CFA Quant.txt

  1. time-weighted return
    treat each time period individually, then find the geometric mean
  2. bank discount yield
    (Face value - Current value)/Face value * 360/time to maturity
  3. money market yield
    HPR*360/time to maturity
  4. dollar(money)-weighted return
    Exact same thing as IRR, just make NPV = 0
  5. sampling error
    difference between sample statistic and population statistic
  6. Trading index (TRIN) or Arms Index
    • measures trading volumes of advancing vs declining stocks
    • less than 1 indicates more volume in advancing stocks
  7. portfolio variance
    Image Upload 1
  8. priori probability
    a simple probability based on the population size. If a stock can go up, down, or stay the same, then using priori each would have a 1/3 chance.
  9. cross sectional vs time series data
    • cross sectional: sample taken at a given point in time
    • time series data: sample taken over a period of time
  10. parametric vs nonparametric tests
    • parametric: many assumptions about the population distribution
    • nonparametric: may be most appropriate when heavily skewed
    • both: often used in conjunction with each other
  11. trading volume, head and shoulder trend
    head and shoulder trends are more validated when volume decreases along them, showing that supply and demand forces that were acting before are weakening
  12. Kurtosis
    > 3 => fat tails

    leptokurtic = more kurtosis

    platykurtic = little kurtosis
  13. roy's safety first criteria
    choose portfolio with highest (Return - threshold)/standard deviation
  14. %K and %D, MACD and signal line
    %K is (current low - lowest low)/(highest - lowest). %D is moving average of %K. K above D implies buy, K below D implies sell

    signal line is moving average of MACD line. MACD < signal implies sell, MACD > signal implies buy
  15. technical analysis
    market moves (supply and demand) are based on rational and irrational behavior
Card Set
CFA Quant.txt
CFA Quant