Expected Returns: An Investor's Guide to Harvesting Market Rewards

Abbreviations and acronyms

AM	Arithmetic Mean
ATM	At The Money (option)
AUM	Assets Under Management
BEI	Break-Even Inflation
BF	Behavioral Finance
B/P	Book/Price, book-to-market ratio
BRP	Bond Risk Premium, term premium
B-S	Black–Scholes
C-P BRP	Cochrane–Piazzesi Bond Risk Premium
CAPM	Capital Asset Pricing Model
CAY	Consumption wealth ratio
CB	Central Bank
CCW	Covered Call Writing
CDO	Collateralized Debt Obligation
CDS	Credit Default Swap
CF	Cash Flow
CFNAI	Chicago Fed National Activity Index
CFO	Chief Financial Officer
CMD	Commodity (futures)
CPIyoy	Consumer Price Inflation year on year
CRB	Commodity Research Bureau
CRP	Credit Risk Premium (over Treasury bond)
CRRA	Constant Relative Risk Aversion
CTA	Commodity Trading Advisor
DDM	Dividend Discount Model
DJ CS	Dow Jones Credit Suisse
DMS	Dimson–Marsh–Staunton
D/P	Dividend/Price (ratio), dividend yield
DR	Diversification Return
E( )	Expected (conditional expectation)
EMH	Efficient Markets Hypothesis
E/P	Earnings/Price ratio, earnings yield
EPS	Earnings Per Share
ERP	Equity Risk Premium
ERPB	Equity Risk Premium over Bond (Treasury)
ERPC	Equity Risk Premium over Cash (Treasury bill)
F	Forward price or futures price
FF	Fama–French
FI	Fixed Income
FoF	Fund of Funds
FX	Foreign eXchange
G	Growth rate
GARCH	Generalized AutoRegressive Conditional Heteroskedasticity
GC	General Collateral repo rate (money market interest rate)
GDP	Gross Domestic Product
GM	Geometric Mean, also compound annual return
GP	General Partner
GSCI	Goldman Sachs Commodity Index
H	Holding-period return
HF	Hedge Fund
HFR	Hedge Fund Research
HML	High Minus Low, ...