund’s share price at the end of the 30-Day period. Distributions are not guaranteed.
Alpha (α): A measure of an investment’s performance relative to a benchmark, adjusted for risk. A positive alpha indicates outperformance; a negative alpha indicates underperformance. It’s commonly used to assess the skill of active managers.
Average Effective Duration: Measures the sensitivity of a bond fund’s price to changes in interest rates. It is calculated as the weighted average of the durations of the individual bonds in the fund.
Attribution: A measurement to evaluate the performance of the underlying investment relative to a specific benchmark.
Beta (β): A measure of a security’s volatility relative to the overall market, typically the S&P 500. A beta above 1.0 indicates greater volatility than the market; below 1.0 indicates less.
Bloomberg 1-5 year Treasury Index: Measures the performance of US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with remaining maturities between 1 and 5 years.
Bloomberg US Aggregate Bond Index: An unmanaged index comprised of US Investment-grade, fixed rate bond market securities, including government agency, corporate and mortgage-backed securities. Index returns assume reinvestment of dividends.
Bloomberg US Corporate High Yield Index: An unmanaged market value-weighted index that covers the universe of fixed-rate, non-investment grade debt in the US. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. Bonds from issuers with an emerging markets country of risk, based on the indices’ EM country definition, are excluded.
Bloomberg US Corporate Investment Grade Index: An unmanaged index that covers the publicly issued US corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
Bloomberg US Investment Grade Index: An unmanaged index comprised of US investment grade fixed rate, taxable corporate bond market. Securities are classified as investment grade if the Moody’s, Fitch and S&P rating is Baa3/BBB-/BBB- or above, respectively.
Bloomberg US Mortgage-Backed Securities (MBS) Index: An unmanaged index that tracks fixed-rate agency mortgage-backed pass-through securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index is constructed by grouping individual TBA-deliverable MBS pools into aggregates or generics based on program, coupon, and vintage.
Bloomberg US Treasury Index: An unmanaged index that measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury.
Breakout: Occurs when the price of a security moves decisively above a resistance level or below a support level, often accompanied by increased trading volume. It signals a potential start of a new trend and is commonly used in technical analysis to identify entry points.
Call Spread: An options trading strategy where the Strategy buys and sells call options on the same asset with different strike prices or expiration dates. The strategy helps manage risk and profit from small price changes.
CBOE S&P 500 BuyWrite Index (BMX): A benchmark designed to measure the performance of a hypothetical portfolio that follows a buy-write strategy on the S&P 500 Index. This strategy involves buying stocks in the S&P 500 and simultaneously writing (selling) call options on the same index. The index aims to generate income from option premiums and potentially outperform in sideways markets.
CBOE Volatility Index (VIX): Often called the “fear index,” measures the market’s expectations for volatility over the next 30 days based on S&P 500 Index Options. It is a key indicator of market sentiment, with higher values indicating greater expected volatility.
Classic Trend Following: A rules-based investment strategy that seeks to profit from sustained upward or downward price movements. It typically uses technical indicators like moving averages or breakouts to enter and exit positions based on the direction of the trend.
Correlation: A measurement of the degree to which two indices move in relation to each other.
Countertrend: A strategy that involves taking positions against the prevailing market trend, aiming to profit from short-term reversals or pullbacks. It assumes that trends will temporarily reverse before resuming, and typically use technical indicators to time entries and exits.
Duration: A measure of a bond’s sensitivity to interest rate changes and the time, in years, it takes to recover its price through cash flows. Longer duration indicates greater interest rate risk.
Equity Breadth: The number of individual stocks participating in a market move, either advancing or declining. It helps assess the strength or weakness of a trend by showing whether gains or losses are widespread or concentrated in a few names.
Euro Stoxx 50 Index: A market capitalization-weighted stock index that represents the 50 largest blue-chip European companies operating within the eurozone nations.
ICE BofA US High Yield Index: An unmanaged bond index that tracks the performance of US dollar-denominated, below investment-grade rated corporate debt publicly issued in the US domestic market.
ICE BofA AA Corp Effective Yield Index: Measures the effective yield of AA-rated US dollar-denominated corporate bonds. It is a subset of the ICE BofA US Corporate Master Index, which tracks the performance of investment-grade corporate debt publicly issued in the US domestic market.
Maximum Drawdown: A measure of the maximum loss from a peak to a trough of a portfolio or index, before a new peak is attained.
Mean Reversion: The investment theory that asset prices and returns tend to move back toward their historical average over time. It assumes that extreme price movements, either high or low, are temporary and will eventually revert to the mean.
MerQube Hedged Premium Income (MQKHPI) Index: Designed to be 100% invested in the Vanguard S&P 500 ETF (VOO) while purchasing 3-Month put options and selling 1-Month call options on the SPDR S&P 500 ETF (SPY). The Index aims to generate income from selling call spreads while providing downside protection through the purchase of put spreads, maintaining exposure to the US large-cap equity market.
Momentum: A strategy that seeks to capitalize on the continuation of existing price trends. Investors using momentum typically buy assets that have shown strong recent performance and sell those with weak performance, assuming trends will persist in the short to medium term.
Morningstar Global 60/40 Index: A multi-asset index that tracks a portfolio consisting of 60% global equities and 40% global bonds, with returns calculated on a net basis, assuming reinvestment of dividends and interest. It aims to provide a balanced benchmark for global investment strategies.
MSCI World: An index that tracks the performance of around 1,500 large and mid-cap companies across 23 developed countries. It serves as a common benchmark for global stock funds, representing a broad cross-section of global markets.
MSCI EAFE Index: An international equities market index that consists of large and mid-cap stocks across developed markets in Europe, Australasia, and Far East Asia. Excludes US and Canadian equities.
MSCI Emerging Markets Index: An international equities market index that consists of large and mid-cap stocks across 24 emerging market countries that include, but are not limited to Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates.
NASDAQ 100 Index: A market index that comprises of the 100 largest, most actively traded companies listed on the Nasdaq Stock Exchange.
NASDAQ Composite: A market capitalization-weighted index that includes over 2,500 stocks listed on the NASDAQ Stock Exchange. It is heavily weighted towards the technology sector, making it a key indicator of tech industry performance.
Put Spread: An options strategy where the Strategy buys and sells put options with different strike prices but the same expiration date. This strategy can be used to limit potential losses while still allowing for profit if the underlying asset’s price declines.
Return Attribution: A set of techniques used to identify the sources of the excess return of a portfolio against its benchmark. It is used to identify sources of excess returns from a firm or fund manager’s active investment decisions.
Risk-Off: The portfolio is exposed to cash, cash equivalents, or US Treasury securities.
Risk-On: The portfolio is exposed to designated securities.
Russell 2000 Index: A market index that consists of 2,000 small-cap US companies that are part of the larger Russell 3000 Index.
S&P 400: An index that tracks 400 mid-sized U.S. companies, representing the mid-cap segment of the market. It’s used to benchmark performance of firms with market caps typically between $3 billion and $13 billion.
S&P 500 TR Index: A capitalization weighted index of 500 stocks representing all major domestic industry groups. The S&P 500 TR Index assumes the reinvestment of dividends and capital gains.
S&P 500 Equal Weight Index: Equal weight to each of the 500 companies in the S&P 500, ensuring that each company has the same impact on the index’s performance, regardless of its market capitalization.
S&P 600: An index that tracks 600 small-cap U.S. companies, focusing on firms with market caps between roughly $850 million and $3.7 billion. It includes only profitable companies to ensure quality representation of the small-cap sector.
S&P Goldman Sachs Commodity Index (SPGSCI): A broad-based, production-weighted index that measures the performance of the global commodity market. It includes a diverse range of commodities, such as energy, metals, and agricultural products, providing a comprehensive benchmark for commodity investments.
S&P US 30Y Treasury Index: Tracks the performance of US Treasury bonds with maturities of 30 years. It reflects the long-term interest rate environment and is used by investors to gauge the performance of long-term government debt.
S&P US Treasury Bond Current 10Y Index: The S&P US Treasury Bond Current 10-Year Index is a one-security index comprising the most recently issued 10-year US Treasury note or bond.
S&P US Treasury Bond Current 5Y Index: A one-security index that tracks the most recently issued 5-year US Treasury note. This index serves as a benchmark for the performance of intermediate-term US government debt.
S&P US Treasury Bond Current 2Y Index: A one-security index that tracks the most recently issued 2-year US Treasury note or bond. This index provides a benchmark for the performance of short-term US government debt.
Sharpe Ratio: A risk adjusted measure of a fund’s performance that indicates a fund’s return per unit of risk, defining risk as volatility (standard deviation).
Standard Deviation: A measure of the dispersion of monthly returns from its mean return, also known as historical volatility.
Sortino Ratio: A variation of the Sharpe Ratio that includes only the standard deviation of negative portfolio returns instead of the total standard deviation.
Upside / Downside Capture Ratio: A measurement of performance relative to positive or negative periods for the benchmark.
Yield curve inversion: A condition where short-term interest rates exceed long-term rates, often signaling expectations of slower economic growth or lower future returns.
Yield curve un-inversion: The reversal of a yield curve inversion, where long-term rates rise above short-term rates, typically suggesting improved economic outlook and potential for higher returns.
Yield-to-Worst (YTW): The lowest possible yield a bond can provide without default, assuming the issuer exercises any early redemption options. It helps investors assess the minimum expected return.
