《CFA level 1level II 公式表.doc》由会员分享，可在线阅读，更多相关《CFA level 1level II 公式表.doc（44页珍藏版）》请在三一办公上搜索。
1、CFA公式表-Level IEthical and Professional Standards1. Professionalisma) Knowledge of the Lawb) Independence and objectivityc) Misrepresentationd) Misconduct2. Integrity of Capital Marketsa) Material Nonpublic Informationb) Market Manipulation3. Duties to Clientsa) Loyalty, Prudence, and Careb) Fair Dea
2、lingc) Suitabilityd) Performance Presentatione) Preservation of Confidentiality4. Duties to Employersa) Loyaltyb) Additional Compensation Arrangementsc) Responsibilities of Supervisors5. Investment Analysis, Recommendations, and Actiona) Diligence and Reasonable Basisb) Communication with Clients an
3、d Prospective Clients.c) Record Retention6. Conflicts of Interesta) Disclosure of Conflictsb) Priority of Transactionsc) Referral Fees.7. Responsibilities as a CFA Institute Member or CFA Candidatea) Conduct as Members and Candidates in the CFA Programb) Reference to CFA Institute, the CFA designati
4、on, and the CFA Program.Global Investment Performance Standards (GIPS)1. Compliance Statement:” Insert name of firm has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS).” Compliance must be applied on a firm-wide basis.2. Eight sections:a) Fund
5、amentals of complianceb) Input datac) Calculation methodologyd) Composite constructione) Disclosuresf) Presentation and reportingg) Real estateh) Private equityQUANTITATIVE METHODS1. Time Value of Money Basicsa) Future Value (FV): amount to which investment grows after one or more compounding period
6、s.b)c) Present Value (PV): current value of some future cash flow d)e) Annuities: series of equal cash flows that occur at evenly spaced intervals over time.f) Ordinary annuity: cash flow at end-of-time period.g) Annuities due: cash flow at beginning-of-time period.h) Perpetuities: annuities with an
7、 infinite life i)2. Meansa) Arithmetic mean: sum of all observation values in sample/population, divided by # of observations.b) Geometric mean: used when calculating investment returns over multiple periods or to measure compound growth rates.c) Geometric mean return:Harmonic mean = 3. Variance and
8、 Standard Deviationa) Variance: average of squared deviations from mean.b) Population variance = c) Sample variance = d) Standard deviation: square root of variance.4. Holding Period Return (HRP) 5. Coefficient of Variationa) Coefficient of variation (CV): express how much dispersion exists relative
9、 to mean of a distribution; allows for direct comparison of dispersion across different data sets. CV is calculated by dividing standard deviation of a distribution by the mean or expected value of the distribution.b)6. Sharpe Ratioa) Sharpe Ratio: measures excess return per unit of risk.b) Sharpe R
10、atio = c) Roys safety first ratio: 7. Expected Return/Standard Deviationa) Expected return: b) Probabilistic variance:c) Standard deviation: take square root of variance.8. Correlation and Covariancea) Correlation = covariance divided by product of the two standard deviations.b) Expected return, var
11、iance of 2-stock portfolio:9. Normal Distributionsa) Normal distribution is completely described by its mean and variance.68% of observations fall within 90% fall within 95% fall within 99% fall within 10. Computing Z-scoresa) Z-score: “standardizes” observation from normal distribution; represents
12、# of standard deviations a given observation is from population mean. 11. Binomial Modelsa) Binomial distribution: assumes a variable can have one of two values (success/failure) or, in the case of a stock, movements (up/down). A Binomial Model can describe changes in the value of an asset or portfo
13、lio; it can be used to compute its expected value over several periods.12. Sampling Distributiona) Sampling distribution: probability distribution of all possible sample statistics computed from a set of equal-size samples randomly drawn from the same population. The sampling distribution of the mea
14、n is the distribution of estimates of the mean.13. Central Limit Theorema) Central limit theorem: when selecting simple random samples of size n from population with mean and finite variance 2, the sampling distribution of sample mean approaches normal probability distribution with mean and variance
15、 equal to2、/n as the sample size becomes large.14. Standard Errora) Standard error of the sample mean is the standard deviation of distribution of the sample means.Known population variance: Unknown population variance: 15. Confidence Intervalsa) Confidence interval: gives range of values the mean v
16、alue will be between, with a given probability (say 90% or 95%). With known variance, formula for a confidence interval is:=1.645 for 90% confidence intervals (significance level 10%, 5% in each tail)=1.960 for 95% confidence intervals (significance level 5%, 2.5% in each tail)=2.575 for 99% confide
17、nce intervals (significance level 1%, 0.5% in each tail)16. Criteria for selecting the appropriate test statisticWhen sampling from a:Test statisticSmall sample (n30)Normal distribution with known variancez-statisticz-statisticNormal distribution with unknown variancet-statistict-statisticNonnormal
18、distribution with known varianceNot availablez-statisticNonnormal distribution with unknown varianceNot availablet-statistic17. Null and Alternative Hypothesesa) Null hypothesis (): hypothesis the researcher wants to reject; the hypothesis that is actually tested; the basis for selection of the test
19、 statistics.b) Alternative hypothesis (): concluded if there is sufficient evidence to reject the null hypothesis.18. Difference between One & Two-Tailed Testsa) One-tailed test: tests whether value is greater than or less than a given number.b) Two-tailed test: tests whether value is equal to a giv
20、en number.E.g. One-tailed test: versus E.g. Two-tailed test: versus 19. Type I And Type II Errorsa) When hypothesis testing, two possible errors:i. Type I error: rejection of null hypothesis when it is actually true.ii. Type II error: failure to reject null hypothesis when it is actually false.20. R
21、egression Equationa) General form of linear regression model:l Andare the observation of the dependent and independent variables, respectively.l = intercept term (represents the value of if is zero).l = slope coefficient (measures the change in for a one unit change in ).l = residual error of the ob
22、servation.Test of r=0: MACROECONOMICS1. Inflationa) Inflation rate: rate of change in price index over given period of time 2. Labor market indicatorsa) Unemployment rate: b) Labor force participation rate: c) Employment-to-population ratio: 3. Unemploymenta) Frictional: economic changes prevent mat
23、ching qualified workers with job openings.b) Structural: the unemployment works do not currently have the skills needed to perform the newly created jobs. c) Cyclical: caused by changes in the general level of economic output. 4. Schools of Macroeconomic Thoughta) Classical: shifts in AD and AS driv
24、en by technology changes; money wages adjust rapidly to restore equilibrium.b) Keynesian: shifts in AD caused by changes in expectations; wages are “downward sticky;” use fiscal and monetary policy to increase AD and restore equilibrium.c) Monetarist: monetary policy is the main factor leading to bu
25、siness cycles; central bank should increase money supply at predictable rate. 5. Timing of Fiscal policya) Time lags:i. Recognitionii. Administrativeiii. Impactb) Automatic stabilizers:i. Induced taxesii. Needs-tested spending6. Monetary Policya) Deposit expansion Multiplier=b) Fed controls money su
26、pply three ways:i. Reserve requirementsii. Open market operations-most usediii. Discount rate.MICROECONOMICS1. Elasticity of Demanda) Price elasticity of demand=If absolute value 1, demand is elastic; if absolute value 1, demand is inelastic.Price elasticity has two main determinants:l Availability
27、of substitutesl Share of budget spent on productb) Elasticity of demand and supply is greater in the long run.2. Accounting Costs vs. Economic Costsa) Accounting costs include firms explicit costs;b) Economic costs include both explicit/implicit costs (opportunity cost of equity capital).3. Short ru
28、n vs. long run: in short run, size of plant/equipment cannot be changed. In long run, all resources (costs) are variable.4. Law of diminishing returns: as more resources are devoted to production process, they increase output but at ever-decreasing rate.5. Competitive Modelsa) Price taker accepts ma
29、rket price to sell product.b) Price searcher seeks price that maximizes profit.c) Pure competition:l Large number of independent firms.l All firms produce a homogeneous product.l Each seller is small relative to the market.l No barriers to entry.d) Monopolistic competition:l Large number of independ
30、ent firms.l Each firm produces a differentiated product.l Low barriers to entryl Demand is highly elastic.e) Monopoly is a market where one firm sells a well-defined product that has no good substitutes and high entry barriers. Oligopoly is a similar structure but has a small number of firms.f) Any
31、firm will maximize profits by expanding output until marginal revenues=marginal cost.6. Marginal Revenue Producta) If a firm uses an additional unit of an input, increase in output is marginal product (MP) of last unit of resource employed. Increase in revenue from producing/selling marginal product
32、 is the marginal revenue product (MRP). Profit- maximizing firms will increase use of each resource until MRP= price of the resource.INTERNATIONAL ECONOMICS1. Foreign Exchangea) Direct quotes: domestic currency (DC) per foreign currency (DC/FC).b) Bid-ask spread stated as percent of asking price:% s
33、pread = c) Foreign currency is at forward discount (premium) if forward rate is blow (above) spot rate, using direct quotes:Forward Prem or Disct = d) Currency appreciates/depreciate due to:i. Relative income growth rates.ii. Relative rates of inflation.iii. Changes in real interest rates.2. Interes
34、t Rate Parity (IRP)a) If you can borrow in low interest rate country, and lend those borrowed funds at a higher rate in another country, the forward exchange rate must adjust to offset interest difference. (Note: S and F are DC/FC)IRP must hold due to arbitrage opportunities.3. Purchasing Power Pari
35、ty (PPP)a) The law of one price: identical goods should have same price in all locations. Absolute PPP asks if law of one price is correct on average. Relative PPP requires that exchange rate changes be proportion to price level changes (i.e. differences in inflation).Formula for relative PPP: FINAN
36、CIAL STATEMENT ANALYSIS1. Revenue Recognitiona) Two requirements:i. Completion of earnings processii. Assurance of paymentb) Revenue recognition methods:i. Sales basis methodii. Percentage-of-completion methodiii. Completed contract methodiv. Installment sales.v. Cost recovery method2. Unusual or In
37、frequent Itemsa) Gains/losses from disposal of a business segmentb) Gains/losses from sale of assets or investments in subsidiariesc) Provisions for environmental remediation.d) Impairments, write-offs, write-downs, and restructuring costs.e) Integration expenses associated with businesses recently
38、acquired.3. Extraordinary Itemsa) Similar to unusual/infrequent items, except extraordinary items are both unusual and infrequent in occurrence, and material in nature. (e.g., losses from expropriation of assets).4. Discontinued Operationsa) To be accounted for as discontinued operation, a business
39、assets, operations, investing, financing activities must be physically/operationally distinct from rest of firm. Income/losses are reported net of tax after net income from continuing operations.5. Compute Cash Flow From Operations (CFO)a) Direct method: start with cash collections (cash equivalent
40、of sales); cash inputs (cash equivalent of cost of goods sold); cash operating expenses; cash interest expense; cash taxes.b) Indirect method: start with net income, subtracting back gains and adding back losses resulting from financing or investment cash flows, adding back all non-cash charges, and
41、 adding and subtracting asset and liability accounts that result from operations.6. Free Cash Flowa) Free cash flow measures cash available for discretionary purposes. It is equal to operating cash flow less net capital expenditures.i. Free cash flow to the forms:ii. Free cash flow to equity7. Criti
42、cal ratiosa) Common-size balance sheets/income statements:i. Common-size balance sheet expresses all balance sheet accounts as a percentage of total assets.ii. Common-size income statement expresses all income statement items as a percentage of sales.b) Current ratio and quick ratio:i. Current ratio
43、: current assets/current liabilitiesii. Quick ratio: (cash + marketable securities + receivables)/current liabilitiesc) Receivables, inventory, payables turnover, and days supply ratios-all of which are used in the cash conversion cycle.i. Receivable turnover = net annual sales/average receivablesii
44、. Inventory turnover = cost of goods sold/average inventoryiii. Payables turnover ratio = cost of goods sold/average trade payablesiv. Average receivables collection period = 365/receivables turnoverv. Average inventory processing period = 365/inventory turnovervi. Payables payment period = 365/ pay
45、ables turnover ratiovii. Cash conversion cycle = average receivables collection period + average inventory processing period payables payment periodd) Total asset, fixed asset, and equity turnover ratios:i. Total asset turnover = net sales/average total net assetsii. Fixed asset turnover = net sales
46、/ average net fixed assetsiii. Equity turnover = net sales/average equitye) Gross, operating, and net profit margins:i. Gross profit margin = gross profit/net salesii. Operating profit margin = operating profit/net sales=EBIT/ net salesiii. Net profit margin = net income / net salesf) Return on asse
47、ts: (return on total capital: “ROTC”)i. Return on assets (total capital) = (net income + interest exp.)/average total capitalg) Debt to equity ratio and total debt ratio:i. Debt to equity ratio = total long term debt / total equityii. Total debt ratio = (current liabilities + total long term debt) / (total debt + total equity)h) Interest coverage and the CF to LTD ratio:i. Interest coverage = EBIT / interestii. Cash flow to LTD = CFO / (BV of LTD + PV of operation leases)i) Growth rate (g): g = RR ROEj) Retention rate = 1- dividends declared / operatin
