Come something please write down all the calcs on these, I know it was on the Mock and I got it right but if it was an AM problem I probably would get it wrong. Seems like these calcs have been on all three levels and I still can’t get them down straight even after staring at them forever. -Thanks.

Covariance: B1 x B2 x variance of the market Beta: correlation of stock with market x SD stock/SD market correlation: no idea

isnt corrleation like cov(i,m)/var of market

corr = cov(x,y)/std(x)*std(y)

s23dino Wrote: ------------------------------------------------------- > isnt corrleation like cov(i,m)/var of market thats beta

What’s the formula to calculate covariance b/w two markets?

cov(i,j) = B1i*B1j * var(F1) + B2i*B2j * var(F2) * (B1iB2j + B2iB1j) * cov(F1,F2)

M_C = V’ * F_C * V + S M_C: security/market covariance V : risk factor exposure of the security/market F_C : factor model covariance S : specific risk (not covered by CFAI?)

CSK what is that formula, I thought it was much shorter

Thats for 2 markets who have betas defined for both debt and equity

let me guess not in stalla or schweser?

nope, CFAI, but even on mock you only had betas to equity. I seriosly dont expect such a huge bomb by CFA as to make sure run this calc on exam. If that will happen exepct Dietz tax adjusted stuff too

^It was in Schweser, and schweser told everybody that formular has a low probability, then it showed up on CFAI mock exam.