CalPERS

Investment & Risk Management Glossary

This Glossary identifies, defines, and clarifies the meaning of investment terms used by CalPERS in our investment policies. The purpose of the Glossary is to establish a uniform vocabulary of terms for users of these policies.

Choose from the letters below to find a specific Investment & Risk Management Investment Policy term or phrase. You'll also find information about the related policies and asset classes for each term.

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R


Rating Category Determination (RCD) Letter - Privately-issued alphabetical and numerical designations issued by the credit rating agencies to give relative indications of non-publicly rated bond and note creditworthiness.

Related Policy


Ratings (Rated) - Various alphabetical and numerical designations used by institutional investors, Wall Street underwriters, and commercial rating companies to give relative indications of bond and note creditworthiness. Standard & Poor's and Fitch use the same system, starting with their highest rating of AAA, AA, A, BBB, BB, B, CCC, CC, C, and D for default. Moody's Investors Services uses Aaa, Aa, A, Baa, Ba, B, Caa, Ca, C, and D. Each of the services use + or - or +1 to indicate half steps in between. The top four grades are considered investment grade ratings.

Related Policy


Recourse Debt - Amount of a debt guarantee; a financial liability contingent on the occurrence of an event such as borrower default or a certain decline in the equity value of an investment. Recourse debt includes letters of credit, lines of credit, Credit Accommodations, Subscription Financing, and other financing vehicles that serve as debt guarantees.

Related Policies


Repurchase Agreement - Agreement between a seller and a buyer, usually of U.S. government securities, whereby the seller agrees to repurchase the securities at an agreed upon price and, usually, at a stated time.

Related Policy


Return Factor - A common factor to which sensitivity within the active portfolio is desired due to its returns being statistically significant or reliably forecastable over time.

Related Policy


Risk - A measurable probability of losing or not gaining value. Risk is differentiated from uncertainty, which is not measurable. Risk in this context is also referred to as "standard deviation", which is a statistical measure of the degree to which an individual value in a probability distribution tends to vary from the mean of the distribution.

Related Policy


Risk Attribution - The process of decomposing total risk and attributing it among the factors contained within a multi-factor model.

Related Policy


Risk Factor - A common factor to which sensitivity is not desired within the active portfolio due to its returns being too volatile or unpredictable over time.

Related Policy


Risk Management - The process of defining, identifying, measuring, and managing risk.

Related Policies


Risk Management Tools - Systems, models, and analyses of portfolios that provide forecasts of portfolio risks and returns and correlation of risks and returns across investments and support the portfolio management process.

Related Policy