Single-index model

Single-index model Related:
Single-premium deferred annuity An insurance policy bought by the sponsor of a for a single . In return, the insurance company agrees to make lifelong payments to the employee (the policyholder) when that employee retires.

Single-index model
A model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors. Related: Market Model
Single option ...

This relationship is sometimes called the single-index model. Market Neutral In the context of hedge funds, a style of management that has long and short equity exposure with nearly exposure on average to fluctuations in the market.

This relationship is sometimes called the single-index model. Market-on-Close (MOC) order An order to trade stocks, options, or futures as close as possible to the market close. Market opening The start of formal trading on an exchange.

Market model This relationship is sometimes called the single-index model. The market model says that the return on a security depends on the return on the market portfolio and the extent of the security's responsiveness as measured, by beta.

where the random terms are normally distributed with mean 0, standard deviation σi, and are mutually uncorrelated. (This is the so-called Diagonal Model of Stock Returns, or Single-index model due to Sharpe).

A model of security returns that acknowledges only one common factor. The single factor is usually the market return. See: Factor model.
Single-index model ...

The return also depends on conditions that are unique to the firm. The market model can be graphed as a line fitted to a plot of asset returns against returns on the market portfolio. This relationship is sometimes called the single-index model.

See also: Capital structure, Asset pricing model, Market model, Capital asset pricing model, Expected return