[PDF] CFA Formula Booklet 1 - ICICI Direct PDF ICFLCFABooklet.pdf

Handbook for Formulas List of formulas for Level 1 CFA® Program Bond equivalent yield= {(1+ effective annual yield)1/2-1} * 2 13 Geometric Mean=

page 46 page 69 Equity and Fixed Income, CFA Program 2013 Curriculum, Volume 5 (CFA Institute, 2012) 56 Introduction to the Valuation of Debt Securities

[PDF] Fixed-Income Securities: Defining Elements

Page 1 The following is a review of the Fixed Income: Basic Concepts principles designed to address the learning outcome statements set forth by CFA Institute

[PDF] Fixed Income Analysis Workbook

CFA Institute is the premier association for investment professionals around the world 1 Fixed-income securities I Fabozzi, Frank J Fixed income analysis for

[PDF] Level 2 Book 4pdf

CFA Institute (formerly the Association for Investment Management and Research ) does not Book 4 - Alternative Investments and Fixed Income Readings and price per share applying the venture capital method 1) with single and multiple

[PDF] BOOK 4 – ALTERNATIVE ASSET VALUATION AND FIXED INCOME

Study Session 14 – Fixed Income: Valuation Concepts SchweSerNoteS™ 2011 cFA LeveL 2 Book 4: ALterNAtive ASSet vALuAtioN ANd Figure 1: Real Estate Investment Characteristics1 (Continued) Shopping

[PDF] Fixed Income I - Corporate Rishi

RIFT/CFA/Level 1/fixed income basic concepts /SS15 BOND PRICES AND THE TIME VALUE OF MONEY Bond Pricing with a Market Discount Rate The value

[PDF] CFA Formula Booklet 1 - ICICI Direct

Handbook for Formulas List of formulas for Level 1 CFA® Program Bond equivalent yield= {(1+ effective annual yield)1/2-1} * 2 13 Geometric Mean=

[PDF] FIXED-INCOME PORTFOLIO MANAGEMENT-PART II

Study Session 10 Cross-Reference to CFA Institute Assigned Reading #25 - Fixed-Income Portfolio Management-Part II Page 70 Figure 1: Leveraged Returns

[PDF] 2013-CFA-L3-notes-9-Management-of-Passive-and-Active-Fixed

SCHWESERNOTES™ 2013 CFA LEVEL III BOOK 3: FIXED INCOME 1 compare risk minimization with return maximization in immunized portfolios ( page 39)

[PDF] cfa level 1 probability questions

[PDF] cfa level 1 quantitative methods pdf

[PDF] cfa question of the day level 1

[PDF] cgi france 92400 courbevoie

[PDF] cgos hauts de france cheque culture

[PDF] chaine eulérienne

[PDF] chaîne france 3 occitanie sfr

[PDF] chair exercises for abs

[PDF] challenges of doing business in china

[PDF] champ gravitationnel exercices corrigés terminale

[PDF] champ magnétostatique exercices corrigés

[PDF] champion de france cyclisme route 2019

[PDF] championnat france cyclisme route 2019

[PDF] champions league history

[PDF] change font latex times new roman

Handbook for

Formulas

List of formulas for

Level 1

CFA

Program

TIME VALUE OF MONEY

1 Nominal interest rate= real risk-free rate + expected inflation rate 2 Required interest rate on security= nominal risk-free rate + default risk premium+ liquidity premium + maturity risk premium 3 Effective Annual Return (EAR)= EAR=(1+periodic rate) m -1

Periodic rate= stated annual rate/m

M= number of compounding periods per year

FV= future value

PV= Present value

I/Y=Rate of return per compounding period

N=Number of compounding periods

CF= Expected cash flow

r =Discount rate

IRR= Internal rate of return.

HPR= Holding period return

RBD= D/F*360/t

RBD= Annualised yield on a bank discount basis

D=Dollar discount= purchase price - face value

F=Face value

t=Number of days until maturity

360=Bank convention of number of days in a year4

FV= PV(1+ I/Y)

5PV perpetuity = PMT (I/Y)

6 PV= N Y 1+IFV

PMT= Fixed periodic cash flow

DISCOUNTED CASH FLOW APPLICATION

CF (1+r) t 7IRR 8 9

Effective Annual Yield (EAY)= (1+HPY)

365/t
-1

HPY= Holding period yield10HPR=

CF1 (1+IRR)CF2 (1+IRR) 2 (Ending Value-Beginning Value) (Beginning Value) CF3 (1+IRR) 3

0=CF+++

Centre for Financial Learning

11RMM= 360/days*HPY

RMM=Money market yield

12 Bond equivalent yield= {(1+ effective annual yield) 1/2 -1} * 2

13Geometric Mean= [(1+R1)(1+R2).... (1+Rn)]

1/n -1 Geometric mean return is also known as compound annual rate of return

14 Harmonic Mean=

N n15 Position of observation at a given percentile

16 Range= Maximum Value- Minimum Value

18 Population Variance

19 Standard Deviation

= square root of variance

20 Sample Variance

Coefficient of Variation17 Mean Absolute Deviation (MAD)=

N(∑(Xi-μ)

2 2

N-1(∑(Xi-μ)

2 2 (standard deviation of x) (average value of x)CV= (Rp-RFR) p 3 S 3

Sharpe Ratio=

s =sample standard deviation

Ly=(n+1)

y 100
21

Chebyshev's Inequality

Percentage of observations that lie within k standard deviations of the m ean is at least= 1-1/k 2

Rp= Portfolio Return

RFR= Risk Free Rate

p= standard deviation of portfolio return22

Excess Kurtosis= Sample Kurtosis - 3

2623

Sample Skewness (Sk) =

24
4 S 4

Sample Skewness (Sk) = 25

Centre for Financial Learning

PROBABILITY CONCEPTS

COMMON PROBABILITY DISTRIBUTIONS27

Multiplication Rule Of Probability,

P(AB)=P(A/B)*P(B)

Addition Rule Of Probability,

P(A or B)= P(A)+P(B)-P(AB)

29Total Probability Rule (Used to determine unconditional probability of an even

30Expected value of random variable= weighted average of possible outcomes

, Weights = probabilities that the outcome will occur 31

Covariance

Cov(Ri, Rj)= E{[Ri-E(Ri)][(Rj-E(Rj)]}

Cov(Ri, Rj)= Corr(Ri, Rj) σ(Ri)σ(Rj)

Correlation Cofficient

Weight of asset in portfolio,

w= market value of investment in asset i/market value of the portfolio 34

Portfolio Expected Value

E(Rp)=w1E(R1) + w2E(R2)+...... wnE(Rn)

35Variance of 2 Asset Portfolio

Variance of 3 asset Portfolio

Bayes Formula,

Updated Probability=( Probability of new information for a given event / unconditional probability of new event )*(prior probability of event) 38

Factorial

n! = n*(n-1)*(n-2)*(n-3)...... *1 0!=1

39Labelling,n! / (n1!)(n2!).... ( nn!)

40Combination,n Cr=n! /(n-r)!r!

Permutation,

n! /(n-r)! 42

To standardize a normal variable,Corr(Ri,Rj)=

(Cov(Ri,Rj)) (Ri) (Rj)) z= (Observation - Population Mean) (Standard Deviation)

Centre for Financial Learning

43Roy's safety first criteria,

Continuously compounded rate of return,

Rcc=ln(1+HPR)

Standard Error of sample Mean,

x= = Standard deviation of population n=Size of the sample 46
t-distribution to construct a confidence interval,

When variance is unknown,

x=t /2

When variance is known,

x=t /2 x= Point estimate of population mean t /2 =The t-reliability factor 48
t-statistic

When population variance is unknown,

49
When population variance is known,47**Choose the portfolio with largest SFR SFR= ([E(Rp)-Rl]) p)

Test Statistic=(Sample Mean - Hypothesized Mean)

(Standard Error of Sample Mean) TRIN=(Number of advancing Issues / Number of declining issues) (Volume of advancing issues / Volume of declining issues)

SAMPLING AND ESTIMATION

quotesdbs_dbs6.pdfusesText_11

[PDF] [PDF] CFA Formula Booklet 1 - ICICI Direct

Handbook for

Formulas

List of formulas for

Level 1

Program

TIME VALUE OF MONEY

Periodic rate= stated annual rate/m

M= number of compounding periods per year

FV= future value

PV= Present value

I/Y=Rate of return per compounding period

N=Number of compounding periods

CF= Expected cash flow

IRR= Internal rate of return.

HPR= Holding period return

RBD= D/F*360/t

RBD= Annualised yield on a bank discount basis

D=Dollar discount= purchase price - face value

F=Face value

360=Bank convention of number of days in a year4

FV= PV(1+ I/Y)

5PV perpetuity = PMT (I/Y)

PMT= Fixed periodic cash flow

DISCOUNTED CASH FLOW APPLICATION

Effective Annual Yield (EAY)= (1+HPY)

HPY= Holding period yield10HPR=

0=CF+++

Centre for Financial Learning

11RMM= 360/days*HPY

RMM=Money market yield

13Geometric Mean= [(1+R1)(1+R2).... (1+Rn)]

14 Harmonic Mean=

16 Range= Maximum Value- Minimum Value

18 Population Variance

19 Standard Deviation

20 Sample Variance

N(∑(Xi-μ)

N-1(∑(Xi-μ)

Sharpe Ratio=

Ly=(n+1)

Chebyshev's Inequality

Rp= Portfolio Return

RFR= Risk Free Rate

Excess Kurtosis= Sample Kurtosis - 3

Sample Skewness (Sk) =

Sample Skewness (Sk) = 25

Centre for Financial Learning

PROBABILITY CONCEPTS

COMMON PROBABILITY DISTRIBUTIONS27

Multiplication Rule Of Probability,

P(AB)=P(A/B)*P(B)

Addition Rule Of Probability,

P(A or B)= P(A)+P(B)-P(AB)

29Total Probability Rule (Used to determine unconditional probability of an even

30Expected value of random variable= weighted average of possible outcomes

Covariance

Cov(Ri, Rj)= E{[Ri-E(Ri)][(Rj-E(Rj)]}

Cov(Ri, Rj)= Corr(Ri, Rj) σ(Ri)σ(Rj)

Correlation Cofficient

Weight of asset in portfolio,

Portfolio Expected Value

E(Rp)=w1E(R1) + w2E(R2)+...... wnE(Rn)

35Variance of 2 Asset Portfolio

Variance of 3 asset Portfolio

Bayes Formula,

Factorial

39Labelling,n! / (n1!)*(n2!)*.... ( nn!)

40Combination,n Cr=n! /(n-r)!r!

Permutation,

To standardize a normal variable,Corr(Ri,Rj)=

Centre for Financial Learning

43Roy's safety first criteria,

Continuously compounded rate of return,

Rcc=ln(1+HPR)

Standard Error of sample Mean,

When variance is unknown,

When variance is known,

When population variance is unknown,

Test Statistic=(Sample Mean - Hypothesized Mean)

39Labelling,n! / (n1!)(n2!).... ( nn!)