# CFA lv1 - quant

 bank discount rate dollar discount/face value * 360 / t covariance of returns between A and B P(1)*(rA1-eA)(rB1-eB)+P(2)*(rA2-eA)(rB2-eB) permutation formula N!/(N-R)! X widens confidence level while Y shrinks confidence level reliability factorsample size, degree of freedom SD formula 1.mean2. (sample - mean)^23. sum of (2) / (n-1)4. root (3)OR1.mean2.sum (prob*(sample - mean)^2)3.root (2) sharpe ratio/safety first formula and rule (return - rf)/SDthe higher the better from peakest to least peak L, M, P support and resistance level support: buying is sufficient to stop declineresistance: selling is sufficient to stop rise EAR formula (1+holding period yield)^full year/holding period-1 monte carlo simulation requires probability distributionwhat if analysiscomplement analytical methods p-value the smaller level of significance at which a hypothesis can be rejected joint probability of AB if they are independent event P(A)*P(B) conditional prob1: P(Z) P(Z/A)*P(A) + P(Z/B)*P(B) + P(Z/C)*P(C) conditional prob2: P(A/Z) P(Z/A)*P(A)/P(Z) standard error SD/root(n) positively skewed (right skewed/peak at left) implication median < mean price target Neckline - (head - neckline) Adjustable rate mortgage 1. calculate payment assuming initial rate last for whole term2. calculate the PV at adjustment point3. calculate payment for the rest of term using new rate return given YTM dropped 1. calculate PV using dropped YTM for remaining term2. ((1)-purchase price + dividend/coupon) / purchase price past average compound annual rate ((1+r1)(1+r2)(1+r3))^(1/3)-1 mean absolute deviation sums of deviations / number of deviations technical analysis: converging treadlines for triangle implies.. trend will continue RSI (relative strength index) above 70 means overbought unbiasd estimator expected value equal to true value of population parameter consistent estimator is more accurate when sample size is greater chebyshev's inequality formula - the proportion of observations falling within 3 SD of the mean is 1-(1/3^2) P(A) or P(B) P(A) + P(B) - P(A and B) t-dist with sufficiently high degree of freedom approximate XX, the higher the degree of freedom, the XX the tail normal; thinner annual money market yield holding period yield * 360 /t bond equivalent yield 2 * [(1+holding period yield)^half year/holding period-1] shortfall risk prob that the portfolio value will fall below some minimum level in future standard normal distribution has mean and variance = zero and one arithmetric return is appropriate for estimating next period return given significance level of 5%, a test will.. reject true hypothesis 5% of the time most appropriate dist for asset price is lognormal low put-call ratio and low mutual fund cash position signals XX market while high volatility index signals XX market bullish; bearish technical analysis assumes supple and demand governed by rational and irrational behaviorshifts in demand/supply can be observed from market priceprice of individual assets and market move in trends that persist z-score for 90 and 95% confidence level 1.645, 1.96 1, 2, 3 deviation from mean correspond to confidence level of 68, 95, 99.7 confidence level range formula mean plus/minus z-score * SD/root(n) sample mean of large sample always have XX dist normal positive excess kurtosis mean fatter tails technical analysis chart mostly appropriate for intermarket analysis relative strength chart SD of a portfolio root(w1\$SD1\$+w2\$SD2\$+2w1w2SD1SD2) change from high point to low point is 80, whats the expected resistance level low + 80*1/2low + 80*5/8low + 80*2/3 Authoryhliuaa ID347471 Card SetCFA lv1 - quant DescriptionCFA lv1 - quant Updated2019-06-15T07:34:23Z Show Answers