Cluster analysis

Definition:

A statistical technique that identifies clusters of stocks whose returns are highly correlated within each cluster and relatively uncorrelated across clusters. Cluster analysis has identified groupings such as growth, cyclical, stable, and energy stocks.

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Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

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Risk controlled arbitrage

A self-funding, self-hedged series of transactions that generally use mortgage securities (MBS) as the primary assets.

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