CFA level 1level II 公式表Word文档格式.docx
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CFA level 1level II 公式表Word文档格式.docx
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e)PreservationofConfidentiality4.DutiestoEmployers
a)Loyalty
b)AdditionalCompensationArrangements
c)ResponsibilitiesofSupervisors5.InvestmentAnalysis,Recommendations,andAction
a)DiligenceandReasonableBasis
b)CommunicationwithClientsandProspectiveClients.
c)RecordRetention6.ConflictsofInterest
a)DisclosureofConflicts
b)PriorityofTransactions
c)ReferralFees.7.ResponsibilitiesasaCFAInstituteMemberorCFACandidate
a)ConductasMembersandCandidatesintheCFAProgram
b)ReferencetoCFAInstitute,theCFAdesignation,andtheCFAProgram.
GlobalInvestmentPerformanceStandards(GIPS)
1.ComplianceStatement:
”[Insertnameoffirm]haspreparedandpresentedthisreportin
compliancewiththeGlobalInvestmentPerformanceStandards(GIPS).”Compliancemust
beappliedonafirm-widebasis.
2.Eightsections:
a)Fundamentalsofcompliance
b)Inputdata
c)Calculationmethodology
d)Compositeconstruction
e)Disclosures
f)Presentationandreporting
g)Realestate
-1-
h)Privateequity
QUANTITATIVEMETHODS
1.TimeValueofMoneyBasics
a)FutureValue(FV):
amounttowhichinvestmentgrowsafteroneormorecompounding
periods.
Nb)FV,PV(1,I/Y)
c)PresentValue(PV):
currentvalueofsomefuturecashflow
Nd)PV,FV/(1,I/Y)
e)Annuities:
seriesofequalcashflowsthatoccuratevenlyspacedintervalsovertime.
f)Ordinaryannuity:
cashflowatend-of-timeperiod.
g)Annuitiesdue:
cashflowatbeginning-of-timeperiod.
h)Perpetuities:
annuitieswithaninfinitelife
i)PV,PMT/(I/Y)perpetuity
2.Means
a)Arithmeticmean:
sumofallobservationvaluesinsample/population,dividedby#of
observations.
b)Geometricmean:
usedwhencalculatinginvestmentreturnsovermultipleperiodsorto
measurecompoundgrowthrates.
c)Geometricmeanreturn:
1/NR,[(1,R),......,(1,R)],1G1N
NHarmonicmean=N,,1
,,Xi,1i,,3.VarianceandStandardDeviation
a)Variance:
averageofsquareddeviationsfrommean.
N2X(,,),i2,i1b)Populationvariance=,,N
N2(X,X),i2,1ic)Samplevariance=s,n,1
d)Standarddeviation:
squarerootofvariance.
4.HoldingPeriodReturn(HRP)
,,PPDPDtt,1ttt,,,1RtPPt,1t,1
-2-
5.CoefficientofVariation
a)Coefficientofvariation(CV):
expresshowmuchdispersionexistsrelativetomeanofa
distribution;
allowsfordirectcomparisonofdispersionacrossdifferentdatasets.CVis
calculatedbydividingstandarddeviationofadistributionbythemeanorexpected
valueofthedistribution.
Sb)CV,X
6.SharpeRatio
a)SharpeRatio:
measuresexcessreturnperunitofrisk.
r,rpfb)SharpeRatio=,p
r,rargptetc)Roy’ssafety–firstratio:
p7.ExpectedReturn/StandardDeviation
a)Expectedreturn:
E(X),P(x)x,ii
E(X),P(x)x,P(x)x,?
,P(x)x1122nn
b)Probabilisticvariance:
22(X),P(x),,x,E(X),,ii222,,,,,,,P(x)x,E(X),P(x)x,E(X),?
,P(x)x,E(X)nn1122
c)Standarddeviation:
takesquarerootofvariance.
8.CorrelationandCovariance
a)Correlation=covariancedividedbyproductofthetwostandarddeviations.
COV(R,R)ij,corr(R,R)ij,(R),(R)ijb)Expectedreturn,varianceof2-stockportfolio:
E(R),wE(R),wE(R)pAABB
2222var(R,),w(R,),w(R,)2ww,(R,)(R),(R,R)pAABBABABAB
9.NormalDistributions
a)Normaldistributioniscompletelydescribedbyitsmeanandvariance.
68%ofobservationsfallwithin,1,
90%fallwithin,1.65,
95%fallwithin,1.96,
99%fallwithin,2.58,
10.ComputingZ-scores
a)Z-score:
“standardizes”observationfromnormaldistribution;
represents#ofstandard
deviationsagivenobservationisfrompopulationmean.
-3-
observation,populationmeanx,,z,,standarddeviation,11.BinomialModels
a)Binomialdistribution:
assumesavariablecanhaveoneoftwovalues(success/failure)
or,inthecaseofastock,movements(up/down).ABinomialModelcandescribe
changesinthevalueofanassetorportfolio;
itcanbeusedtocomputeitsexpected
valueoverseveralperiods.
12.SamplingDistribution
a)Samplingdistribution:
probabilitydistributionofallpossiblesamplestatisticscomputed
fromasetofequal-sizesamplesrandomlydrawnfromthesamepopulation.The
samplingdistributionofthemeanisthedistributionofestimatesofthemean.
13.CentralLimitTheorem
a)Centrallimittheorem:
whenselectingsimplerandomsamplesofsizenfrompopulation
withmeanμandfinitevarianceσ2,thesamplingdistributionofsamplemean
、2appr
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