Variance


 

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Variance

A measure of how much an economic or statistical variable varies across values or observations. Its calculation is the same as that of the covariance, being the covariance of the variable with itself.

Variance

The difference between budgeted and actual costs.

Variance

A measure of dispersion of a set of data points around their mean value. The mathematical expectation of the average squared deviations from the mean. The square root of the variance is the standard deviation.



Variance

Similar Matches

Variance rule

Variance rule

Specifies 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.


Covariance

Covariance

A 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.


Portfolio variance

Portfolio variance

Weighted sum of the covariance and variances of the assets in a portfolio.


Variance minimization approach to tracking

Variance minimization approach to tracking

An approach to bond indexing that uses historical data to estimate the variance of the tracking error.


Covariance

Covariance

A 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 Suggestions

Minimum variance frontier
Minimum variance portfolio
Mean variance criterion
Comvariance
Mean variance analysis
Serial covariance


 
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