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Clear filtersDefaults and Recovery
A default is a failure to meet the terms of the indenture, which is not always a failure to pay. What holders recover depends on their position in the capital structure.
The Greeks
Sensitivities of an option's price to each of its inputs. They are the vocabulary for describing what a position is actually exposed to.
Vertical Spreads
Buying one option and selling another of the same type and expiry at a different strike. Both the cost and the maximum outcome are capped.
Calendar Spreads
Selling a near-dated option and buying a longer-dated one at the same strike. The position is a bet on time and on volatility rather than on direction.
Long-Dated Options
Options with expiries measured in years. Time decay is slower, the premium is larger, and the exposure to volatility and rates is correspondingly greater.
Futures Margin and Daily Settlement
Futures margin is a performance bond, not a loan. Positions settle in cash every day, which means a losing position consumes cash before it is closed.
Roll Yield in Practice
A fund holding futures must roll them forward. The shape of the futures curve determines whether that roll costs money or earns it, and over years the effect dominates.
VIX and Volatility Products
An index measuring expected volatility over the next thirty days. It cannot be held directly, and the products referencing it behave differently from the index.
Leveraged and Inverse Funds
Funds targeting a multiple of an index's daily return. The daily reset means their long-run behaviour differs from the multiple in ways that are mathematical rather than incidental.
The Efficient Frontier
The set of portfolios offering the highest expected return for each level of risk. A foundational idea, and one whose inputs are estimates with enough error to move the answer entirely.
Performance Attribution
Decomposing a return into the decisions that produced it. Without it, a good year and a lucky year look identical.
Taking Money Out
Drawing down a portfolio is a different problem from building one, because the order of returns starts to matter. The same average return can produce very different outcomes.
The Value Factor
The tendency for cheap securities to outperform expensive ones over long periods. One of the most studied effects in finance, and one that spent a decade not working.
The Momentum Factor
Securities that have performed well over the past several months have tended to continue over the following months. Robust, widely replicated, and prone to sudden severe reversals.
Quality and Profitability
Profitable, stable, conservatively financed companies have outperformed their opposites. The effect is well supported and the definition of quality is not standardised.
Size and Low Volatility
Two of the original documented effects. One has weakened substantially since publication; the other contradicts the basic risk-return relationship and has persisted.
Factor Cyclicality
Every documented factor has spent long periods underperforming. The horizon required to evaluate one is longer than most people's patience, which is part of why the premiums may persist.
Backtesting
Testing a rule against historical data. The exercise is essential, straightforward to perform, and extremely easy to perform in a way that produces a meaningless result.
Overfitting
A model complex enough to describe the past perfectly has described the noise as well as the signal, and the noise does not repeat.
Survivorship and Look-Ahead Bias
Two errors that inflate results silently. One tests only the securities that made it; the other uses information that was not available at the time.
Modelling Transaction Costs
The gap between a backtest and a live result is usually costs. They are certain, they scale with turnover and size, and they are the most commonly omitted input.
Walk-Forward Testing
Fitting on one window and testing on the next, repeatedly. It is the closest a historical test can come to simulating how a strategy would actually have been run.
Deep Dive 2: Ranking the Market
The same data turned outward. Ten cards that rank, screen and search the whole market rather than describing one company.
Institutional Ownership and Flows
13F holdings aggregated by ticker and by manager, with quarter-over-quarter changes, plus fund and ETF ownership. Powerful, and only if the filing's limits are understood.
How Setup Detection Decides
The methodology behind the nightly sweep: what it measures, why it runs on daily bars after the close, and what it deliberately does not attempt.
How Alert Performance Is Measured
What the performance record counts, how it is calculated, and the reasons any published record has to be read with the methodology beside it.