Index

alpha, 13, 27, 244

idiosyncratic, 125, 247

market, 124, 245

secondary, 124, 245

Alternative Investment Management Association (AIMA), 169, 183

arbitrage, 110

convertible, 113

asset-backed securities (ABS), 113, 117

asset class, Risk Fundamentals and, 201202

assets under management (AUM), 49, 113

asymmetric trading strategies, 1719, 125, 245, 247

audits and reviews, internal, 105

backward-looking analysis, 62

Bank for International Settlement (BIS), 59

BARRA, 74, 217

Basel Accord, 59, 60

basis plays, 115

BAVAR (beta and volatility adjusted return) ratio, 30, 156, 256259

bell-curve distribution, 20

benchmarks, index-based, 7273

beta, 75, 256259

biases

market exposure, 123124, 245

secondary, 124, 245

systematic, 3135

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