CFA lv1 - quant

  1. bank discount rate
    dollar discount/face value * 360 / t
  2. covariance of returns between A and B
    P(1)*(rA1-eA)(rB1-eB)+P(2)*(rA2-eA)(rB2-eB)
  3. permutation formula
    N!/(N-R)!
  4. X widens confidence level while Y shrinks confidence level
    • reliability factor
    • sample size, degree of freedom
  5. SD formula
    • 1.mean
    • 2. (sample - mean)^2
    • 3. sum of (2) / (n-1)
    • 4. root (3)
    • OR
    • 1.mean
    • 2.sum (prob*(sample - mean)^2)
    • 3.root (2)
  6. sharpe ratio/safety first formula and rule
    • (return - rf)/SD
    • the higher the better
  7. from peakest to least peak
    L, M, P
  8. support and resistance level
    • support: buying is sufficient to stop decline
    • resistance: selling is sufficient to stop rise
  9. EAR formula
    (1+holding period yield)^full year/holding period-1
  10. monte carlo simulation
    • requires probability distribution
    • what if analysis
    • complement analytical methods
  11. p-value
    the smaller level of significance at which a hypothesis can be rejected
  12. joint probability of AB if they are independent event
    P(A)*P(B)
  13. conditional prob1: P(Z)
    P(Z/A)*P(A) + P(Z/B)*P(B) + P(Z/C)*P(C)
  14. conditional prob2: P(A/Z)
    P(Z/A)*P(A)/P(Z)
  15. standard error
    SD/root(n)
  16. positively skewed (right skewed/peak at left) implication
    median < mean
  17. price target
    Neckline - (head - neckline)
  18. Adjustable rate mortgage
    • 1. calculate payment assuming initial rate last for whole term
    • 2. calculate the PV at adjustment point
    • 3. calculate payment for the rest of term using new rate
  19. return given YTM dropped
    • 1. calculate PV using dropped YTM for remaining term
    • 2. ((1)-purchase price + dividend/coupon) / purchase price
  20. past average compound annual rate
    ((1+r1)(1+r2)(1+r3))^(1/3)-1
  21. mean absolute deviation
    sums of deviations / number of deviations
  22. technical analysis: converging treadlines for triangle implies..
    trend will continue
  23. RSI (relative strength index) above 70 means
    overbought
  24. unbiasd estimator
    expected value equal to true value of population parameter
  25. consistent estimator is more accurate when
    sample size is greater
  26. chebyshev's inequality formula - the proportion of observations falling within 3 SD of the mean is
    1-(1/3^2)
  27. P(A) or P(B)
    P(A) + P(B) - P(A and B)
  28. t-dist with sufficiently high degree of freedom approximate XX, the higher the degree of freedom, the XX the tail
    normal; thinner
  29. annual money market yield
    holding period yield * 360 /t
  30. bond equivalent yield
    2 * [(1+holding period yield)^half year/holding period-1]
  31. shortfall risk
    prob that the portfolio value will fall below some minimum level in future
  32. standard normal distribution has mean and variance =
    zero and one
  33. arithmetric return is appropriate for estimating
    next period return
  34. given significance level of 5%, a test will..
    reject true hypothesis 5% of the time
  35. most appropriate dist for asset price is
    lognormal
  36. low put-call ratio and low mutual fund cash position signals XX market while high volatility index signals XX market
    bullish; bearish
  37. technical analysis assumes
    • supple and demand governed by rational and irrational behavior
    • shifts in demand/supply can be observed from market price
    • price of individual assets and market move in trends that persist
  38. z-score for 90 and 95% confidence level
    1.645, 1.96
  39. 1, 2, 3 deviation from mean correspond to confidence level of
    68, 95, 99.7
  40. confidence level range formula
    mean plus/minus z-score * SD/root(n)
  41. sample mean of large sample always have XX dist
    normal
  42. positive excess kurtosis mean
    fatter tails
  43. technical analysis chart mostly appropriate for intermarket analysis
    relative strength chart
  44. SD of a portfolio
    root(w1$SD1$+w2$SD2$+2w1w2SD1SD2)
  45. change from high point to low point is 80, whats the expected resistance level
    • low + 80*1/2
    • low + 80*5/8
    • low + 80*2/3
Author
yhliuaa
ID
347471
Card Set
CFA lv1 - quant
Description
CFA lv1 - quant
Updated