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CAIA > CAIA - Equations > Flashcards

CAIA - Equations Flashcards

1
Q

Probability Weighted Standard Deviation

A
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2
Q

Expected Utility

A
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3
Q

Expected Utility with Higher Moments

A
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4
Q

Expected Utility Using VaR

A
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5
Q

Expected Utility of DB Fund

A
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6
Q

Expected Utility of DB with Liability Growth

A
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7
Q

Weight of Risky Asset in DB Plan with Liability Growth

A
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8
Q

Degree of Risk Aversion

A
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9
Q

Asset Class Return

A

Risk Free

+

Expected Inflation

+

Risk Premium

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10
Q

MVO objective function

A
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11
Q

Optimal Weight of Risky Asset

A
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12
Q

Hurdle Rate Criteria

A
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13
Q

Information Ratio in terms of information coefficient and breadth

A
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14
Q

Information Ratio with Transfer Coefficient

A
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15
Q

Information Ratio using Alpha

A
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16
Q

Beta of New Portfolio using futures for Tactical Asset Allocation

A

F = Notional amount of futures

P = Size of portfolio

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17
Q

Market Value Adjusted for Liquidity Preference

A
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18
Q

Estimation Error

A
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19
Q

Portfolio Variance

A
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20
Q

Marginal Contribution of Risk to Total Portfolio

A
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21
Q

Beta

A
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22
Q

Portfolio’s Total Risk in Terms of Risk Factor Contributions

A
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23
Q

Risk of 2-asset portfolio

A
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24
Q

Volatility Weighted Weight

A
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25
Q

Change In Endowment Value

A

Income From Gifts

-

Spending

+

Net Investment Returns

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26
Q

Total Return in Terms of Strategic Asset Allocation, security selection and market timing

A

Returns from SAA

+

Security Selection

+

Market Timing

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27
Q

% Change In Pension Liabilities Given Duration and Yield

A
  • Modified Duration x Change In Yield
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28
Q

Market Value of Equity In Terms of Operating Assets/Liabilities

A

(OA - OL) + (A - L)

OA/L = Operating Assets / Liability

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29
Q

Economic Life in Years

A
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30
Q

PV of Growth Annuity

A
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31
Q

PV of Ordinary Annuity

A
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32
Q

Change in Reserve Account

A

Change in Current Account

+

Change in Capital Account

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33
Q

Blended Tax Rate on Section 1256 Investments

A

0.4TShort + 0.6TLong

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34
Q

Cap Rate (i) in terms of Rent (R) and Price (P)

A

i = R / P

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35
Q

Change in Stock of Space

A

C = New Construction

d = depreciation rate

S = Stock of Space

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36
Q

Stock of Space

A

C / d

C = New Construction

d = depreciation rate

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37
Q

Smoothed Price In Terms of AutoCorrelation

A
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38
Q

Reported Price In Terms of Alpha

A
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39
Q

True Price of Smoothed Returns in Terms of Alpha

A
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40
Q

Correlation Coefficient

A
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41
Q

Variance of True Returns

A
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42
Q

Variance of Reported (Smoothed) Returns

A
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43
Q

Beta of True Returns

A
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44
Q

Net Operating Income

A

Effective Gross Income - Operating Expenses

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45
Q

Effective Gross Income

A

Potential Gross Income - Vacancy Loss

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46
Q

Cap Rate in terms of NOI

A

NOI / Propertiy Value

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47
Q

True Volatility

A
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48
Q

PV of Depreciation Tax Shield

A
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49
Q

After-Tax Rate Without Tax Deferral

A

r * (1 - Tax Rate)

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50
Q

After-Tax Rate With Deferral

A
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51
Q

Leveraged Return and Leveraged Standard Deviation

A
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52
Q

Property Value In Foreign Currency

A
53
Q

Variance of Global Real Estate Returns

A
54
Q

Crop Yield

A

Y = S * I * E * H

S =Solar Radiation

I = Solar Radiation Capture

E = Photosynthetic Efficiency

H = Harvest Index

55
Q

Cash on Cash Returns of Films

A
56
Q

Cost of Carry

A

Financing

+

Storage

+

Spoilage

-

Convenience Yield

57
Q

Futures Price

A

Spot Price + Cost of Carry

58
Q

Geometric Mean

A
59
Q

Substitute Test Statistic

A
60
Q

100-day statistic

A
61
Q

Daily Return on Leveraged ETF

A

A = Degree of Leverage

R = Return on underlying asset

r = Borrowing Rate

62
Q

Value of $1 invested in Leveraged ETF after T Days

A
63
Q

Signal to Noise Ratio

A
64
Q

Number of Futures Contracts given Volatility

A
65
Q

Number of Futures Contracts Given Price Volatility

A
66
Q

Implicit Leverage

A

Notional Value / Inital Margin

67
Q

Trading Level

A

Funding Level + Notional Level

68
Q

Margin to Equity Ratio

A

Margin Requirement / NAV

69
Q

Capital at Risk

A

Loss if hit stop loss / NAV

70
Q

Value at Risk (VaR)

A
71
Q

Exponentially Smoothed Return

A
72
Q

Exponentially Smoothed Variance

A
73
Q

Omega

A
74
Q

Put-Call Parity

A

Call + Bond = Put + Stock

75
Q

Conversion Price

A

Face Value of Convertible / Conversion Ratio

76
Q

Parity (Conversion Value) of Convertible Bond

A

Stock Price * Conversion Ratio

OR

Stock Price / Bond Face Value

77
Q

Conversion Value Premium

A

(Convertible Price - Parity) / Parity

78
Q

Convertible Bond in Terms of Straight Bond

A

Straight Bond + Call Option On Stock

79
Q

Transition Multipliers

A
80
Q

Up risk-neutral probability

A
81
Q

Current Stock Price S Under Risk Neutral Probability

A
82
Q

Call Option C of Discounted Risk Neutral Stock

A
83
Q

Delta of Convertible

A
84
Q

Delta of Convertible in Terms of Parity

A
85
Q

Gamma of a Convertible (1st Partial Differential)

A
86
Q

Gamma (2nd Partial Differential)

A
87
Q

of Shares to Short

A

Delta x Conversion Ratio

88
Q

Gordon’s Growth Model

A
89
Q

Total Value of Assets in Terms of Enterprise Value

A

Enterprise Value + Cash

90
Q

Equity Value (In Terms of EV)

A

Enterprise Vlaue + Cash - Debt

91
Q

Free Cash Flow to Firm (FCFF)

A

Net Income

+

Non-cash Charges

-

Interest Rate (1 - Tax Rate)

-

Investments in Fixed Assets and Working Capital

92
Q

Enterprise Value (In Terms of WACC and FCFF)

A
93
Q

Return On Equity (Dupont Model)

A
94
Q

Fisher Equation

A

(1 + n) = (1 + r) * (1 + i)

95
Q

Covered Interest Rate Parity

A
96
Q

Uncovered Interest Rate Parity

A
97
Q

Relative PPP

A
98
Q

Recovery Rate

A

PV of sum to be recovered / EAD

EAD = Exposure at Default

99
Q

Loss Given Default (LGD)

A

LGD = EAD (1 - RR)

100
Q

Expected Loss

A

Loss Given Default (LGD) x Probability of Default (PD)

101
Q

Merton’s Firm Equity Structure

A

Assets = Debt + Equity

102
Q

Equity Value using Callable Bond Strike Price (K)

A

ET = max (AT - K, 0)

103
Q

Risky Debt Price in terms of Callable Bond Strike (K)

A

DT = K - max(K - AT,0)

104
Q

Risky Debt given Risk Free/Put

A

Risky Debt = Risk Free - Put

105
Q

Black Scholes Pricing Model

A
106
Q

d in Black Scholes Model

A
107
Q

Probability of Default in Black Scholes

A
108
Q

Risk Free Debt in Black Scholes

A

Risky Debt would be Risk Free - Put

109
Q

Put in Black Scholes

A
110
Q

Zero Coupon Bond in Black Scholes

A
111
Q

Credit Spread Under Black Scholes

A
112
Q

Credit Spread given default intensity and recover rate

A
113
Q

Distance to Default

A
114
Q

Probability of Surviving t Years

A
115
Q

Risky Debt Price Given Default Intensity

A
116
Q

Bond Price With Recovery Rate

A
117
Q

Altman Z Model

A
118
Q

Fixed Charge Coverage Ratio

A
119
Q

Vega

A
120
Q

VIX 30 Day Contract Price

A
121
Q

Vasicek Model

A
122
Q

shares to short in convertible bond arbitrage

A

Delta x Convertible Bond Price / Stock Price

123
Q

Yield to Maturity Under Vasicek

A
124
Q

CIR Model

A
125
Q

Ho and Lee Model

A
126
Q

Conditional Prepayment Model

A
127
Q

Absolute Prepayment Speed (ABS)

A
128
Q

CPPI Exposure

A

CAIA (39 decks)

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