Must Know List of Things to Calculate

Schweser has mentioned that those Dietz methods will not be in the exam in the form of a calculation. Only discuss according to the LOS.

SINGER-TEHAAR APPROACH RISK PREMIUM (PER THE FINANCIA EQUALIBRIUM MODEL): Bk3 p43 Reading #23 / SS#6 1 - Assuming FULL Integration 2 - Assuming FULL Segmentation 3 - Weighted amount of Integration / Segmentation 4 - Calculate Betas of each market 5 - Calculate Covariences of the two markets

comp_sci_kid Wrote: ------------------------------------------------------- > FOR ONE PERIOD right? It is the type of problem where you are planning to borrow money at some point in the future and you purchase a cap to lock in a rate. The option matures and you exercise it if it will help you. The borrowing cost is locked in but it is slightly higher due to the premium paid for the cap. There is also a lending version of the problem where you would use a floor to lock in a rate.

Break-even analysis.

hezagenius Wrote: ------------------------------------------------------- > comp_sci_kid Wrote: > -------------------------------------------------- > ----- > > FOR ONE PERIOD right? > > > It is the type of problem where you are planning > to borrow money at some point in the future and > you purchase a cap to lock in a rate. The option > matures and you exercise it if it will help you. > The borrowing cost is locked in but it is slightly > higher due to the premium paid for the cap. There > is also a lending version of the problem where you > would use a floor to lock in a rate. then it is interest rate option and a loan. Caps and floors is a collection of caplets and floorlets and it will be much harder to calculate implied rate, i think

(1) BOND DURATION ADJUSTMENT How many contracts are needed to adjust to target duration Dt - Dp --------------------------------- DD ctd / Conversion Factor (2) ADDING AN ASSET CLASS TO AN EXISTING PORTFOLIO E(Rnew) - Rf E(Rp) - Rf ---------------------- > -------------------- x Corr (Rnew, Rp) Std Dev (new) Std Dev (new) They’ll probably give your the Sharpes and the Correlation - you just multiply. (3) ASSET MIX UTILITY (Um = E(Rm) - 0.005(Ra)(Std Dev)^2 (4) EFFECTS OF LEVERAGE ON RETURN and DURATION (Reading #29)

comp_sci_kid Wrote: ------------------------------------------------------- > hezagenius Wrote: > -------------------------------------------------- > ----- > > comp_sci_kid Wrote: > > > -------------------------------------------------- > > > ----- > > > FOR ONE PERIOD right? > > > > > > It is the type of problem where you are > planning > > to borrow money at some point in the future and > > you purchase a cap to lock in a rate. The > option > > matures and you exercise it if it will help you. > > > The borrowing cost is locked in but it is > slightly > > higher due to the premium paid for the cap. > There > > is also a lending version of the problem where > you > > would use a floor to lock in a rate. > > > then it is interest rate option and a loan. Caps > and floors is a collection of caplets and > floorlets and it will be much harder to calculate > implied rate, i think Yes, I meant calls and puts, not caps and floors.

Grinald-Kroner Mdel expected return = dividend yield + % change in # of shares outstanding + expected inflation + expected real total earnings growth + % change in P/E multiple

Create a synthetic index fund N(unrounded)= V(1+r)^t/(q*f) V*=N(rounded)*q*f/(1+r)^t

Grinold Kroner should 'nt the general formula be stated as dividend yield - % change in # of shares outstanding + expected inflation + expected real total earnings growth + % change in P/E multiple the expected % change in # of shares , the term is negative in the case of net positive share repurchases, so - delta S becomes positive. Taylor rule R optimal= R neutral +[( 0.5 *GDP g forecast- GDP g trend] )+ 0.5*(I forecast-I target)]

risk adjusted return: Jason’s Alpha, Information ratio, Sharpe, etc

Delta Hedging Ratio

Just posted this on another thread, but I think this thread is more appropriate, so I’ll repeat… ANYBODY COME UP WITH A TECHNIQUE TO MEMORIZE THE “MICRO PERFORMANCE ATTRIBUTION” FOR A DOMESTIC PORTFOLIO? I’ve been trying to find some kind of “chain” or “common link” between pure sector allocation, allocation/selection interaction, and within sector selection for a couple of months now but still haven’t been able to figure one out.

Sorry wanted to add that I find it impossible to remember all those formulas between weights, portfolio returns, benchmark returns, blah, blah, blah…even when I memorize it, I’ll forget again in a couple of days… somebody on here must of figured out a system for this?

As I asked in another post recently. I seem to recollect that FRA’s were in a CFAI section marked optional reading…actually CFAI text book Volume 5, READING 38: pp. 83-87 FRA’s. MARKED OPTIONAL. Does this mean we don’t have to know them or are FRA’s included in another mandatory section??? Anyone know out there? I was burned on reading a too long optional segment in Behavioural Finance that wasn’t market optional until the CFAI Errata came out and don’t want to be burned the other way now.

indike Wrote: ------------------------------------------------------- > Grinold Kroner > should 'nt the general formula be stated as > > dividend yield - % change in # of shares > outstanding + expected inflation + expected real > total earnings growth + % change in P/E multiple > > the expected % change in # of shares , the term is > negative in the case of net positive share > repurchases, so - delta S becomes positive. > > Taylor rule > > R optimal= R neutral +[( 0.5 *GDP g forecast- GDP > g trend] )+ 0.5*(I forecast-I target)] yeah % change in # of shares is negative, share repurchase (decrease in # of shares) will make the delta S term positive and share issuance (increase in # of shares) will make delta S term negative divedend yield - delta S = expected income return i + g = expected earnings growth delta P/E = repricing return

VAR - Historial, Analytical Covariance Methods