PM/FICC Reference Index¶
New to this vocabulary? Start with the Glossary for a one-line-per-term cheat sheet before diving into a full page.
Portfolio Foundations¶
- Portfolio Return
- Covariance
- Portfolio Volatility
- Risk Contribution
- MCTE and Group Risk Decomposition
- Sharpe Ratio
- Downside Deviation and Realized Risk
- Drawdown
- Benchmark Basics
- Tracking Error
Optimization¶
Active Management¶
Risk Models¶
- Factor Risk
- Factor Risk Contribution
- Value at Risk
- Stress Testing
- Backtesting Biases and Point-in-Time Data
Fixed Income¶
Foundations¶
- Bond Pricing
- Accrued Interest and Settlement
- Duration
- DV01
- Convexity
- Key-Rate Duration
- Spread Duration
- Convertible Bonds
- Preferred Securities
Rates Portfolio Management¶
- Curve Construction
- Forward Rates
- Curve Trades
- Swap DV01
- Swap Spread
- Treasury Futures Hedging
- Carry and Rolldown
- Repo and Financing
- TIPS and Breakeven Inflation
Credit¶
- Z-Spread
- OAS
- Default and Recovery
- Credit Curves
- CDS and Basis
- Credit Migration
- Fundamental Credit Analysis
- Credit Indices (CDX/iTraxx)
- Leveraged Loans
- Municipal Bonds
- Sovereign and EM Debt
Securitized¶
- Pass-Throughs
- Prepayment Models
- Effective Duration
- MBS Convexity
- Non-Agency Overview
- TBA and the Dollar Roll
- Specified Pools
- CMO/REMIC Structuring
Equity¶
- Dividend Discount Model
- Relative Valuation Multiples
- CAPM and Beta
- Equity Factor Investing
- Active Share
- Shareholder Yield
FX¶
Commodities¶
Derivatives¶
- Black-Scholes and the Greeks
- Put-Call Parity
- Implied Volatility
- Options on Forwards and Rates Options
- Option Strategies
Attribution and Implementation¶
- Brinson Attribution
- Fixed-Income Attribution
- Transaction Costs and Rebalancing
- Liquidity
- Performance Measurement (TWR vs. MWR)
Advanced Portfolio Construction¶
- Covariance Shrinkage
- Black-Litterman
- Risk Parity
- Scenario-Robust Optimization
- Hierarchical Risk Parity
- Regime-Aware Allocation
- Multi-Period Optimization
Asset Allocation¶
Alternatives and ESG¶
Agentic PM Analytics¶
More pages should be added continuously using templates/CONCEPT_TEMPLATE.md.