CFA

39 flashcards · Economics · by olaayeko

1. Do portfolio managers have to align with GIPS

   No it is voluntary

2. Continuously compounding formula

   FVN=PV.erN

3. PV of perpetuity

   Perpetual cash flowr{Perpetual\ {cash}\ {flow} \above{2pt} r}rPerpetual cash flow​

4. Money weighted return

   IRR of cash flows

5. Time weighted (geometric) return

   (∏i=1nxi)1N\bigg( \prod_{i=1}^n{x_i}\bigg)^{1 \over N}(∏i=1n​xi​)N1​

6. Harmonic mean

   ∑i=1n1xi \sum_{i=1}^n{1 \over x_i}∑i=1n​xi​1​

7. Chebyshev's inequality

   1−1k21- {1\over{k^2}}1−k21​

8. Positively skewed highest is mean lowest is mode

9. Kurtosis of normal distribution

   3

10. Kurtosis of leptokurtic

    >3 peak higher than normal

11. Kurtosis of platykurtic

    <3 excess kurtosis negative fat low peak

12. Correlation coefficient

    CovijσiσjCov_{ij}\over {\sigma_i \sigma_j} σi​σj​Covij​​

13. Portfolio variance (covariance)

    σA2wA2+σB2wB2+2wAwBCovAB\sigma_A^2{w}_A^2+ \sigma_B^2{w}_B^2 + 2w_Aw_BCov_{AB}σA2​wA2​+σB2​wB2​+2wA​wB​CovAB​

14. Portfolio variance (correlation)

    σA2wA2+σB2wB2+2wAwBpABσAσB\sigma_A^2{w}_A^2+ \sigma_B^2{w}_B^2 + 2w_Aw_Bp_{AB}\sigma_A\sigma_BσA2​wA2​+σB2​wB2​+2wA​wB​pAB​σA​σB​

15. Binomial distribution p(x)

    nCr×px×(1−p)n−x_nC_r \times p^x \times (1-p)^{n-x}n​Cr​×px×(1−p)n−x

16. Variance p(x)

    n \times p \times (1-p)

17. Standard normal variable (z)

    x−μσ{x - \mu } \over {\sigma}σx−μ​

18. Shortfall/Safety ratio

    E(Rp)−RLσp{E(R_p)-R_L \over {\sigma_p}}σp​E(Rp​)−RL​​

19. Continuously compounding rate of return

    ln⁡(St+1St)\ln\bigg( {S_t+1 \over S_t} \bigg)ln(St​St​+1​)

20. Standard error

    σn\sigma \over \sqrt {n} n ​σ​

21. Confidence interval

    Point estimate ± (Reliability factor x Standard Error)

22. Test statistic (Means)

    Sample statistic−Hypothesized valueStandard error of sample statisticSample \, statistic - Hypothesized \, value \over {Standard\,error\,of\,sample\,statistic}StandarderrorofsamplestatisticSamplestatistic−Hypothesizedvalue​

23. Chi Square

    (n−1)s2σ2{(n-1)s^2\over\sigma^2}σ2(n−1)s2​

24. F statistic

    S12S22S_1^2\over S_2^2S22​S12​​

25. Capital allocation line

    Rf+(E(Ra)−Rfσa)×σaR_f + \bigg({E(R_a)-R_f \over \sigma_a } \bigg) \times \sigma_aRf​+(σa​E(Ra​)−Rf​​)×σa​

26. The slope of the capital allocation line represents sharp ratio of individual portfolio

27. Capital market line

    Rf+(E(Rm)−Rfσm)×σp R_f + \bigg({E(R_m)-R_f \over \sigma_m } \bigg) \times \sigma_p Rf​+(σm​E(Rm​)−Rf​​)×σp​

28. The slope of the capital market line represents sharp ratio of market portfolio

29. Beta formula

    Cov(Ri,Rm)σm2Cov(R_i, R_m) \over \sigma_m^2σm2​Cov(Ri​,Rm​)​

30. CAPM

    E(Ri)=rf+βi[E(Ri)−Rf]E(R_i) = r_f + \beta_i [E(R_i)-R_f]E(Ri​)=rf​+βi​[E(Ri​)−Rf​]

31. SML

    Represents values of CAPM graphically, the expected return at various values of Beta

32. M2

    (Rportfolio−Rf)×σmarketσportfolio−(Rmarket−Rf)(R_{portfolio}-R_f) \times{\sigma_{market} \over \sigma_{portfolio}} - (R_{market} - R_f) (Rportfolio​−Rf​)×σportfolio​σmarket​​−(Rmarket​−Rf​)

33. Treynor measure

    Rportfolio−RfBetaR_{portfolio} - R_f \over BetaBetaRportfolio​−Rf​​

34. Jensen's Alpha

    Rp−[Rf+βp(RM−Rf)]R_p - [ R_f + \beta_p (R_M-R_f)]Rp​−[Rf​+βp​(RM​−Rf​)]

35. Profit maximisation occurs when ..

    MR = MC

36. Own price elasticity

    (ΔQxdΔPx)(PxQxd)\bigg({\Delta Q^d_x \over \Delta P_x}\bigg) \bigg({P_x \over Q_x^d}\bigg)(ΔPx​ΔQxd​​)(Qxd​Px​​)

37. Relationship between savings investment etc

    I + (G-T) + (X-M)

38. Quantity theory of money

    Money supply x Velocity = Inflation x GDP

39. GDP

    I + G + (X-M)