CAIA - Equations Flashcards
1
Q
Probability Weighted Standard Deviation
A
2
Q
Expected Utility
A
3
Q
Expected Utility with Higher Moments
A
4
Q
Expected Utility Using VaR
A
5
Q
Expected Utility of DB Fund
A
6
Q
Expected Utility of DB with Liability Growth
A
7
Q
Weight of Risky Asset in DB Plan with Liability Growth
A
8
Q
Degree of Risk Aversion
A
9
Q
Asset Class Return
A
Risk Free
+
Expected Inflation
+
Risk Premium
10
Q
MVO objective function
A
11
Q
Optimal Weight of Risky Asset
A
12
Q
Hurdle Rate Criteria
A
13
Q
Information Ratio in terms of information coefficient and breadth
A
14
Q
Information Ratio with Transfer Coefficient
A
15
Q
Information Ratio using Alpha
A
16
Q
Beta of New Portfolio using futures for Tactical Asset Allocation
A
F = Notional amount of futures
P = Size of portfolio
17
Q
Market Value Adjusted for Liquidity Preference
A
18
Q
Estimation Error
A
19
Q
Portfolio Variance
A
20
Q
Marginal Contribution of Risk to Total Portfolio
A
21
Q
Beta
A
22
Q
Portfolio’s Total Risk in Terms of Risk Factor Contributions
A
23
Q
Risk of 2-asset portfolio
A
24
Q
Volatility Weighted Weight
A
25
Change In Endowment Value
Income From Gifts
-
Spending
+
Net Investment Returns
26
Total Return in Terms of Strategic Asset Allocation, security selection and market timing
Returns from SAA
+
Security Selection
+
Market Timing
27
% Change In Pension Liabilities Given Duration and Yield
- Modified Duration x Change In Yield
28
Market Value of Equity In Terms of Operating Assets/Liabilities
(OA - OL) + (A - L)
OA/L = Operating Assets / Liability
29
Economic Life in Years
30
PV of Growth Annuity
31
PV of Ordinary Annuity
32
Change in Reserve Account
Change in Current Account
+
Change in Capital Account
33
Blended Tax Rate on Section 1256 Investments
0.4TShort + 0.6TLong
34
Cap Rate (i) in terms of Rent (R) and Price (P)
i = R / P
35
Change in Stock of Space
C = New Construction
d = depreciation rate
S = Stock of Space
36
Stock of Space
C / d
C = New Construction
d = depreciation rate
37
Smoothed Price In Terms of AutoCorrelation
38
Reported Price In Terms of Alpha
39
True Price of Smoothed Returns in Terms of Alpha
40
Correlation Coefficient
41
Variance of True Returns
42
Variance of Reported (Smoothed) Returns
43
Beta of True Returns
44
Net Operating Income
Effective Gross Income - Operating Expenses
45
Effective Gross Income
Potential Gross Income - Vacancy Loss
46
Cap Rate in terms of NOI
NOI / Propertiy Value
47
True Volatility
48
PV of Depreciation Tax Shield
49
After-Tax Rate Without Tax Deferral
r \* (1 - Tax Rate)
50
After-Tax Rate With Deferral
51
Leveraged Return and Leveraged Standard Deviation
52
Property Value In Foreign Currency
53
Variance of Global Real Estate Returns
54
Crop Yield
Y = S \* I \* E \* H
S =Solar Radiation
I = Solar Radiation Capture
E = Photosynthetic Efficiency
H = Harvest Index
55
Cash on Cash Returns of Films
56
Cost of Carry
Financing
+
Storage
+
Spoilage
-
Convenience Yield
57
Futures Price
Spot Price + Cost of Carry
58
Geometric Mean
59
Substitute Test Statistic
60
100-day statistic
61
Daily Return on Leveraged ETF
A = Degree of Leverage
R = Return on underlying asset
r = Borrowing Rate
62
Value of $1 invested in Leveraged ETF after T Days
63
Signal to Noise Ratio
64
Number of Futures Contracts given Volatility
65
Number of Futures Contracts Given Price Volatility
66
Implicit Leverage
Notional Value / Inital Margin
67
Trading Level
Funding Level + Notional Level
68
Margin to Equity Ratio
Margin Requirement / NAV
69
Capital at Risk
Loss if hit stop loss / NAV
70
Value at Risk (VaR)
71
Exponentially Smoothed Return
72
Exponentially Smoothed Variance
73
Omega
74
Put-Call Parity
Call + Bond = Put + Stock
75
Conversion Price
Face Value of Convertible / Conversion Ratio
76
Parity (Conversion Value) of Convertible Bond
Stock Price \* Conversion Ratio
OR
Stock Price / Bond Face Value
77
Conversion Value Premium
(Convertible Price - Parity) / Parity
78
Convertible Bond in Terms of Straight Bond
Straight Bond + Call Option On Stock
79
Transition Multipliers
80
Up risk-neutral probability
81
Current Stock Price S Under Risk Neutral Probability
82
Call Option C of Discounted Risk Neutral Stock
83
Delta of Convertible
84
Delta of Convertible in Terms of Parity
85
Gamma of a Convertible (1st Partial Differential)
86
Gamma (2nd Partial Differential)
87
of Shares to Short
Delta x Conversion Ratio
88
Gordon's Growth Model
89
Total Value of Assets in Terms of Enterprise Value
Enterprise Value + Cash
90
Equity Value (In Terms of EV)
Enterprise Vlaue + Cash - Debt
91
Free Cash Flow to Firm (FCFF)
Net Income
+
Non-cash Charges
-
Interest Rate (1 - Tax Rate)
-
Investments in Fixed Assets and Working Capital
92
Enterprise Value (In Terms of WACC and FCFF)
93
Return On Equity (Dupont Model)
94
Fisher Equation
(1 + n) = (1 + r) \* (1 + i)
95
Covered Interest Rate Parity
96
Uncovered Interest Rate Parity
97
Relative PPP
98
Recovery Rate
PV of sum to be recovered / EAD
EAD = Exposure at Default
99
Loss Given Default (LGD)
LGD = EAD (1 - RR)
100
Expected Loss
Loss Given Default (LGD) x Probability of Default (PD)
101
Merton's Firm Equity Structure
Assets = Debt + Equity
102
Equity Value using Callable Bond Strike Price (K)
ET = max (AT - K, 0)
103
Risky Debt Price in terms of Callable Bond Strike (K)
DT = K - max(K - AT,0)
104
Risky Debt given Risk Free/Put
Risky Debt = Risk Free - Put
105
Black Scholes Pricing Model
106
d in Black Scholes Model
107
Probability of Default in Black Scholes
108
Risk Free Debt in Black Scholes
Risky Debt would be Risk Free - Put
109
Put in Black Scholes
110
Zero Coupon Bond in Black Scholes
111
Credit Spread Under Black Scholes
112
Credit Spread given default intensity and recover rate
113
Distance to Default
114
Probability of Surviving t Years
115
Risky Debt Price Given Default Intensity
116
Bond Price With Recovery Rate
117
Altman Z Model
118
Fixed Charge Coverage Ratio
119
Vega
120
VIX 30 Day Contract Price
121
Vasicek Model
122
shares to short in convertible bond arbitrage
Delta x Convertible Bond Price / Stock Price
123
Yield to Maturity Under Vasicek
124
CIR Model
125
Ho and Lee Model
126
Conditional Prepayment Model
127
Absolute Prepayment Speed (ABS)
128
CPPI Exposure
