CFAI formulas Level 3

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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CFAI formulas Level 3