cfa level 1 notes.docx
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cfa level 1 notes.docx
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cfalevel1notes
Ethics
1.Ethics
●Sharedbeliefs.Ethicsareimportantbecausetheinvestmentindustryisbuiltontrust.
●Profession:
Specializedknowledgeandskills,commitmenttoserveothers,asharedcodeofethics.
●Ethicalandlaw:
有相同的地方,也有独立的地方。
(比如举报老板可能是违法的)
●Situationalinfluences(e.g.environmentalandculturalelements)leadtounethicalbehaviourthaninternaltraits.Loyaltytoemployer/colleaguesispowerfulamongthem.
●Ethicaldecision-makingprocess:
Identify-Consider-Decide,Act-Reflect
●Thecodeofethicspubliclycommunicatestheestablishedprinciplesandexpectedbehaviourofitsmembers,whilethestandardsofconductserveasbenchmarkfortheminimallyacceptablebehaviourofcommunitymembers.
2.TheCodeofEthics
●Actwithintegrity,competence,diligence,andrespectandinanethicalmannerwiththeparticipantsintheglobalcapitalmarkets.
●Placetheintegrityoftheinvestmentprofessionandtheinterestsofclientsabove.
●Reasonablecareandindependentprofessionaljudgmentonprofessionalactivities.
●Practiceandencourageotherstopracticeinaprofessionalandethicalmanner.
●Promotetheintegrityandviabilityoftheglobalcapitalmarketsfortheultimatebenefitofsociety.
●Maintainandimprovetheirprofessionalcompetence.
3.StandardsofProfessionalConduct
●Professionalism:
Knowledgeofthelaw,independence,objectivity,nomisrepresentation,nomisconduct(Breakingthelawisrelatedtocivilobedience,notnecessarilymisconduct).
●Integrityofcapitalmarket:
Donotactonmaterialnon-publicinformation(包括无意泄露,而不是单纯考虑是否利用信息进行了套利).Nomarketmanipulation.However,itisacceptabletousepublicandnonmaterialnon-publicinformationtoformtheanalysiswhichcanbematerial.(MosaicTheory)
●Dutiestoclients:
Loyalty,prudence,care,fairdealing,suitabilityofadvisory,performancepresentation,preservationofconfidentiality.(能自己支付的费用就自己付,不能因为disclose了就安然接受)
●Dutiestoemployers:
Loyalty,noadditionalcompensation,supervisiontotheirwork.(Cancontactformerclientsintheabsenceofnoncompetenceagreements)
●Investmentanalysis,recommendations,andactions:
Diligence,reasonablebasis,communicationwith(prospective)clients,recordretention.
●Conflictsofinterest:
Disclosureofconflictsandreferralfee,prioritizetransaction.
●CFAcandidate:
Notimplythereissomesortofpartialdesignationearnedafterpassingalevel.(e.g.Tracy,CFAIIisunethical)
4.GlobalInvestmentPerformanceStandards(GIPS)
●Firmsmustincludeallfee-paying,discretionaryportfolios(委托账户)foratleast5yearsorsinceinception,thenbuildupto10years.
●Sections:
Fundamentalsofcompliance(totalfirmassets),inputdata(fairvalue),calculationmethodology(firmwideconsistent),compositeconstruction(assetvalueweightedaverage),disclosure,presentation,realestate,privateequity,wrapfee/separatelymanagedaccount(SMA)portfolios.
●Compliancearerecommendedbutnotrequiredtobeverifiedbythirdparty(excludingtheauditgroup).
QuantitativeMethods
5.Yield
a)Interestrate
●Theinterestrate,r,istherequiredrateofreturn;alsocalledthediscountrateoropportunitycost.Itcanbeviewedasthesumoftherealrisk-freeinterestrateandasetofpremiums:
inflation,defaultrisk,liquidityandmaturity.
b)Holdingperiodreturn
●(endingvalue–beginningvalue+cashflowreceived)/beginningvalue
c)Bankdiscountyield
●ThebankforUSTreasurybills(andothermoney-marketinstrumentssoldonadiscountbasis)isgivenbyrBD=(F−P0)/F×360/t,whereFisthefaceamounttobereceivedatmaturity,P0isthepriceoftheTreasurybill,tisthenumberofdaystomaturity.
●Moneymarket/BondequivalentyieldrMM=HPY×360/t=(360×rBD)/(360−t×rBD).
●Discountyield=贴现值/面值×360/n
Add-onyield=贴现值/市价×365/n
d)ContinuousCompound
●
Thestatedannualinterestrateisaquotedinterestratethatdoesnotcompoundwithintheyear.Theperiodicrateisthequotedinterestrateperperiod,equallingthestatedannualinterestratedividedbythenumberofcompoundingperiodsperyear.
这里指的都是,而不是连续复利
●Theeffectiveannualrateistheamountbywhichaunitofcurrencywillgrowinayearwithinterestoninterestincluded.WecanusediscreteorcontinuouscompoundingtofindaperiodicratethatcorrespondstoaparticularEAR.E.g.Foran8%annualinterestratewithsemiannualcompounding,theEARis8.16%.1.00*(1.04)2=1.0816
e)
Costoftradecredit
●Creditterm2/10means2%discount
f)Spread
●G-spread:
Ayieldspreadoveragovernmentbond.
●I-spread:
interestrateswapinthesamecurrencywiththesametenorasabond
●Z-spread:
addanequalamounttoeachbenchmarkspotrateandvaluethebond.
●OptionadjustedspreadOAS=Z-spread–optionvalue
6.Annuity
●Anannuityisafinitesetoflevelsequentialcashflows.
●Twotypesofannuities,theannuitydue(afirstcashflowthatoccursimmediately)andtheordinaryannuity(firstcashflowoccursoneperiodfromthepresent).
●ThepresentvalueofaperpetuityisA/r.Aistheperiodicpayment.
●E.x.Paynothingforthreeyears,butthenpay$20,000peryearforfouryears.
20000的年金算完之后处以3年的discountrate而不是4年(答案52585.46)
7.NPVandIRR
●Thenetpresentvalue(NPV)ofaprojectisthepresentvalueofitscashinflowsminusthepresentvalueofitscashoutflows.Theinternalrateofreturn(IRR)isthediscountratethatmakesNPVequalto0.
●TheIRRruleistoacceptallprojectswithaninternalrateofreturnexceedingtherequiredrateofreturn.Itcanbeaffectedbyproblemsofscaleandtimingofcashflows.IfthereareconflictsbetweentheIRRandNPVmethod,useNPV.
●Profitabilityindex=NPV/CF0,acceptifPI>1
8.Statistics
g)SummaryStatistics
●
Population(allmembersofaspecifiedgroup)VSSample(subsetofapopulation).
PopulationVarianceSampleVariance
●Semivariance:
theaveragesquareddeviationbelowthemean
Targetsemivariance:
averagesquareddeviationbelowastatedtarge
CoefficientofvarianceCV=samplestandarddeviation/samplemean
●
Thegeometricmeanisalwaysnolargerthanthearithmeticmean,andthedifferenceincreasesasthedispersionincreases.Harmonicmeanisevensmaller.
●MeanabsolutedeviationMAD=
●Chebyshev’sinequality:
任意数据集,位于其平均数m个标准差范围内的比例总是至少为(1-
),m为大于1的任意整数。
例:
36%的观测量在平均值±1.25标准差
●
Locationoftheythpercentile:
Lyn=(n+1)*y/100
●Sampleskewnesssisthesamplestandarddeviation
Positiveskew:
mean>median>mode,Negativeskew:
mean ●Sampleexcesskurtosis. Thefirsttermissamplekurtosis Adistributionthathasfattertailsthanthenormaldistributionisleptokurtic; Adistributionthathasthinnertailsthanthenormaldistributionisplatykurtic; Adistributionidenticaltonormaldistribution(relativeweightinthetails)ismesokurtic. h)Probability ●P(E)canbestatedasoddsforE=P(E)/[1−P(E)]oroddsagainstE=[1−P(E)]/P(E). ●IfS1,S2,…,Snaremutuallyexclusiveandexhaustivescenariosorevents,then P(A)=P(A|S1)P(S1)+P(A|S2)P(S2)+…+P(A|Sn)P(Sn). Jointprobability: P(AB)=P(A|B)P(B) ● CovarianceCov(Ri,Rj)=E{[Ri−E(Ri)][Rj−E(Rj)]}. Correlationisanumberbetween−1and+1thatmeasurestheco-movement(linearassociation)betweentworandomvariables: ρ(Ri,Rj)=Cov(Ri,Rj)/[σ(Ri)σ(Rj)]. ● Portfoliovarianceofreturn ●Bayes’formula e.x.AnanalystbelievesDaviesCompanyhasa40%probabilityofearningmorethan$2pershare.TheprobabilitythatDaviesCompany’screditratingwillbeupgradedis70%ifitsearningspersharearegreaterthan$2and20%ifitsearningspershareare$2orless.GiventheinformationthatDaviesCompany’screditratinghasbeenupgraded,whatistheupdatedprobabilitythatitsearningspersharearegreaterthan$2? DenoteBiastheeventearningspersharearegreaterthan$2.Aasupgradedcreditrating. P(Bi|A)=P(Bi)*P(A|Bi)/P(A)=40%*70%/(40%*70%+60%*20%) i)Distribution ●Binomialrandomvariable: Mean=npandvariance=np(1−p). ●Foranormalrandomvariable,~68%outcomesarewithin ~95%within . StandardizenormalrandomvariableX: Z=(X−μ)/σ,hasamean=0andvariance=1. Whenwehaveasmallsamplefromanormalpopulationandonlythesamplestandarddeviation(除n-1),weusetdistributiontoconstructestimation. ●Roy’ssafety-firstcriterion,addressingshortfallrisk(portfoliovaluewillfallbelowsomeminimumacceptablelevel),assertsthattheoptimalportfolioistheonethatminimizestheprobabilitythatportfolioreturnfallsbelowathresholdlevel.Ifreturnsarenormallydistributed,thesafety-firstoptimalportfolioPistheonethatmaximizesthequantity[E(RP)−RL]/σP,whereRListheminimumacceptablelevelofreturn.(类似夏普比率) ●Thelognormaldistributionisadistributionskewedtotheright. ● Aconfidenceintervalisanintervalforwhichwecanassertwithagivenprobability1−α,calledthedegreeofconfidence,thatitwillcontaintheparameteritisintendedtoestimate.A100(1−α)%(整个值称为置信度)confidenceintervalforpopulationmeanμwhensamplingfromanormaldistributionwithknownvarianceσ2isgivenby ●Bias: Survivorshipbias,Data-miningbias(findmodelsbyrepeatedlysearchingthroughdatabasesforpatterns),Look-aheadbias(usedatanotavailabletomarketparticipantsatthetimethemarketparticipantsactinthemodel),Time-periodbias,Backfillbias(includepreviousdataforfirmsrecentlyaddtothebenchmark) j)Hypothesistesting ●Inreachingastatisticaldecision,wecanmaketwopossibleerrors: rejectatruenullhypothesis(TypeIerror)orfailtorejectafalsenullhypothesis(TypeIIerror).ThelevelofsignificanceofatestistheprobabilityofaTypeIerrorthatweacceptinconductingahypothesistes
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