# List a formula you have memorized...

A-total factor productivity B-cost basis(0-1) C-call,coupon,correlation(rho),convenience yield D-duration,delta,lease rate E-effective*, error item F-futures/forward price, forward exchange rate G-growth rate H-hedge ratio,H-model,human capital I-inflation, impl shortfall J-index K-required return of equity, capital investment L-liability, labor force, LIBOR M-futures multiplier N-number of contracts O-options, zero? P-portfolio/position, put,commodity price Q-tobin’s q R-return,interest rate,discount rate S-stock price, spot exchange rate T-tax, time U-utility V-value W-weight X-exercise price Y-yield, GDP in CME Z-z-value or z-score,discount factor alpha(a)-excess return beta(b)-market risk exposure delta-delta hedge, lease rate gamma-change of delta lamda-storage cost sigma-standard deviation

SkipE99 Wrote: ------------------------------------------------------- > deriv what the hell is that? hahaha, it is rainman-esque

Back to normal after June 4. Before that day, we have no life. What will the CFA world look like if No Futures and Options?

Effective Day:D Effective annual after-tax return:=R*(1-Pi*Ti-Pd*Td-Pcg*Tcg) Effective capital gains tax rate:=Tcg*(1-Pi-Pd-Pcg)/(1-Pi*Ti-Pd*Td-Pcg*Tcg) Effective Tax Rate of double taxation methods: T(exempt)=Ts; T(credit)=max(Tr, Ts); T(deduction)=Ts+Tr-Ts*Tr Accrual Equivalent Return: PV*(1+Rae)^n=FV, Rae=? Accrual Equivalent Tax Rates: r*(1-Tae)=Rae, Tae=? Effective Duration: DD=-P*D*0.01 Effective Annual Rate: F0=S*[(1+r)/(1+delta)]^T, delta is the lease rate. Effective Beta:=%dVp/%dVm Effective Annual Borrowing Rate: (1+EAR)^(T/365)=(NP+Int-Ct)/(NP-C1) Effective Annual Lending Rate: (1+EAR)^(T/365)=(NP+Int+Pt)/(NP+P1) Effective Spread for buy order:=2*(S-MQ), MQ=(b+a)/2 Effective Spread for sellorder:=2*(MQ-S), MQ=(b+a)/2 Efficient Frontier: none. Information Coefficient: IR.=IC*sqrt(IB) Corr Coefficient: RPi=SDi*Rho(i,M)*(Sharpe Ratio).

I just keep it up and active…many goodies in this thread. Thanks.

contingent immunizaton: 1)Current immunization rate -Safety net return 2) RTV: NP(1 + safety net return) (supscript: strategy horizon*2] 3)RIV: RTB/(1 + Current Immunization Rate )[supscript: strategy horizon*2] 4) N= bond remaining term @ end of horizon *2 i/y=given/2 PV=x Pmt= coup/2 FV=par 5) RTV/(1+new given rate/2)[supscript: strategy horizon*2] 4)-5)= if negative then immunize

L3 is about R - the return. No way to have it covered in one day, so let’s slice 'n dice it. Intl Bond Investing: R(u,d) = (1+Rl)(1+s)-1 = Rl + s, s is currency return. Rh = Rl + fp = Rl + (rDC - rFC) = rDC + (Rl - rFC) = domestic RFR + excess return in local currency. Currency RM: Rh = R(u,d) - R(F) R(u,d) = (Vt*St)/(V0*S0)-1 R(F) = (Ft-F0)/S0

Deriv, youre formulas are confusing the heck out of me kid.

Updated for Hedged Returns. Intl Bond Investing: R(u,d) ~= Rl + s Rh = Rl + fp = Rl + (rDC - rFC) = rDC + (Rl - rFC) = Domestic RFR + Excess Return in local currency. – =~ Approximately equal (¡Ö can’t display, I use it as an alternative.:D) – R(u,d) is unhedged return in domestic currency – Rh is hedged return in domestic currency – Rl is bond return in local currency – s is currency return. – fp is forward premium, rDC is domestic RFR, rFC is foreign RFR Currency RM: Rh = R(u,d) - R(F) R(u,d) = (Vt*St-V0*S0)/(V0*S0) R(F) = (Ft-F0)/S0 – Rh is hedged return in domestic currency – R(u,d) is unhedged return in domestic currency – R(F) is futures price movement – Vt is the portfolio value at time t – V0 is the portfolio value at time 0 – St is spot exchange rate at time t – S0 is spot exchange rate at time 0 – Ft is futures [exchange] rate at time t – F0 is futures [exchange] rate at time 0

R(u,d) in two formulas are the same thing, but in two different forms(in SS10+SS15). R(u,d) is also in SS08, where it shows something as follows: R(u,d)=(Vt*St-V0*S0)/(V0*S0)=Rl+s+Rl*s

Horizon Yield/Total return for bond… 1)N= (bond @ end of horizon)*2 i/y=new/2, pv=compute, pmt=coup/2, fv=par 2) coup + coup(1=reinvestment rate/2) 3) n= horizon period*2, i/y=X, pv=compute, pmt=0, fv=1)+2) 4) bey = i/y*2, 4) EAR (1+i/y)^2

In SS17, R(u,d) is presented in a different form. But it’s still the same thing. R(u,d,j)=pj+dj+cj – R(u,d,j) is Total return in Base Currency for asset j; It is the unhedged return in domestic currency fro asset j. – pj is the Capital Gain Component: capital gain in percentage – dj is Yield Component: yield in percentage – cj is Currency Component: the return due to currency movement cj=sj(1+pj+dj) – cj the return due to currency movement. – sj is the percentage exchange rate movement For a whole portfolio: R(u,d)=sum(wj*pj)+sum(wj*dj)+sum(wj*cj) R(u,d)=sum(wj*Ij)+sum(wj*(pj-Ij))+sum(wj*dj)+sum(wj*cj) – wj is the weight of segment j in the total portfolio at the start of the period. – Ij is the return, in local currency, of the market index. I believe the last and longest “Asset Allocation” formula for performance attribution has been posted on this thread. I need to study on it.

Your notation confuses the hell out of me.

bpdulog, my friend. Are you using Schweser notes? The above “performance attribution” formula was copied directly from the curriculum(SS17). I used the Schweser notation for the attribution before, but I think CFAI’s is easier to understand and write. I just looked at the 2007, Q9, which Schweser mentioned in the notes. But I think we may not need to memorize the long formula to solve it. Actually, if I use the memorized formula, I may have to spend time on mapping those variables properly, and for example, set portfolio yield in local currency = 0. What’s your thought?

IMHO, the purpose of this thread is to minimize the need to memorize the formulas for the exam. Regarding to options, we need to know at least what it’s. You may like to describe it in words, but I like the formulas – both are the same. Options Values at Expiration(equivalent to the definition): Covered call: St-max(0,St-X) Protective put: St+max(0, X-St) Collar: St-max(0, St-Xh)+max(0, Xl-St) Bull Call: max(0, St-Xl)-max(0, St-Xh) Bear Put: max(0, Xh-St)-max(0, Xl-St) Butterfly Call: max(0, St-Xl) -2*max(0, St-Xm)+max(0, St-Xh) Long Straddle: max(0, St-X) + max(0, X-St) Box Spread: Xh - Xl ---- To determine whether a box spread is undervalued or overvalued, we discount the “value at expiration”.

This is formula list for 2009 L3. http://www.analystforum.com/phorums/read.php?13,932754,page=1

hey deriv, you keep doing what you doing baby. its helping me. just make sure you dont spend TOO much time on this forum. it can be more harmful than hurtful at time if you are not careful. i learned that the hard way.

Thanks, SkipE99. Please point out if my formulas are wrong…I found this thread’s helping me too, whether who posted the formula. They are all from curriculum. Actually, some formulas, especially those options/premiums, are from what I learned from you guys. No more fear for options. Got what you said, buddy…our goal is to pass the exam!