Barclays U.S. 10+ Year Corp Index
Consists of publicly issued U.S. corporate and specified foreign debentures that are registered with the Securities and Exchange Commission and meet specific maturity, liquidity, and quality requirements.
Barclays U.S. Universal Index
The Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield. Some Barclays U.S. Universal Index constituents may be eligible for one or more of its contributing subcomponents that are not mutually exclusive. These securities are not double-counted in the index. The Barclays U.S. Universal Index was created on January 1, 1999, with index history backfilled to January 1, 1990.
A standard measurement of potential investment risk and return. It shows how volatile a security's or an investment portfolio's returns have been compared with their respective benchmark indices. A benchmark index's beta always equals 1. A security or portfolio with a beta greater than 1 had returns that fluctuated more, both up and down, than those of its benchmark, while a beta of less than 1 indicates less fluctuation than the benchmark.
Bloomberg Barclays U.S. 1-3 Month Treasury Bill Index
A sub index of the Bloomberg Barclays U.S. Short Treasury Index, the Bloomberg Barclays U.S. 1-3 Month Treasury Bill Index is composed of zero-coupon Treasury bills with a maturity between 1 and 3 months. As Treasury bonds and notes fall below one year-to-maturity and exit the Bloomberg Barclays U.S. Treasury Index, they become eligible for the Bloomberg Barclays U.S. Short Treasury Index. It excludes zero coupon strips.
Bloomberg Barclays U.S. Aggregate Bond Index
Represents securities that are taxable, registered with the Securities and Exchange Commission, and U.S. dollar-denominated. The index covers the U.S. investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Bloomberg Barclays U.S. Short Treasury Index
This index is composed of zero-coupon Treasury bills and fixed-rate Treasury bonds with a maturity between 1 and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the Bloomberg Barclays U.S. Treasury Index, they become eligible for the Bloomberg Barclays U.S. Short Treasury Index. Maturity subindices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into subindices that only include bills or only include notes that have aged below 1-year.
Bloomberg Barclays U.S. Treasury Index
The index includes public obligations of the U.S. Treasury that have remaining maturities of one year or more. Treasury bills are excluded by the maturity constraint. Coupon issues that have been stripped are reflected in the index based on the underlying coupon issue rather than in stripped form. Thus, STRIPS are excluded from the index because their inclusion would result in double-counting. Original-issue discount securities (e.g., zero coupon bonds), are index-eligible provided they met all other index rules.
Tracks the performance of short-term U.S. government debt securities.
Commodities are raw materials or primary agricultural products that can be bought or sold on an exchange or market. Examples include grains such as corn, foods such as coffee, metals such as copper, and resources such as oil and gas.
Consumer Price Index (CPI)
CPI is the most commonly used statistic to measure inflation in the U.S. economy. It reflects price changes from the consumer's perspective. It's a U.S. government (Bureau of Labor Statistics) index derived from detailed consumer spending information. Changes in CPI measure price changes in a market basket of consumer goods and services such as gas, food, clothing, and cars.
Credit Risk/High Yield Debt
Debt securities, even investment-grade debt securities, are subject to credit risk. Credit risk is the risk that the inability or perceived inability of the issuer to make interest and principal payments will cause the value of the securities to decrease. As a result, the fund's share price could also decrease. Changes in the credit rating of a debt security held by the fund could have a similar effect. Issuers of high-yield securities are more vulnerable to real or perceived economic changes (such as an economic downturn or a prolonged period of rising interest rates), political changes or adverse developments specific to an issuer. These factors may be more likely to cause an issuer of low quality bonds to default on its obligations. If the fund enters into financial contracts, the fund will be subject to the credit risk presented by the counterparties to such contracts. Issuers of high-yield securities are more vulnerable to real or perceived economic changes (such as an economic downturn or a prolonged period of rising interest rates), political changes or adverse developments specific to an issuer. These factors may be more likely to cause an issuer of low quality bonds to default on its obligations.
A strategy in which an investor borrows money in one currency at a low interest rate and lends the same money in another currency at a higher interest rate. The trade gets its profit from the exchange rate between the two currencies and the difference in interest rates.
Dedicated Short Bias
Dedicated short bias strategies short stocks expected to depreciate as a result of company-specific catalysts or falling markets. These strategies maintain a net short exposure to the equity market, seeking to reduce equity portfolio volatility and offer the potential to earn returns in falling equity markets. They may be challenged in periods of rising equity markets.
These are securities whose performance and/or structure is derived from the performance and/or structure of other assets, interest rates, or indexes. If used moderately and in appropriate situations, derivatives can help stabilize portfolios and/or enhance returns. However, if used in excess and/or in inappropriate circumstances, they can be harmful, potentially causing portfolio instability and/or losses. Derivatives are similar to medicine in their behavior--usually safe when used as directed, potentially toxic when abused. There are many different types of derivative securities and many different ways to use them. Some derivative securities, such as mortgage-related and other asset-backed securities, are in many respects like any other investment, although they may be more volatile or less liquid than more traditional debt securities. Futures and options are commonly used for traditional hedging purposes to attempt to protect portfolios from exposure to changing interest rates, securities prices or currency exchange rates, and for cash management purposes as a low-cost method of gaining exposure to a particular securities market without investing directly in those securities. Certain derivative securities may be described as structured investments. A structured investment is a security whose value or performance is linked to an underlying index or other security or asset class. Structured investments include collateralized mortgage obligations (CMOs), described more fully above. Structured investments also include securities backed by other types of collateral.
Event Driven Strategies
The fund may seek to profit from the occurrence of specific corporate or other events. A delay in the timing of these events, or the failure of these events to occur at all, may have a significant negative effect on the fund's performance.
Exchange-traded fund (ETF)
Similar to a mutual fund, an exchange-traded fund (ETF) represents a group of securities, but the ETF trades on an exchange like an individual stock. An ETF generally follows the performance of an index, such as the S&P 500® Index.
A futures contract is an agreement to buy or sell a specific amount of a commodity or financial instrument at a particular price on a stipulated future date. Futures contracts are typically used as a hedging/risk management tool in portfolio management.
Hedge funds are alternative investments using pooled funds that may use a number of different strategies in order to earn an active return for their investors. Hedge funds may be aggressively managed or make use of derivatives and leverage in both domestic and international markets with the goal of generating high returns.
Hedge Fund Research (HFR)
This information is obtained from sources that Hedge Fund Research, Inc. considers to be reliable; however, no representation is made as to, and no responsibility or liability is accepted for, the accuracy or completeness of the information. Information contained herein is subject to change at any time without notice. HFR®, HFRI®, HFRX®, HFRQ®, HFRU®, WWW.HEDGEFUNDRESEARCH.COM® and HEDGE FUND RESEARCH™ are the trademarks of Hedge Fund Research, Inc. The HFRI Fund Weighted Composite Index is being used under license from Hedge Fund Research, Inc., which does not approve of or endorse the contents of this report.
HFRI EH Market Neutral Index
Representative of investment managers that employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities, select securities for purchase and sale.
HFRI Equity Hedge (Total) Index
Equity Hedge: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short.
HFRI Fund of Funds Composite Index
Fund of Funds invests with multiple managers through funds or managed accounts. The strategy designs a diversified portfolio of managers with the objective of significantly lowering the risk (volatility) of investing with an individual manager. The Fund of Funds manager may allocate funds to numerous managers within a single strategy, or with numerous managers in multiple strategies. The investor has the advantage of diversification among managers and styles with significantly less capital than investing with separate managers. The HFRI Fund of Funds Index is not included in the HFRI Fund Weighted Composite Index.
HFRI Fund Weighted Composite Index
The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in U.S. Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.
HFRI Macro (Total) Index
Representative of investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity market.
HFRI Relative Value Index
Representative of investment managers who maintain positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative or other security type.
HFRX Equal-Weighted Strategies Index
The HFRX Equal Weighted Strategies Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The HFRX Equal Weighted Strategies Index applies an equal weight to all constituent strategy indices.
HFRX Equity Hedge Index
The HFRX Equity Hedge Index serves as a daily-priced proxy for alternative strategies that maintain positions long and short, primarily in equity and equity derivative securities.
HFRX Fixed Income - Credit Index
The HFRX Fixed Income - Credit Index serves as a daily-priced proxy for alternative strategies that provide exposure to credit strategies. Credit strategies refers to a wide range of sub-strategies and may include corporate, sovereign, distressed, asset-backed, capital structure arbitrage, and other relative value approaches. Strategies may also include and utilize equity securities, credit derivatives, commodities, or currencies.
J.P. Morgan CEMBI Broad Diversified Index
The J.P. Morgan CEMBI Broad Diversified Index is a global, liquid corporate emerging markets benchmark that tracks U.S.-denominated corporate bonds issued by emerging markets entities.
J.P. Morgan EMBI Global Diversified Index
An unmanaged, market-capitalization weighted, total-return index tracking the traded market for U.S.-dollar-denominated Brady bonds, Eurobonds, traded loans, and local market debt instruments issued by sovereign and quasi-sovereign entities.
What most people think of as "normal" ownership of an asset or investment, giving the owner the right to transfer ownership, the right to any income generated by the asset, and the right to any profits or losses due to value changes. Generally, investors take long positions under the assumption that the value of what they own will go up and/or generate a significant amount of income.
An investing strategy of taking long positions in stocks that are expected to appreciate and short positions in stocks that are expected to decline. A long/short equity strategy seeks to minimize market exposure, while profiting from stock gains in the long positions and price declines in the short positions.
Managed futures strategies systematically exploit rising and falling price trends in the global financial markets, including commodities, fixed income, currencies and equities. Views are implemented through the use of futures contracts. These strategies are often implemented as a defensive, non-correlated exposure to hedge against downturns in equity and fixed income markets.
Equity market neutral strategies seek to eliminate the risks of the equity market by holding up to 100% of net assets in long equity positions and up to 100% of net assets in short equity positions. These strategies attempt to exploit differences in stock prices by being long and short in stocks within the same sector, industry, market capitalization, etc. If successful, these strategies should generate returns independent of the equity market. Equity market neutral portfolios have two key sources of return:
- the Treasury Bill return (the interest on proceeds from short sales held in cash as collateral)
- the difference (the "spread") between the return on the long positions and the return on the short positions. Stock picking, rather than broad market moves, should drive most of a market-neutral strategy's total return (save for any return from the 100% cash position).
It's important to point out that here is the risk of theoretical unlimited amount of loss with short selling, (i.e. the price of the short-sold stocks increases; the long position can only go down to $0).
Merger Arbitrage strategies seek to earn returns by capturing the mispricing associated with merger and acquisition transactions, typically through the purchase of a stock of a target company and the short of a stock of the acquiring company. By focusing on the premiums associated with these corporate transactions, returns may be less dependent on the direction of equity or bond markets.
©2018 Morningstar, Inc. All Rights Reserved. Certain information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
A financial contract between two parties that gives the buyer the right, but not the obligation, to buy or sell an asset or instrument at a specified price on or before a specified date. The seller has the corresponding obligation to fulfill the transaction if the buyer exercises the option.
Private equity consists of investments made directly into private companies that are not quoted on a public exchange. The majority of private equity consists of institutional investors and accredited investors who can commit large sums of money for long periods of time. Private equity investments often demand long holding periods to allow for a turnaround of a distressed company or a liquidity event such as an initial public offering or sale to a public company.
Russell 1000® Growth Index
Measures the performance of those Russell 1000 Index companies (the 1,000 largest publicly traded U.S. companies, based on total market capitalization) with higher price-to-book ratios and higher forecasted growth values.
Risk-adjusted returns, in financial literature, are investment returns that are not just measured for their absolute magnitude over time. They are also measured for the amount of risk that was used to achieve them, and the potential impact of that risk on returns over time. The philosophy behind measuring risk-adjusted returns is to better understand and predict both upside potential and downside risk from investments based on the amount of risk that is used to achieve their returns.
Russell 1000® Index
A market-capitalization weighted, large-cap index created by Frank Russell Company to measure the performance of the 1,000 largest publicly traded U.S. companies, based on total market capitalization.
Russell 1000® Value Index
Measures the performance of those Russell 1000 Index companies (the 1,000 largest publicly traded U.S. companies, based on total market capitalization) with lower price-to-book ratios and lower forecasted growth values.
S&P 500 Index ETF
An investable security (exchange-traded fund) that is designed to track the total return of the S&P 500® Index.
S&P 500® Index
The S&P 500 Index is composed of 500 selected common stocks most of which are listed on the New York Stock Exchange. It is not an investment product available for purchase. ©2018 Standard & Poor's Financial Services LLC. All rights reserved. For intended recipient only. No further distribution and/or reproduction permitted. Standard & Poor's Financial Services LLC ("S&P") does not guarantee the accuracy, adequacy, completeness or availability of any data or information contained herein and is not responsible for any errors or omissions or for the results obtained from the use of such data or information. S&P GIVES NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE IN CONNECTION TO THE DATA OR INFORMATION INCLUDED HEREIN. In no event shall S&P be liable for any direct, indirect, special or consequential damages in connection with recipient's use of such data or information.
Developed by Nobel Laureate William F. Sharpe in the 1960s, the Sharpe Ratio is a simple but useful risk-adjusted measure of returns, showing the amount of return (reward) earned per unit of risk from any asset with a risk component. More specifically, the Sharpe Ratio shows how much excess return (portfolio return minus the return of what is considered to be a relatively low-risk asset, such as a U.S. Treasury bill, over a given period of time) is received per unit of risk over that same time period. Risk, in the Sharp Ratio's case, is shown as the standard deviation (defined below) of the portfolio's excess returns over that same time period. The higher the Sharpe Ratio, the better, theoretically, the portfolio's risk-adjusted performance—portfolios with higher Sharpe Ratios tend to provide more return for the same amount of risk. The Sharpe Ratio is useful, but not perfect. It can be skewed by irregular return factors that can upset the standard deviation calculation, and it doesn't take into account the market risk (beta) exposure of the portfolio. Also, it was the product of a simpler time in investment management history, before sector specialization and the benchmarking of returns became prevalent.
Refers to selling short, the sale of a security or futures contract not owned by the seller (the seller borrows it for delivery at the time of the short sale). If the seller can buy the security or contract later (to return what was borrowed) at a lower price, a profit results. If the price rises, the borrower/seller suffers a loss. It's a technique used to 1) take advantage of anticipated price declines, or 2) to protect a profit in a long position (see Long position).
Short selling is a trading strategy intended to capitalize on a falling stock price. In a short sale, a portfolio manager borrows and sells the stock that he anticipates will decline in price. The manager does not own the stock. Instead, he must buy back the shares in the future to return them to the original owner. The profit (or loss) from short selling is the difference between the amount the manager originally sold the stock for and the amount paid to buy it back.
A country's own government-issued debt, priced in its native currency, that can be sold to investors in other countries to raise needed funds. For example, U.S. Treasury debt is U.S. sovereign debt, and would be referred to as sovereign debt when bought by foreign investors. Conversely, debt issued by foreign governments and priced in their currencies would be sovereign debt to U.S. investors.
A statistical measurement of variations from the average. In financial literature, it's often used to measure risk, when risk is measured or defined in terms of volatility. In general, more risk means more volatility, and more volatility means a higher standard deviation—there's more variation from the average of the data being measured. In this context, reducing risk means seeking lower standard deviation.
Treasury inflation-protected securities (TIPS)
TIPS are a special type of U.S. Treasury security designed to address a fundamental, long-standing fixed-income market issue: that the fixed interest payments and principal values at maturity of most fixed-income securities don't adjust for inflation. TIPS interest payments and principal values do. The adjustments include upward or downward changes to both principal and coupon interest based on inflation. TIPS are inflation-indexed; that is, tied to the U.S. government's Consumer Price Index (CPI). At maturity, TIPS are guaranteed by the U.S. government to return at least their initial $1,000 principal value, or that principal value adjusted for inflation, whichever amount is greater. In addition, as their principal values are adjusted for inflation, their interest payments also adjust.
Source: Bloomberg Index Services Ltd
Information has been obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The Index may not be copied, used or distributed without J.P. Morgan's prior written approval. ©2019, J.P. Morgan Chase & Co. All rights reserved.
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is trademark of the Frank Russell Company.
©2019 Standard & Poor's Financial Services LLC. All rights reserved. For intended recipient only. No further distribution and/or reproduction permitted. Standard & Poor's Financial Services LLC ("S&P") does not guarantee the accuracy, adequacy, completeness or availability of any data or information contained herein and is not responsible for any errors or omissions or for the results obtained from the use of such data or information. S&P GIVES NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE IN CONNECTION TO THE DATA OR INFORMATION INCLUDED HEREIN. In no event shall S&P be liable for any direct, indirect, special or consequential damages in connection with recipient's use of such data or information.