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Variance rule |
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Variance ruleSpecifies the permitted minimum or maximum quantity of securities that can be delivered to satisfy a TBA trade. For Ginnie Mae, Fannie Mae, and Freddie Mac pass-through securities, the accepted variance is plus or minus 2.499999 % per million of the par value of the TBA quantity.Variance rule Similar MatchesVarianceVarianceThe difference between budgeted and actual costs. Portfolio variancePortfolio varianceWeighted sum of the covariance and variances of the assets in a portfolio. Variance minimization approach to trackingVariance minimization approach to trackingAn approach to bond indexing that uses historical data to estimate the variance of the tracking error. CovarianceCovarianceA measure of the extent to which two economic or statistical variables move up and down together. For two variables x and y with values xi, yi, i=1,…,n, the covariance is cov(x,y) = Si=1…n(xi-m(x))(yi-m(y)), where m(·) is the mean of the values in its argument. CovarianceCovarianceA statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value. Further SuggestionsVarianceMinimum variance frontier Serial covariance Mean variance criterion Mean variance analysis Minimum variance portfolio Variance Comvariance |
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