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Factor portfolio |
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Definition of Factor portfolioFactor portfolioA well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of
Related Terms:ADF (annuity discount factor)the present value of a finite stream of cash flows for every beginning $1 of cash flow. PPF (periodic perpetuity factor)a generalization formula invented by Abrams that is the present value of regular but noncontiguous cash flows that have constant growth to perpetuity. Active portfolio strategyA strategy that uses available information and forecasting techniques to seek a Amortization factorThe pool factor implied by the scheduled amortization assuming no prepayemts. Annuity factorPresent value of $1 paid for each of t periods. Complete portfolioThe entire portfolio, including risky and risk-free assets. Conversion factorsRules set by the Chicago Board of Trade for determining the invoice price of each Dedicating a portfolioRelated: cash flow matching. Discount factorPresent value of $1 received at a stated future date. Efficient portfolioA portfolio that provides the greatest expected return for a given level of risk (i.e. standard Excess return on the market portfolioThe difference between the return on the market portfolio and the FactorA financial institution that buys a firm's accounts receivables and collects the debt. Factor analysisA statistical procedure that seeks to explain a certain phenomenon, such as the return on a Factor modelA way of decomposing the factors that influence a security's rate of return into common and FactoringSale of a firm's accounts receivable to a financial institution known as a factor. Feasible portfolioA portfolio that an investor can construct given the assets available. Feasible set of portfoliosThe collection of all feasible portfolios. Hedged portfolioA portfolio consisting of the long position in the stock and the short position in the call Leveraged portfolioA portfolio that includes risky assets purchased with funds borrowed. Leveraged portfolioA portfolio that includes risky assets purchased with funds borrowed. Market portfolioA portfolio consisting of all assets available to investors, with each asset held -in Markowitz efficient portfolioAlso called a mean-variance efficient portfolio, a portfolio that has the highest Markowitz efficient set of portfoliosThe collection of all efficient portfolios, graphically referred to as the Maturity factoringfactoring arrangement that provides collection and insurance of accounts receivable. Mean-variance efficient portfolioRelated: Markowitz efficient portfolio Minimum-variance portfolioThe portfolio of risky assets with lowest variance. Modern portfolio theoryPrinciples underlying the analysis and evaluation of rational portfolio choices Multifactor CAPMA version of the capital asset pricing model derived by Merton that includes extramarket Net benefit to leverage factorA linear approximation of a factor, T*, that enables one to operationalize the Normal portfolioA customized benchmark that includes all the securities from which a manager normally Old-line factoringfactoring arrangement that provides collection, insurance, and finance for accounts receivable. One-factor APTA special case of the arbitrage pricing theory that is derived from the one-factor model by Optimal portfolioAn efficient portfolio most preferred by an investor because its risk/reward characteristics Passive portfolio strategyA strategy that involves minimal expectational input, and instead relies on Passive portfolioA market index portfolio. Pool factorThe outstanding principal balance divided by the original principal balance with the result PortfolioA collection of investments, real and/or financial. Portfolio insuranceA strategy using a leveraged portfolio in the underlying stock to create a synthetic put Portfolio internal rate of returnThe rate of return computed by first determining the cash flows for all the Portfolio opportunity setThe expected return/standard deviation pairs of all portfolios that can be Portfolio managementRelated: Investment management Portfolio managerRelated: Investment manager Portfolio separation theoremAn investor's choice of a risky investment portfolio is separate from his Portfolio turnover rateFor an investment company, an annualized rate found by dividing the lesser of Portfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Present value factorfactor used to calculate an estimate of the present value of an amount to be received in Replicating portfolioA portfolio constructed to match an index or benchmark. Reported factorThe pool factor as reported by the bond buyer for a given amortization period. Single factor modelA model of security returns that acknowledges only one common factor. Structured portfolio strategyA strategy in which a portfolio is designed to achieve the performance of some Tilted portfolioAn indexing strategy that is linked to active management through the emphasis of a Two-factor modelBlack's zero-beta version of the capital asset pricing model. Weighted average portfolio yieldThe weighted average of the yield of all the bonds in a portfolio. Well diversified portfolioA portfolio spread out over many securities in such a way that the weight in any Zero-beta portfolioA portfolio constructed to represent the risk-free asset, that is, having a beta of zero. Zero-investment portfolioA portfolio of zero net value established by buying and shorting component Limiting factorThe production resource that, as a result of scarce resources, limits the production of goods PortfolioA collection of securities and investments held by an investor Portfolio DiversificationSee diversification Portfolio WeightThe percentage of a total portfolio represented by a single specific critical success factors (CSF)any item (such as quality, customer FactoringThe sale of accounts receivable to a third party, with the third party bearing Factory overheadAll the costs incurred during the manufacturing process, minus the annuity factorPresent value of an annuity of $1 per period. discount factorPresent value of a $1 future payment. market portfolioportfolio of all assets in the economy. In practice a broad stock market index, such as the Standard & Poor's Composite, is used to represent the market. Factor of ProductionA resource used to produce a good or service. The main macroeconomic factors of production are capital and labor. FactoringThe discounting, or sale at a discount, of receivables on a nonrecourse, notification Scrap factorAn anticipated loss percentage included in the bill of material and Shrinkage factorThe expected loss of some proportion of an item during the FactorAn agent who buys and sells goods on behalf of others for a commission. FactoringType of financial service whereby a firm sells or transfers title to its accounts receivable to a factoring company, which then acts as principal, not as agent. Interest FactorNumbers found in compound interest and annuity tables. Usually called the FVIF or PVIF. Market PortfolioThe total of all investment opportunities available to the investor. Index Portfolio Rebalancing Service (IPRS)Index portfolio Rebalancing Service (IPRS) is a comprehensive investment service that can help increase potential returns while reducing volatility. Several portfolios are available, each with its own strategic balance of Index Funds. IPRS maintains your personal asset allocation by monitoring and rebalancing your portfolio semi-annually. AlphaA measure of selection risk (also known as residual risk) of a mutual fund in relation to the market. A
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