Cfa L3 Formula Quizlet

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CFA 3 formulas (copied)
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1.

# Equity contracts (equation):

10.

Basic expression relating forward and spot prices (equations - multiple):

2.

# Equity index contracts (equation):

3.

# of contracts fixed income (equation):

4.

2-period return to active management (equation):

11.

Benchmark domestic return (equation):

5.

Accrual equivalent after-tax return (equation):
12.

Beta (equation):

6.

Accrual equivalent tax rate (equation):
13.

Beta for stock i (equation):

7.

Annual Hedge Fund Sharpe Ratio:
14.

Breakeven yield change (equation):

8.

Approximate forward premium or discount (equation):

15.

Cash flow at the beginning of the evaluation period (equation):

9.

Asset beta (equation):

16.

Cash flow at the end of the evaluation period (equation):

17.

Cobb-Douglas function (% change) equation:

18.

Constant growth model (equation):

31.

Domestic return on a global portfolio (equation):

32. 19.

Contribution of currency risk (equation):
33.

Double taxation effective tax rate (equation):

Duration of the portfolio plus a swap position (equation):

20.

Correlation of stock i with the market (equation):
34.

Effective capital gains tax rate (equation):

21.

Covariance of two markets (equation):
35.

Endowment spending rules (equations - multiple):

22.

Currency allocation contribution (equation):

36. 23.

Equity q (equation):

Currency effect for market j (equation):
37.

Equity risk premium for market i (equation):

24.

Daily, monthly standard deviation equations.:
38.

Ex post alpha (equation):

25.

Deferred capital gains tax (MV not = cost basis) equation:
39.

Expected bond return (equation):

26.

Deferred capital gains tax (MV=cost basis) equation:
40.

Fed model (equation):

27.

Delta (equation):

41.

Financial settlements fo interets rate swaps and comodity swaps equation: settlement = (diff between fixed and market values) x (notional principal)

28.

Dollar duration of a bond or portfolio (equation): DD = (modified or effective duration)(decimal change in interest rates)(price) 42.

Future value interest factor after all taxes (equation):

29.

Dollar duration of a futures contract (equation):
43.

Future value interest factor for a tax deferred account (equation):

30.

Dollar interest on a repo (equation):

44.

Future value interest factor for a tax-exempt account (equation):

55.

Incremental return to the asset category level (equation):

45.

Gamma (equation): Incremental return to the benchmark level (equation):

56. 46.

Generation skipping future value (no skipping) equation:

47.

Generation skipping future value (w/ skipping) equation:

57.

Information ratio (equation):

48.

Global portfolio return (equation):

58.

Information ratio (equation):

49.

Global return decomposition (equation):

59.

Information ratio (IRp) equation:

50.

Grinold-Kroner expected return on equity (equation):
60.

Investment income tax (accrual taxes) equation:

51.

H-model (equation):

61.

Leverage-adjusted duration gap (equation):

52.

Hedge ratio (equation):

62.

Leveraged equity duration (equation):

53.

Human capital at time t (equation):
63.

M2 measure (equation):

54.

ICAPM (equation):
64.

Market allocation contribution (MAC) (equation):

65.

Market return for the portfolio in local currencies (equation):

77.

Purely domestic portfolio return (equation):

78.

Range of no-arbitrage prices for forwards (equation):

66.

Market volatility (equation):
79.

Rebalancing ratio (equation):

67.

Micro performance attribution (equation):

80. 68.

Relative after tax value of charitable donation (equation):

MWRR (equation):

69.

Number of contracts (equation):

81.

Relative after tax...
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