CFA level 1level II 公式表.docx
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CFA level 1level II 公式表.docx
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CFAlevel1levelII公式表
CFA公式表-LevelI
EthicalandProfessionalStandards
1.Professionalism
a)KnowledgeoftheLaw
b)Independenceandobjectivity
c)Misrepresentation
d)Misconduct
2.IntegrityofCapitalMarkets
a)MaterialNonpublicInformation
b)MarketManipulation
3.DutiestoClients
a)Loyalty,Prudence,andCare
b)FairDealing
c)Suitability
d)PerformancePresentation
e)PreservationofConfidentiality
4.DutiestoEmployers
a)Loyalty
b)AdditionalCompensationArrangements
c)ResponsibilitiesofSupervisors
5.InvestmentAnalysis,Recommendations,andAction
a)DiligenceandReasonableBasis
b)CommunicationwithClientsandProspectiveClients.
c)RecordRetention
6.ConflictsofInterest
a)DisclosureofConflicts
b)PriorityofTransactions
c)ReferralFees.
7.ResponsibilitiesasaCFAInstituteMemberorCFACandidate
a)ConductasMembersandCandidatesintheCFAProgram
b)ReferencetoCFAInstitute,theCFAdesignation,andtheCFAProgram.
GlobalInvestmentPerformanceStandards(GIPS)
1.ComplianceStatement:
”[Insertnameoffirm]haspreparedandpresentedthisreportincompliancewiththeGlobalInvestmentPerformanceStandards(GIPS).”Compliancemustbeappliedonafirm-widebasis.
2.Eightsections:
a)Fundamentalsofcompliance
b)Inputdata
c)Calculationmethodology
d)Compositeconstruction
e)Disclosures
f)Presentationandreporting
g)Realestate
h)Privateequity
QUANTITATIVEMETHODS
1.TimeValueofMoneyBasics
a)FutureValue(FV):
amounttowhichinvestmentgrowsafteroneormorecompoundingperiods.
b)
c)PresentValue(PV):
currentvalueofsomefuturecashflow
d)
e)Annuities:
seriesofequalcashflowsthatoccuratevenlyspacedintervalsovertime.
f)Ordinaryannuity:
cashflowatend-of-timeperiod.
g)Annuitiesdue:
cashflowatbeginning-of-timeperiod.
h)Perpetuities:
annuitieswithaninfinitelife
i)
2.Means
a)Arithmeticmean:
sumofallobservationvaluesinsample/population,dividedby#ofobservations.
b)Geometricmean:
usedwhencalculatinginvestmentreturnsovermultipleperiodsortomeasurecompoundgrowthrates.
c)Geometricmeanreturn:
Harmonicmean=
3.VarianceandStandardDeviation
a)Variance:
averageofsquareddeviationsfrommean.
b)Populationvariance=
c)Samplevariance=
d)Standarddeviation:
squarerootofvariance.
4.HoldingPeriodReturn(HRP)
5.CoefficientofVariation
a)Coefficientofvariation(CV):
expresshowmuchdispersionexistsrelativetomeanofadistribution;allowsfordirectcomparisonofdispersionacrossdifferentdatasets.CViscalculatedbydividingstandarddeviationofadistributionbythemeanorexpectedvalueofthedistribution.
b)
6.SharpeRatio
a)SharpeRatio:
measuresexcessreturnperunitofrisk.
b)SharpeRatio=
c)Roy’ssafety–firstratio:
7.ExpectedReturn/StandardDeviation
a)Expectedreturn:
b)Probabilisticvariance:
c)Standarddeviation:
takesquarerootofvariance.
8.CorrelationandCovariance
a)Correlation=covariancedividedbyproductofthetwostandarddeviations.
b)Expectedreturn,varianceof2-stockportfolio:
9.NormalDistributions
a)Normaldistributioniscompletelydescribedbyitsmeanandvariance.
68%ofobservationsfallwithin
90%fallwithin
95%fallwithin
99%fallwithin
10.ComputingZ-scores
a)Z-score:
“standardizes”observationfromnormaldistribution;represents#ofstandarddeviationsagivenobservationisfrompopulationmean.
11.BinomialModels
a)Binomialdistribution:
assumesavariablecanhaveoneoftwovalues(success/failure)or,inthecaseofastock,movements(up/down).ABinomialModelcandescribechangesinthevalueofanassetorportfolio;itcanbeusedtocomputeitsexpectedvalueoverseveralperiods.
12.SamplingDistribution
a)Samplingdistribution:
probabilitydistributionofallpossiblesamplestatisticscomputedfromasetofequal-sizesamplesrandomlydrawnfromthesamepopulation.Thesamplingdistributionofthemeanisthedistributionofestimatesofthemean.
13.CentralLimitTheorem
a)Centrallimittheorem:
whenselectingsimplerandomsamplesofsizenfrompopulationwithmeanμandfinitevarianceσ2,thesamplingdistributionofsamplemeanapproachesnormalprobabilitydistributionwithmeanμandvarianceequaltoσ2、/nasthesamplesizebecomeslarge.
14.StandardError
a)Standarderrorofthesamplemeanisthestandarddeviationofdistributionofthesamplemeans.
Knownpopulationvariance:
Unknownpopulationvariance:
15.ConfidenceIntervals
a)Confidenceinterval:
givesrangeofvaluesthemeanvaluewillbebetween,withagivenprobability(say90%or95%).Withknownvariance,formulaforaconfidenceintervalis:
=1.645for90%confidenceintervals(significancelevel10%,5%ineachtail)
=1.960for95%confidenceintervals(signific
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