CAIA - Equations Flashcards
Probability Weighted Standard Deviation
Expected Utility
Expected Utility with Higher Moments
Expected Utility Using VaR
Expected Utility of DB Fund
Expected Utility of DB with Liability Growth
Weight of Risky Asset in DB Plan with Liability Growth
Degree of Risk Aversion
Asset Class Return
Risk Free
+
Expected Inflation
+
Risk Premium
MVO objective function
Optimal Weight of Risky Asset
Hurdle Rate Criteria
Information Ratio in terms of information coefficient and breadth
Information Ratio with Transfer Coefficient
Information Ratio using Alpha
Beta of New Portfolio using futures for Tactical Asset Allocation
F = Notional amount of futures
P = Size of portfolio
Market Value Adjusted for Liquidity Preference
Estimation Error
Portfolio Variance
Marginal Contribution of Risk to Total Portfolio
Beta
Portfolio’s Total Risk in Terms of Risk Factor Contributions
Risk of 2-asset portfolio
Volatility Weighted Weight
Change In Endowment Value
Income From Gifts
-
Spending
+
Net Investment Returns
Total Return in Terms of Strategic Asset Allocation, security selection and market timing
Returns from SAA
+
Security Selection
+
Market Timing
% Change In Pension Liabilities Given Duration and Yield
- Modified Duration x Change In Yield
Market Value of Equity In Terms of Operating Assets/Liabilities
(OA - OL) + (A - L)
OA/L = Operating Assets / Liability
Economic Life in Years
PV of Growth Annuity
PV of Ordinary Annuity
Change in Reserve Account
Change in Current Account
+
Change in Capital Account
Blended Tax Rate on Section 1256 Investments
0.4TShort + 0.6TLong
Cap Rate (i) in terms of Rent (R) and Price (P)
i = R / P
Change in Stock of Space
C = New Construction
d = depreciation rate
S = Stock of Space
Stock of Space
C / d
C = New Construction
d = depreciation rate
Smoothed Price In Terms of AutoCorrelation
Reported Price In Terms of Alpha
True Price of Smoothed Returns in Terms of Alpha
Correlation Coefficient
Variance of True Returns
Variance of Reported (Smoothed) Returns
Beta of True Returns
Net Operating Income
Effective Gross Income - Operating Expenses
Effective Gross Income
Potential Gross Income - Vacancy Loss
Cap Rate in terms of NOI
NOI / Propertiy Value
True Volatility
PV of Depreciation Tax Shield
After-Tax Rate Without Tax Deferral
r * (1 - Tax Rate)
After-Tax Rate With Deferral
Leveraged Return and Leveraged Standard Deviation
Property Value In Foreign Currency
Variance of Global Real Estate Returns
Crop Yield
Y = S * I * E * H
S =Solar Radiation
I = Solar Radiation Capture
E = Photosynthetic Efficiency
H = Harvest Index
Cash on Cash Returns of Films
Cost of Carry
Financing
+
Storage
+
Spoilage
-
Convenience Yield
Futures Price
Spot Price + Cost of Carry
Geometric Mean
Substitute Test Statistic
100-day statistic
Daily Return on Leveraged ETF
A = Degree of Leverage
R = Return on underlying asset
r = Borrowing Rate
Value of $1 invested in Leveraged ETF after T Days
Signal to Noise Ratio
Number of Futures Contracts given Volatility
Number of Futures Contracts Given Price Volatility
Implicit Leverage
Notional Value / Inital Margin
Trading Level
Funding Level + Notional Level
Margin to Equity Ratio
Margin Requirement / NAV
Capital at Risk
Loss if hit stop loss / NAV
Value at Risk (VaR)
Exponentially Smoothed Return
Exponentially Smoothed Variance
Omega
Put-Call Parity
Call + Bond = Put + Stock
Conversion Price
Face Value of Convertible / Conversion Ratio
Parity (Conversion Value) of Convertible Bond
Stock Price * Conversion Ratio
OR
Stock Price / Bond Face Value
Conversion Value Premium
(Convertible Price - Parity) / Parity
Convertible Bond in Terms of Straight Bond
Straight Bond + Call Option On Stock
Transition Multipliers
Up risk-neutral probability
Current Stock Price S Under Risk Neutral Probability
Call Option C of Discounted Risk Neutral Stock
Delta of Convertible
Delta of Convertible in Terms of Parity
Gamma of a Convertible (1st Partial Differential)
Gamma (2nd Partial Differential)
of Shares to Short
Delta x Conversion Ratio
Gordon’s Growth Model
Total Value of Assets in Terms of Enterprise Value
Enterprise Value + Cash
Equity Value (In Terms of EV)
Enterprise Vlaue + Cash - Debt
Free Cash Flow to Firm (FCFF)
Net Income
+
Non-cash Charges
-
Interest Rate (1 - Tax Rate)
-
Investments in Fixed Assets and Working Capital
Enterprise Value (In Terms of WACC and FCFF)
Return On Equity (Dupont Model)
Fisher Equation
(1 + n) = (1 + r) * (1 + i)
Covered Interest Rate Parity
Uncovered Interest Rate Parity
Relative PPP
Recovery Rate
PV of sum to be recovered / EAD
EAD = Exposure at Default
Loss Given Default (LGD)
LGD = EAD (1 - RR)
Expected Loss
Loss Given Default (LGD) x Probability of Default (PD)
Merton’s Firm Equity Structure
Assets = Debt + Equity
Equity Value using Callable Bond Strike Price (K)
ET = max (AT - K, 0)
Risky Debt Price in terms of Callable Bond Strike (K)
DT = K - max(K - AT,0)
Risky Debt given Risk Free/Put
Risky Debt = Risk Free - Put
Black Scholes Pricing Model
d in Black Scholes Model
Probability of Default in Black Scholes
Risk Free Debt in Black Scholes
Risky Debt would be Risk Free - Put
Put in Black Scholes
Zero Coupon Bond in Black Scholes
Credit Spread Under Black Scholes
Credit Spread given default intensity and recover rate
Distance to Default
Probability of Surviving t Years
Risky Debt Price Given Default Intensity
Bond Price With Recovery Rate
Altman Z Model
Fixed Charge Coverage Ratio
Vega
VIX 30 Day Contract Price
Vasicek Model
shares to short in convertible bond arbitrage
Delta x Convertible Bond Price / Stock Price
Yield to Maturity Under Vasicek
CIR Model
Ho and Lee Model
Conditional Prepayment Model
Absolute Prepayment Speed (ABS)
CPPI Exposure
