cfa level iii - combined total formula mini test
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CFA Level III - Combined Total Formula Mini TestTRANSCRIPT
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org Objectives
Return
Risk
Constraints
Time Horizon
Taxes
Liquidity
Legal & Regulatory
Unique circumstances
1
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
FV Annual Tax (Accrual) =
FV Wealth Based Tax =
FV Deferred Account =
FV Deferred CG (MV = Basis) =
FV Deferred CG (MV ≠ Basis) =
If only a % of cap gains recognized each year (PCG), find equivalent rates
r* = r* =
T* = T* =
%R After Tax =
Accrual Equivalent R After Tax =
Accrual Equivalent Tax rate =
Tax Drag % =
2
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
P (Joint Survival) yr n =
Core Capital Value yr n =
Real rf =
RV = T ig = T B =
RV After tax taxable gift = (if individual receiving pays)
RV After tax taxable gift = (if bequest pays)
T Exemption Method =
T Credit Method =
T Deduction Method =
T Source =
T Residence =
Operating Assets B =
B =
3
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.orgCov A,M =
Covariance MatrixCovariance
Equity Bonds
Equity
Bonds
Sensitivity (B) Equity Bonds
Market1
Market2
Cov 1,2 =
Jensen’s Alpha =
Treynor Measure =
Sharpe Ratio =
M2 =
Sortino Ratio =
Downside Deviation =
4
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Grinold Kroner E(R) Equity =
Bond yield plus risk premium approach:
Historical equity risk premium =
Expected equity risk premium =
Singer Terhaar E(R) approach:
ERP Full integration =
ERP Full segmentation =
ERP =
E(R) =
Taylor Rule -
R optimal =
PPP Exchange Rate =
Earnings Multiplier Approach:
Earnings multiplier =
5
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org Return estimate =
FCFE =
LT Growth Forecast =
Utility Risk Adjusted Return =
Roys Safety Criteria =
Optimal addition to new portfolio =
Corner Portfolio Theorem:
Req Return =
SAA =
No Constraint with Tangency Portfolio:
Req Return =
Variance with Int’l Portfolio = =
Variance FA = =
6
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.orgCurrency Contribution =
$ Return FA =
Tracking Risk = =
Portfolio spread duration =
Dollar Duration –
DD =
Rebalancing ratio =
Cash needed =
Contingent Immunization Strategy:
Required Terminal Value =
Required Assets at T =
Safety of Margin =
Mean Reversion Analysis =
7
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
N Futures for Target Duration =
Change in MV Foreign Bond =
Change in D Contribution Foreign Bond =
Levered Portfolio Return =
Levered Portfolio Duration =
Sample Leveraged = Portfolio Duration
Current Spread Payoff =
FX Prem / Disc =
FX Fwd =
Fwd Prem = 8
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Int’l Unhedged Return =
Int’l Hedged Return =
Yield Adv Nominal =
Yield Offset A = Yield Offset B =
Positive & Negative Convexity:
Price Increase Change =
Price Decrease Change =
2 Bond Hedge:
1) Price Change for
______ ______ _________________
2) Price Change for
______ ______ _________________
3) Solve for H2 and H10
Level:
9
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Twist:
Hedge ratio:
Active Return =
Misfit Return =
Total / Portfolio Active Risk =
IR =
IR =
Swap Price n:
Swap price =
Swap price =
Bootstrapping:
10
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
F 0,T =
F 0,T =
or
F 0,T = or F 0,T =
FV Storage Costs = =
Lease Rate =
Return C&C Non Loanable =
Return C&C Loanable =
X-Y-Z Crack Spread =
Notional Principal on Fwd =
Long FRA Pmt =
11
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Long FRA Pmt 0 =
Historical VAR:
5% VAR =
VAR Point =
Analytical VAR:
5% VAR =
1% VAR =
E(R) Weekly = Std Dev Weekly =
Variance Covariance VAR:
Fwd Asset Price =
Long Fwd Value =
12
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
FX Fwd Contract Value =
Credit Risk / Amount Owed =
P(R) Hedged =
Translation gain/loss =
Delta Hedge # of Option Contracts =
Change in Delta =
Option premium =
Long FX Option Contract Value / Profit =
Credit Risk / Amount Owed =
NF for Beta =
Return =
NF for Duration =
13
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Create Synthetic Position:
NF for Index =
$ Value for Synthetic = to invest in rf bonds
# of Synthetic Stk = Effective rate earned on interest rate swap:
1a) Interest rate payoff, call =
1b) Interest rate payoff, put =
2) FV option premium =
3) Interest income =
4) Effective rate earned =
Long Call VT = Long Put VT =
Short Call VT = Short Put VT =
Collar -
VT = PU,T =
Profit = Max Profit =
14
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.orgB/E = Max Loss =
Straddle -
VT =
Profit = Max Profit =
B/E = Max Loss =
Bull spread -
VT = PU,T =
Profit = Max Profit =
B/E = Max Loss =
Bear spread -
VT =
Profit = Max Profit =
B/E = Max Loss =
Butterfly call spread -
VT =
Profit = Max Profit =
B/E = Max Loss =
15
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.organd
B/E =
Box Spread -
VT =
Profit = Max Profit =
B/E = Max Loss =
Swap Notional =
Floating rate note i pmt =
D Floating Quarterly =
D Floating Semi-annual =
D Fixed =
D N year receive fixed, pay floating quarterly =
Effective spread, Buy =
Effective spread, Sell =
VWAP Price =
Estimated implicit costs, Buy = 16
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Estimated implicit costs, Sell =
Implementation Shortfall:
Active mgmt return =
Style return =
Information ratio = TWRR =
MWRR:
End value =
Annualized LIRR =
Micro Attribution:
Pure Sector =
Allocation/Selection =
Within Sector =
Macro Attribution:
Asset category =
Benchmark/misfit =
Manager/Active =
17
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Global Attribution:
Market allocation =
Currency allocation =
Security allocation =
% R CF End =
R Original Dietz =
R Modified Dietz =
Allocated Cash Beg period method =
Allocated Cash Strategic =
Income tax rate =
GIPS Total Return Real Estate =
18
CFA Level IIIFormula Sheet – Total Combined
http://www.cpa-cfa.org
Income Return ( ) =
Capital Return =
19