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A part of the regulatory Capital and RWA (risk-weighted asset) calculation [1] introduced under Basel 3; The CVA desk of an investment bank, whose purpose is to: hedge for possible losses due to counterparty default; hedge to reduce the amount of capital required under the CVA calculation of Basel 3; The "CVA charge".
An exchange-traded fund (ETF) is a type of investment fund that is also an exchange-traded product, i.e., it is traded on stock exchanges. [ 1 ] [ 2 ] [ 3 ] ETFs own financial assets such as stocks , bonds , currencies , debts , futures contracts , and/or commodities such as gold bars .
This is a table of notable American exchange-traded funds, or ETFs. As of 2020, the number of exchange-traded funds worldwide was over 7,600, [ 1 ] representing about 7.74 trillion U.S. dollars in assets. [ 2 ]
Category. Mutual fund. ETF. Annual expense (2022)* 0.66 percent for actively managed stock funds; 0.44 for active bond funds. Stock and bond index funds average 0.05 percent
Exchange-traded funds, ... Mutual funds are priced and trade only after the market is closed. All trading in mutual funds happens at the fund’s net asset value, which is calculated at the end of ...
The formula is as follows: Notional amount = number of options * multiplier * strike price. The notional value is the value of what is controlled, rather than the value of what is owned. If stock option contracts are being bought, those contracts could potentially give a lot more shares than would be possible to control by buying shares outright.
Under the assumption of normality of returns, an active risk of x per cent would mean that approximately 2/3 of the portfolio's active returns (one standard deviation from the mean) can be expected to fall between +x and -x per cent of the mean excess return and about 95% of the portfolio's active returns (two standard deviations from the mean) can be expected to fall between +2x and -2x per ...
The linear correlation between monthly index return series and the actual monthly actual return series was measured at 90.2%, with shared variance of 81.4%. Ibbotson concluded 1) that asset allocation explained 40% of the variation of returns across funds, and 2) that it explained virtually 100% of the level of fund returns.