QUICK! NOW! DONT LOOK AT MATERIAL Be nice to have at least one thread here you can click on for a quick review of formulas. Taylor Rule Rtarget= Rneutral + [.5 (GDP forecast- GDP actual)+ .5 (Inflation Forecast- Inflation Actual)]

Forward rate = spot rate x (1+dom int rate)/(1+for int rate) Spot and forward rates are in dom/for convention

Micro P = (Wpj - Wbj)(Rb-Rbj) A= (Wpj - Wbj)(Rpj-Rbj) W= Wbj)(Rpj-Rbj) not sure bout the P part ( could be Rbj-Rb) Macro Rac = Wii (Rcij-Rf) Ris = (Wii*Wij)(Rbij-Rcij) Rim= (Wii*Wij)(Raij-Rbij)

Time for some nut flexing here… Read it and weep: Global Micro Attribution, oh yeah… Wjp(Rjb,d)+(Wjp-Wjb)(Rjb,l)+Wjp(Rjp,l- Rjb,l)+[Wjp(Cjp) - Wjb(Cjb)] + Wjp(Ijp) Where Cjp = (rjp dom - rjp local); and cjb = (rjb dom - rjb local) This differs general micro attribution in a few places: (Wjp-Wjb)(Rjb-Rb)+Wjb(Rjp-Rjb)+(Wjp-Wjb)(Rjp-Rjb) first time is pure sector allocation, second is security selection, third is sector/allocation interaction. Notable differences are that the above formula uses the diff between the return on asset j of the benchmark, and the overall benchmark return, rather than just the return on asset j in the benchmark like the global formula does. Also a tricky change is that the security selection effect on the above formula uses benchmark weight, whereas global uses portfolio weighting. I believe this has something to do with the fact that the “sector allocation” portion collapses and accounts for some of the variables that global does not.

pimpin beat me! buuuuut, i still went more balls out.

RATIO LIST: SR ratio = (Rp-Rf)/SDp IRp=(Rp-Rb)/SD(Rp-Rb) RSF Ratio = (Rp-MAR)/SDp Sortino Ratio = (Rp-MAR)/DDp RAROC = Return/VAR RoMAD=Rp/(Max Drawdown) Rebalancing ratio = oldDD/newDD Hedge Ratio = (DDp/DDctd)*CF*YB Optimal Hedge Ratio = hT+hE=1+Cov(R_L, R_C)/var(R_C) Fed Model Ratio=(S&P earnings yield)/(treasury Yield) P/10-Year MA(E): no formula:D

F = Se^(R+SC-CY)T that is the storage cost increase the forward price while the convenience yield decreases it also Se^(R+SC-CY)T <= F <= Se^(R+SC)T

Annual VAR = [Annual ret - Zscore(annual SD)]*portfolio Gives you a amount that corresponds with the significance level for the z-score used above. States there is a “x” % chance losses will be below the number this gives you, where “x” is the significance level used for the zscore.

Implementation shortfall on the overall: Paper port gain in - Actual port gain in / Paper port investment in $ Decomposition: Missed Trade Opp Cost = Cancel-Bench/Bench * shares not purchased/ordered shares Explicit Costs = Commissions / Paper portfolio Realized G/L = Execution Price - Day Prior Close Price / Benchmark * shares purch / shares ordered Delay Costs = Day Prior Close - benchmark / benchmark * shares purch / shares ordered Notes: if you have multiple execution prices use weighted average, “benchmark price” is the first price they give you, and the paper portfolio uses that price. Ok im done.

Cobb - Douglas: Y=AK^alpha*L^(1-alpha) And to step it up: Delta Y = Delta A + Delta K * (alpha) + Delta L * (1 - alpha) And the loser information ratio: IR = Information coefficient * sq. rt. of investor breadth

True Information Ratio= True Active Return/True Active Risk Total Active Risk=[(True Active Risk)^2 + (True Misfit Risk)^2]^.5

I forgot this one.

SkippE99 i take back everything i said about your mum being a cheap pinto…great thread idea Singer Tehar for open/closed markets E® = correlation (ERP)/SD …cant remember this properly GK E® = (i+g) + (D/P + dS) +dPE income growth, divident yield plus repricing

Utility adjusted return = Rp- 0.005(A)(Variance) Where A is risk aversion score.

GK model Growth rate = D/P - Change in shares outstanding + inflation + real economy growth + change in PE

FRA Value = (((FRA Rate - Reference Rate)*NP)/(1+Loan Rate)^t)/(1+RFR)^t) The brackets are all over the place on this one so largely ignore them!

Real Estate in GIPS Capital Employed=Ce= Co x “Sigma” CF x wi Income Return= Y-I-A-T/Ce Where y= invstmnt income, I= interest on debt, a= nonrec cap exp., t= taxes Capital return= EV-BV-Cnr+S/ Ce Where Cnr=non recoverable expenses S= sale proceeds

“COPS are into setting speed traps”= COPSAR COPSAR= traps Confirming Overconfidence Prudence Status Quo Anchoring Recallability Lol. CFAi lukes to link these terms with traps

SkipE99 Wrote: ------------------------------------------------------- > “COPS are into setting speed traps”= COPSAR > > COPSAR= traps > > Confirming > Overconfidence > Prudence > Status Quo > Anchoring > Recallability > > Lol. CFAi lukes to link these terms with traps thank you sir you and your mother have given us so much!

Psychological Traps ^^^^^^