Y
Yang Business School
A
Vocabulary
CAIA Level 2 — Key Terms & Definitions
All
Ch 2.1
Ch 2.2
Ch 2.3
Ch 2.4
Ch 2.5
Ch 3.1
Ch 3.3
Ch 3.4
Ch 3.5
Ch 4.1
Ch 4.2
Ch 4.3
Ch 4.4
Ch 4.5
267 terms
Ch 2.1
Investment Policy Statement (IPS)
Ch 2.1
Strategic Asset Allocation (SAA)
Ch 2.1
Endowment
Ch 2.1
Foundation
Ch 2.1
Sovereign Wealth Fund (SWF)
Ch 2.1
Pension Fund
Ch 2.1
Family Office
Ch 2.1
Return Decomposition
Ch 2.1
Risk Premium
Ch 2.1
Liability-Driven Investing (LDI)
Ch 2.2
Endowment Model (Yale Model)
Ch 2.2
Outsourced CIO (OCIO)
Ch 2.2
Spending Rate
Ch 2.2
Intergenerational Equity
Ch 2.2
Sticky Spending Rate
Ch 2.2
Payout Ratio
Ch 2.2
Return Target (Foundation)
Ch 2.2
Tier 1 Assets
Ch 2.2
Tier 2 Assets
Ch 2.2
Tier 3 Assets
Ch 2.2
Liquidity Risk Premium
Ch 2.2
First-Mover Advantage
Ch 2.2
Capital Call
Ch 2.2
Tactical Asset Allocation (TAA)
Ch 2.2
Mean-Reverting Market
Ch 2.2
Inflation Beta
Ch 2.2
Collar Strategy
Ch 2.2
Independent Foundation
Ch 2.2
Sheikh and Sun (2012)
Ch 2.2
Strategic Asset Allocation Variance
Ch 2.3
Pension Plan
Ch 2.3
Superannuation Plan
Ch 2.3
Longevity Risk
Ch 2.3
Mortality Risk
Ch 2.3
Retirement Income-Replacement Ratio
Ch 2.3
Defined Benefit (DB) Plan
Ch 2.3
Defined Contribution (DC) Plan
Ch 2.3
Cash Balance Plan
Ch 2.3
Government Social Security Plan
Ch 2.3
Accumulated Benefit Obligation (ABO)
Ch 2.3
Projected Benefit Obligation (PBO)
Ch 2.3
Funded Status
Ch 2.3
Funded Ratio
Ch 2.3
Surplus Risk
Ch 2.3
Surplus
Ch 2.3
Modified Duration (Liabilities)
Ch 2.3
Asset-Liability Risk Management
Ch 2.3
Integrated Risk Management
Ch 2.3
Liability-Driven Investing (LDI)
Ch 2.3
COLA (Cost of Living Adjustment)
Ch 2.3
Hedging Bucket
Ch 2.3
Growth Bucket
Ch 2.3
Duration Matching
Ch 2.3
Cash Flow Matching
Ch 2.3
Overlay Approach
Ch 2.3
Strips
Ch 2.3
Vesting
Ch 2.3
Frozen Pension Plan
Ch 2.3
Terminated Pension Plan
Ch 2.3
Matching Contribution
Ch 2.3
Drifting Asset Allocation
Ch 2.3
Target-Date Fund (TDF)
Ch 2.3
Glide Path
Ch 2.3
Brokerage Window
Ch 2.3
Accumulation Phase
Ch 2.3
Decumulation Phase
Ch 2.3
Immediate Annuity
Ch 2.3
Deferred Annuity (Longevity Insurance)
Ch 2.3
Expected Economic Life (EL)
Ch 2.3
Fixed Annuity PV
Ch 2.3
Growing Annuity PV
Ch 2.3
Total Return Investor
Ch 2.3
Inflation Beta
Ch 2.3
Pension Protection Act (2006)
Ch 3.1
Risk Aversion (λ)
Ch 3.1
Mean-Variance Optimization (MVO)
Ch 3.1
Higher Moments
Ch 3.1
Liability Growth
Ch 3.1
Variance-Covariance Matrix (Σ)
Ch 3.1
Hurdle Rate
Ch 3.1
Illiquidity Adjustment
Ch 3.1
Factor Exposure Constraint
Ch 3.1
Value at Risk (VaR)
Ch 3.3
Portfolio Variance
Ch 3.3
Marginal Contribution to Risk
Ch 3.3
Risk Factor Decomposition
Ch 3.3
Sharpe Ratio
Ch 3.3
Volatility-Weighted Weight
Ch 3.3
Correlation (ρ)
Ch 3.4
Overcommitment Ratio
Ch 3.4
Equity Multiple
Ch 3.4
Management Fee (PE)
Ch 3.4
Carried Interest
Ch 3.4
Net Profit (PE)
Ch 3.4
Secondary Market Price (P₀)
Ch 3.4
NAV Discount
Ch 3.5
Buy-and-Hold Strategy
Ch 3.5
Constant-Mix (CM)
Ch 3.5
CPPI (Constant Proportion Portfolio Insurance)
Ch 3.5
CPPI Floor (F_t)
Ch 3.5
CPPI Multiplier (m)
Ch 3.5
Stop-Loss Strategy
Ch 3.5
Obstacle Portfolio (Long Put + Risky Asset)
Ch 3.5
Put-Call Parity
Ch 3.5
Replicate Put Option
Ch 3.5
Geometric Mean Return Approximation
Ch 3.5
Glide Path
Ch 3.5
Futures Overlay
Ch 3.5
Optimal Futures Position
Ch 3.5
High-Water Mark (H)
Ch 2.4
Sovereign Wealth Fund (SWF)
Ch 2.4
Reserve Account
Ch 2.4
Balance of Payments
Ch 2.4
Current Account
Ch 2.4
Capital Account
Ch 2.4
Depletion
Ch 2.4
Stabilization Fund
Ch 2.4
Savings Fund
Ch 2.4
Pension Reserve Fund
Ch 2.4
Reserve Investment Fund
Ch 2.4
Development Fund
Ch 2.4
Dutch Disease
Ch 2.4
Sterilization
Ch 2.4
Reserve Adequacy
Ch 2.4
Hurdle Price Rule
Ch 2.4
Linaburg-Maduell Transparency Index
Ch 2.4
Santiago Principles
Ch 2.4
Norway Model
Ch 2.4
Norway GPFG
Ch 2.4
China Investment Corporation (CIC)
Ch 2.4
Temasek Holdings
Ch 2.4
Central Huijin
Ch 2.5
Family Office
Ch 2.5
Ultra-High-Net-Worth Individual (UHNWI)
Ch 2.5
Single-Family Office
Ch 2.5
Multi-Family Office
Ch 2.5
Legacy Wealth
Ch 2.5
New Money
Ch 2.5
Old Money
Ch 2.5
Concentrated Wealth
Ch 2.5
Completion Portfolio
Ch 2.5
Options Collar
Ch 2.5
Beta Drivers
Ch 2.5
Tax Efficiency
Ch 2.5
Short-Term Capital Gains
Ch 2.5
Long-Term Capital Gains
Ch 2.5
Section 1256 Contracts
Ch 2.5
K-1 Tax Form
Ch 2.5
Lifestyle Assets (Passion Assets)
Ch 2.5
Free Ports
Ch 2.5
Balancing Portfolios
Ch 2.5
Concierge Services
Ch 2.5
Patriarch/Matriarch
Ch 2.5
Dynastic Wealth
Ch 2.5
Inheritance
Ch 2.5
Succession Planning
Ch 2.5
Family Estate Planning
Ch 2.5
Charity
Ch 2.5
Philanthropy
Ch 2.5
Scientific Philanthropy
Ch 2.5
Goals-Based Investing
Ch 2.5
Tangible Capital
Ch 2.5
Financial Capital
Ch 2.5
Human Capital
Ch 2.5
Personal Risk
Ch 2.5
Mental Accounting
Ch 2.5
Sequence of Returns Risk
Ch 2.5
Tax Location Strategies
Ch 2.5
Advisor Alpha
Ch 3.1
Strategic Asset Allocation (SAA)
Ch 3.1
Tactical Asset Allocation (TAA)
Ch 3.1
Modern Portfolio Theory (MPT)
Ch 3.1
Satisficing
Ch 3.1
Risk Averse
Ch 3.1
Degree of Risk Aversion (λ)
Ch 3.1
Expected Utility
Ch 3.1
Utility Function
Ch 3.1
Dominance
Ch 3.1
Efficient Frontier
Ch 3.1
Error Maximizers
Ch 3.1
Nonstationary
Ch 3.1
Smoothed Returns
Ch 3.1
Factor Models
Ch 3.1
Market Liquidity Risk
Ch 3.1
Funding Liquidity Risk
Ch 3.1
Liquidity Penalty Function
Ch 3.1
Hurdle Rate (MVO)
Ch 3.1
Resampling
Ch 3.1
Shrinkage
Ch 3.1
Black-Litterman
Ch 3.1
Equilibrium Expected Return
Ch 4.1
Alpha/Beta Separation
Ch 4.1
Portable Alpha
Ch 4.1
Beta Hedging Formula
Ch 4.1
Put-Call Parity
Ch 4.1
Option Greeks
Ch 4.1
Call Delta / Put Delta
Ch 4.1
Delta-Neutral Hedging
Ch 4.1
Slack Variable
Ch 4.1
Binomial Tree
Ch 4.1
Geometric Motion
Ch 4.1
Rebalancing Frequency (Delta-Neutral)
Ch 4.1
Diversification Return
Ch 4.1
Mean-Reversion (Commodities)
Ch 4.1
Geometric Mean Approximation
Ch 4.2
Dispersion (Alpha)
Ch 4.2
Persistence (Alpha)
Ch 4.2
Hierarchy of Alpha
Ch 4.2
True Alpha
Ch 4.2
Manufactured Alpha
Ch 4.2
Transitional Alpha
Ch 4.2
Return Bridge
Ch 4.2
Inaccessible Risk Premium
Ch 4.2
Alternative Beta
Ch 4.2
Pure Beta
Ch 4.2
Bailey Criteria
Ch 4.2
Active Return
Ch 4.2
Single-Factor Market Model
Ch 4.2
Omitted Factor Bias
Ch 4.2
Fama-French-Carhart Model
Ch 4.3
Value-Based Commodity Index
Ch 4.3
Quantity-Based Commodity Index
Ch 4.3
World Production Weighting
Ch 4.3
Total Return Commodity Index
Ch 4.3
Excess Return Commodity Index
Ch 4.3
Roll Method
Ch 4.3
Three Generations of Commodity Indices
Ch 4.3
MLM Index
Ch 4.3
LN PME (Long-Nickels)
Ch 4.3
KS-PME (Kaplan-Schoar)
Ch 4.3
Peer-Group Cohort (PE)
Ch 4.3
Cap Rate
Ch 4.3
Cap Rate Spread
Ch 4.3
Real Estate Risk Premium Formula
Ch 4.3
Real Estate Style Box
Ch 4.4
Trading Level
Ch 4.4
Funding Level
Ch 4.4
Notional Funding
Ch 4.4
Initial Margin
Ch 4.4
Margin-to-Equity Ratio
Ch 4.4
Cross-Margin Benefit
Ch 4.4
Variation Margin
Ch 4.4
Capital at Risk (CaR)
Ch 4.4
Value at Risk (VaR)
Ch 4.4
Parametric VaR (Equal-Weighted)
Ch 4.4
Parametric VaR (Exponential)
Ch 4.4
Stress Test
Ch 4.4
Omega Ratio
Ch 4.4
Price Smoothing
Ch 4.4
Smoothing Decay Parameter (α)
Ch 4.4
Unsmoothing Equation
Ch 4.4
True Variance (Unsmoothed)
Ch 4.4
True Beta (Unsmoothed)
Ch 4.5
Risk Measurement
Ch 4.5
Risk Management
Ch 4.5
Five Components of Risk Measurement
Ch 4.5
Pricing Matrix
Ch 4.5
Exception Report
Ch 4.5
12 Dimensions of Risk
Ch 4.5
Key Person Risk
Ch 4.5
Due Diligence Tracking Matrix
Ch 4.5
7 Quantitative Information Categories
Ch 4.5
5 Qualitative Information Categories
Ch 4.5
Quarterly Manager Call Program
Ch 4.5
Re-Underwriting
Ch 4.5
Risk Manager
Ch 4.5
Three Risk Management Models