CAIA Chapter 17 Keywords

Systematic fund trading, often referred to as _______________ because the details are hidden in complex software, occurs when the ongoing trading decisions of the investment process are automatically generated by computer programs.

Focus on identifying the commencement of a new trend by observing the range of recent market prices (e.g., looking back at the range of prices over a specific time period).

Arises when a managed futures trader concentrates trades in a market that lacks sufficient depth (i.e., liquidity).

Investment funds that combine the money of several investors for the purpose of investing in the futures markets.

Professional money managers who specialize in the futures markets.

A correlation coefficient calculated on a subset of observations that is selected using a condition.

The uncertainty associated with the economic outcomes of one party to a contract due to potential failure of the other side of the contract to fulfill its obligations, presumably due to insolvency or illiquidity.

Use various statistical measures, such as price oscillation or a relative strength index, to identify range-trading opportunities rather than pricetrending opportunities.

The tendency and process through time by which a trading rule or trading system declines in effectiveness.

Occurs when the decisions of the investment process are made according to the judgment of human traders.

Sudden and unexpected changes in market conditions resulting from a specific event (e.g., Lehman Brothers bankruptcy).

A geometrically declining moving average based on a weighted parameter, λ, with 0 < λ < 1.

Uses underlying financial and economic information to ascertain intrinsic values based on economic modeling.

Have the broadest investment universe: They are not limited by market segment, industry sector, geographic region, financial market, or currency, and therefore tend to offer high diversification.

Those observations directly used in the backtesting process.