Glossary: terms starting with W

Rolling test of an optimization: weights are determined using only the data known up to that point and applied to the following months.

More: Efficient frontier: Markowitz portfolio optimization

An option on an underlying, securitized by a bank and tradable on an exchange. The issuer is the option writer, continuously quotes bid and ask prices and hedges its position. As with any debt security, you bear the issuer risk.

Example: Call warrant with a strike of $110 and a ratio of 0.1 for $0.53: break-even at expiry at 110 + 0.53 / 0.1 = $115.30.

Source: Bartram et al. (2008); Baule and Blonski (2015)

Methodology: Option pricer: how Portfolio Lab values options

Past prices do not help to predict future ones; technical analysis is then of no use. Momentum and trend following call this form into question.

Source: Fama (1970)

More: The efficient market hypothesis: why it is so hard to beat the market

The automated extraction of content from web pages by programs, e.g. job ads, prices or product reviews. In Germany, Section 44b UrhG (Copyright Act) permits text and data mining of lawfully accessible content as long as there is no machine-readable reservation; terms of use and data protection apply in addition.

Source: UrhG (1965); Proskauer Rose (2022)

More: Alternative data: job ads, Reddit, X, satellites and card payments

Experimental weekly index of the Bundesbank for real economic activity in Germany, based on data including electricity consumption, truck tolls, flights, search queries and card payments. It shows the trend-adjusted growth rate of the last 13 weeks compared with the 13 weeks before and is revised.

Source: Eraslan and Götz (2021); Bundesbank, weekly activity index (2026)

Methodology: Economic pulse: how Portfolio Lab calculates early indicators

Weekly index of real economic activity in the US by Lewis, Mertens and Stock, built from ten series such as retail sales, unemployment claims, steel production and electricity consumption, and scaled to year-on-year GDP growth. It has been published since 2020, now by the Federal Reserve Bank of Dallas.

Source: Lewis et al. (2022); Weekly Economic Index (Dallas Fed) (2026)

Methodology: Economic pulse: how Portfolio Lab calculates early indicators

Upper and lower limits per asset in an optimization. They work much like shrinkage of the covariance matrix and make the result more robust, even though in theory they are “wrong”.

Source: Jagannathan and Ma (2003)

Methodology: Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

The average of the cost of equity and the after-tax cost of debt, weighted by their shares in the financing. The DCF model uses this rate to discount the free cash flows.

Example: 80% equity at 9.1% and 20% debt at 5.0% with 28% tax: 0.8 × 9.1% + 0.2 × 3.6% = 8.0%.

Source: Damodaran (2012)

More: Fundamental analysis: valuing a company like an investor

Ongoing costs of a portfolio made up of several funds: each fund's TER times its share of the portfolio, summed up. It shows what the satellite holdings cost the overall portfolio and, compared with the core alone, how expensive the deviation is.

Example: 80% core at 0.20% and 20% satellites at 0.50% TER: 0.8 × 0.20% + 0.2 × 0.50% = 0.26%.

More: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Halbert White's bootstrap test of whether the best of many tested rules or forecasts beats a benchmark by more than chance. Peter Hansen's SPA test has greater power. Applied to technical trading rules on the Dow Jones, the best rule's edge did not recur out of sample.

Source: White (2000); Hansen (2005); Sullivan et al. (1999)

More: Technical analysis, chart patterns and candlesticks from a quant perspective

Regular withdrawals from invested capital, usually monthly; the rest stays invested and keeps working. Unlike with a lifelong annuity, the money can run out, but in return the remainder stays available and can be inherited.

More: Safe withdrawal rate: how good is the 4% rule? · Methodology: Methodology of the free calculators: FIRE, savings plan, withdrawal and leveraged ETF

Share of the starting wealth withdrawn each year, usually adjusted for inflation. The well-known 4% rule comes from William Bengen's work with US data (1994).

More: Safe withdrawal rate: how good is the 4% rule?

Tax that a country withholds on dividends and interest before they are paid to investors abroad, for example on US dividends paid to foreign investors. For single stocks, it can be credited at home up to the rate in the tax treaty; in a fund, it is incurred at fund level.

Reclaiming withholding tax that a country has retained in excess of the rate set in the double taxation agreement. This is only possible in the source country, usually with a form, a confirmation from the tax office and a deadline.

Example: Switzerland: 35% withheld, 15% credited at home, 35 − 15 = 20 percentage points refundable.

Source: ESTV (2026)

An equity portfolio that covers all countries roughly in line with their market capitalization, often including emerging markets and factor tilts. In German-speaking countries it is known mainly through Gerd Kommer.

Source: Kommer (2018)

More: World portfolio: the whole world in one or two ETFs

The counterparty's probability of default and the exposure rise together, for example when credit protection on a company is bought from a seller whose creditworthiness is closely tied to that company. If the two move in opposite directions, this is called right-way risk.

Source: Hull and White (2012)

More: Counterparty and issuer risk: CVA, ETCs, certificates and swaps