Glossary

This glossary defines common InvestLens terms used across screening, ranking, asset snapshots, and portfolio analytics.

A

Adjusted price

A price series adjusted for corporate actions (splits and dividends). InvestLens uses adjusted prices for return calculations.

Allocation

A set of portfolio weights across holdings. An allocation can be created manually or proposed by the Asset Allocator.

Alpha

Return not explained by the selected factor model over a given period (a model residual, when shown).

Annualized return

Return scaled to an annual rate (commonly assumes 252 trading days per year).

Asset

A tradable instrument tracked in InvestLens, such as a stock or ETF.

Asset Allocator

A portfolio tool that proposes standard allocations and backtests them over a selected historical window.

Asset Snapshot

A quick-look panel for an individual asset that shows key context fields (when available), intended for fast orientation.

B

Backtest

A historical simulation used to evaluate how an allocation or portfolio would have behaved over a selected time window.

Benchmark

A reference index used for grouping, comparison, or analytics (for example, an equity index).

Beta

A measure of sensitivity to a benchmark or factor (for example, market beta in a factor model). Often interpreted as “how much you move with the market.”

Bucket

A group of assets formed by a grouping rule (for example, sector, industry, ETF category, index membership).

C

Composite score

A combined score (commonly on a 0–100 scale) produced by aggregating component scores. Used for ranking within a group.

Constant correlation

A covariance estimation method (Elton–Gruber) that assumes a single common correlation across all assets, which can stabilize the estimate. Available as a Covariance Type in Settings.

Constraints

Rules that restrict portfolio weights (for example, minimum and maximum weight per holding).

Cornish-Fisher VaR

A parametric (normal-approximation) Value-at-Risk estimate reported in the Performance Report.

Covariance

A measure of how two assets' returns move together. The covariance matrix across holdings drives portfolio risk in the Asset Allocator; it can be estimated as Historical, Constant Correlation, or Shrunk.

CVaR (Expected shortfall)

Average loss conditional on returns being beyond the VaR threshold. Often more conservative than VaR.

D

Drawdown

Peak-to-trough decline in a portfolio or asset value over a period.

Data completeness adjustment

A conservative handling rule where missing or partial data reduces confidence and avoids extreme scores.

E

Earnings surprise

The difference between a company's reported earnings and the market's expectation. The asset snapshot shows recent earnings surprises over the past year.

Efficiency

ETF scoring component intended to reflect cost efficiency of holding the fund (often using net expense ratio).

EMA

Exponential moving average. A moving average that assigns more weight to recent prices.

Equal Weight (EW)

An allocation where all holdings receive the same weight.

ETF

Exchange-traded fund. A fund that trades like a stock and typically holds a basket of underlying assets.

ETF category

A vendor-provided classification describing the ETF’s type or strategy, used for grouping.

ETF/benchmark matching

An internal process that assigns a likely benchmark index to an ETF using holdings overlap and related hints, used for consistent grouping and analytics.

F

Factor

A systematic return driver used in a factor model (for example, the Fama–French factors).

Factor exposures

Estimated sensitivities (betas) of a portfolio to each factor in a factor model.

Factor premium

The average historical return of a factor, combined with a portfolio's factor exposures to form factor-implied expected returns.

Fama–French 5-factor model

A standard equity factor model using Market, SMB, HML, RMW, and CMA as factors.

Fibonacci retracement

A set of commonly used price levels derived from a recent swing high/low range (often 38.2%, 50%, 61.8%), used as heuristic support/resistance candidates.

G

Global Minimum Variance (GMV)

An allocation that targets the lowest variance (volatility) portfolio given an estimated covariance matrix.

Growth-of-$1

A cumulative return series showing how an initial $1 would have evolved over a backtest window.

H

Holdings

The assets contained in a portfolio (or within an ETF). In portfolio context, holdings are the instruments you allocate weights to.

Holdings count

Number of positions held (commonly used as an ETF breadth/diversification input).

HML

Fama–French “value” factor, often interpreted as value minus growth tilt.

I

Idea

A saved shortlist of stocks or ETFs generated in the Universe Screener. An Idea is a fixed snapshot of the shortlist and its generation settings, and can be converted into a portfolio.

Implied Volatility (IV)

The volatility level that makes an option pricing model match the option’s market price. Interpreted as the market’s implied uncertainty about future returns over the option’s horizon.

Income

ETF scoring component intended to reflect distribution yield relative to peers (when yield data is available).

Index

A benchmark that represents a market, sector, or rules-based basket of securities.

Index membership

A vendor-provided mapping indicating which index an asset is a constituent of, used for grouping and analytics.

Industry

A vendor-provided industry classification used for grouping stocks.

K

Kurtosis

A measure of tail heaviness relative to a normal distribution. Higher values often imply more extreme outcomes.

L

Liquidity

A concept describing how easily an asset can be traded without large price impact. Often proxied by size (market capitalization) in ranking contexts.

M

Market capitalization

Company value implied by market price times shares outstanding. Often used as a size and liquidity proxy.

Max drawdown

The worst observed peak-to-trough decline over a period.

Max Sharpe (MSR)

An allocation that targets the highest Sharpe ratio given expected returns, a covariance estimate, and an input risk-free rate.

Market Mood

The strip shown above the content of every signed-in page, giving a News Sentiment reading for up to five tickers you choose. A mood indicator, not a signal.

Moving average

A smoothed price series used to summarize trend. Common variants include SMA and EMA.

Mkt − Risk Free

The Fama–French market factor representing broad equity market excess returns over the risk-free rate.

N

Net expense ratio

An ETF fee measure representing ongoing fund costs, used as an input to cost/efficiency scoring.

News Sentiment

The average sentiment of the latest day of news headlines for an asset, on a scale from −1 (bearish) through 0 (neutral) to +1 (bullish). Shown on the asset snapshot and, for your chosen tickers, on the Market Mood strip. The same measure in both places.

O

Options activity

A stock scoring component intended to reflect options-market participation/positioning using options-related indicators (when available).

Overbought / oversold

Heuristic descriptors indicating price may have moved too far too fast relative to recent behavior (used as a screening aid, not a guarantee).

P

Portfolio

A weighted set of holdings you can analyze, backtest, and refine.

Portfolio volatility (annualized)

Standard deviation of daily portfolio returns scaled to an annual volatility.

Price range (52-week)

The observed high-low price range over the last 52 weeks, often shown with markers in a snapshot view.

Q

Quality

A scoring component intended to capture profitability/operating strength (for example, ROE and operating margin).

Query

The text expression used to retrieve matching data (for example, a ticker or company name).

R

Ranking

Ordering assets within a group based on a score (commonly composite score). Higher score ranks higher.

Resistance

A price level where upward moves have historically struggled to continue (heuristic, not guaranteed).

Return (to-date)

Cumulative return over the period of data collection for the selected window, based on weighted daily returns.

Risk-free rate

A short-term government-rate proxy (Canadian 1-month or U.S. 3-month Treasury bill) converted to a per-trading-day rate. Used in the Sharpe ratio and in optimal allocation.

RMW

Fama–French profitability factor, often interpreted as robust minus weak profitability tilt.

S

Scoring

The process of converting raw inputs (fundamentals, liquidity proxies, options data, ETF properties) into comparable component scores and a composite score.

Sector

A vendor-provided sector classification used for grouping stocks.

Semi-deviation (annualized)

Volatility of negative returns only (downside risk), scaled to annual.

Sharpe ratio

Risk-adjusted return defined as (annualized return − risk-free rate) divided by annualized volatility.

Shrinkage (covariance)

A technique that blends the sample covariance matrix with a structured target to produce a more stable estimate, especially with many assets or limited history. Available as the "Shrunk" Covariance Type in Settings.

Skewness

A measure of asymmetry of returns. Negative skew often indicates larger downside tail risk.

SMA

Simple moving average. A moving average with equal weight across the window.

SMB

Fama–French size factor, often interpreted as small minus big tilt.

Structure

ETF scoring component intended to reflect portfolio breadth and turnover discipline (for example, holdings count and turnover).

Support

A price level where downward moves have historically struggled to continue (heuristic, not guaranteed).

T

Technical levels

Simple, interpretable levels (support/resistance candidates, Fibonacci retracements, moving averages) used to frame potential entry/exit zones.

Ticker

A short exchange symbol used to identify a tradable instrument.

Tracking fit

ETF scoring component intended to reflect how well the ETF matches its reference index (using InvestLens’ internal ETF/index mapping score).

Turnover

A measure of how frequently holdings change within a fund over time.

U

Universe

A selected set of assets (for example, US stocks, Canadian ETFs, a sector slice) used as the candidate pool for screening and ranking.

Universe Screener

A module that groups assets and ranks them within groups using component scores and a composite score.

V

VaR (Value at risk)

A threshold such that a selected percentage of returns (for example, 5%) are worse than that value, under a chosen method.

VIX

Commonly interpreted as a measure of the market’s expected near-term volatility (not “fear” in any strict mathematical sense). It measures the 30-day expected realized volatility as implied by option prices.

Valuation

A scoring component intended to reflect relative “cheapness” using common valuation multiples (for example, P/E and forward P/E).

Volatility

A statistical measure of how much returns vary over time, often measured as the standard deviation of returns (commonly annualized).

W

Weight

The portfolio allocation assigned to a holding, typically expressed as a fraction of total portfolio value. Weights sum to 1.0 (100%) in fully invested portfolios.

w_min / w_max

Per-asset minimum and maximum weight constraints used during portfolio construction or optimization.

Y

Yield

An income measure for an ETF, typically based on distributions. Used in the ETF income scoring component when available.

Z

Z-score

A standardized value computed as (value − mean) / standard deviation, expressing how far a value sits from the mean in units of standard deviation.