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8/18/2019 CFAI formulas Level 3
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To calculate CPPI strategies (equation)
Cash fow at the beginning o the evaluation period (equation)
Cash fow at the end o the evaluation period (equation)
Sources o return (equation)
M!! (equation)
Sharpe !atio (equation)
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Incre"ental return to the asset categor# level (equation))
Incre"ental return to the bench"ar$ level (equation)
)
!eturn to the invest"ent "anagers level (equations)
!eturn to the invest"ent "anagers level (equations)
SM% (equation)
&' post alpha (equation)
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Inor"ation ratio (equation)
Tre#nor "easure (equation)
M "easure (equation)
Purel# do"estic portolio return (equation)
lobal portolio return (equation)
*o"estic return on a global portolio (equation)
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Currenc# e+ect or "ar$et , (equation)
Mar$et return or the portolio in local currencies (equation)
Securit# selection e+ect (equation)
lobal return deco"position (equation)
-ench"ar$ do"estic return (equation)
Mar$et allocation contribution (M.C) (equation)
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Swap Price &quation
Swap Price &quation
1inancial settle"ents o interets rate swaps and co"odit# swaps equation
settle"ent 2 (di+ between 3'ed and "ar$et values) ' (notional principal)
!ange o no/arbitrage prices or orwards (equation
-asic e'pression relating orward and spot prices (equations / "ultiple)
Inor"ation ratio (I!p) equation)
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4.! equation
*ail#5 "onthl# standard deviation equations
Sharpe ratio equation6
Sortino ratio (equation
!eturn over "a'i"u" drawdown equation (!oM.*)
7pti"al hedge ratio (h) equation
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*elta (equation
-eta (equation)
8u"ber o contracts (equation)
9 &quit# contracts (equation)
9 &quit# inde' contracts (equation)
9 o contracts 3'ed inco"e (equation)
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a""a (equation)
*uration o the portolio plus a swap position (equation)
Solving or swap 8P (equation)
*ollar duration o a bond or portolio (equation)
** 2 /("odi3ed or e+ective duration)(deci"al change in interest rates)(price)
!ebalancing ratio (equation
%everaged equit# duration (equation)
Target dollar duration (equation)
**t 2 **p : **utures
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*ollar interest on a repo (equation
*ollar duration o a utures contract (equation)
8u"ber o contracts to ad,ust portolio dollar duration (equation)
8u"ber o contracts or co"plete hedge (equation)
0edge ratio (equation)
Pa#o+ to a credit spread orward (equation)
.ppro'i"ate orward pre"iu" or discount (equation)
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Covariance o two "ar$ets (equation)
Price o a stoc$ at ti"e ; (equation)
rinold/
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&quit# ris$ pre"iu" or "ar$et i (equation)
Target interest rate to achieve neutral rate (equation)
Cobb/*ouglas unction (= change) equation)
Solow residual (equation
0/"odel (equation)
Constant growth "odel (equation)
1ed "odel (equation)
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!eturn ro" a oreign asset (equation)
Contribution o currenc# ris$ (equation)
Invest"ent inco"e ta' (accrual ta'es) equation)
*eerred capital gains ta' (M42cost basis) equation
*eerred capital gains ta' (M4 not 2 cost basis) equation
ealth/based ta' (equation
!eturn ater realiDed ta'es (equation)
&+ective capital gains ta' rate (equation)
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1uture value interest actor ater all ta'es (equation)
.ccrual equivalent ater/ta' return (equation)
.ccrual equivalent ta' rate (equation)
1uture value interest actor or a ta' deerred account (equation)
1uture value interest actor or a ta'/e'e"pt account (equation)
0u"an capital at ti"e t (equation)
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7b,ective unction or allocation o ris$# assets (equation)
!elative ater ta' value o ta' ree git (equation)
!elative ater ta' value o ta'able git (equation)
!elative ater ta' value o ta'able git donor pa#s ta'es (equation)
!elative ater ta' value o charitable donation (equation)
eneration s$ipping uture value (no s$ipping) equation)
eneration s$ipping uture value (w? s$ipping) equation
*ouble ta'ation e+ective ta' rate (equation
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