Formula sheet Flashcards
Aggregate trend growth comes from which two things, which themselves consist of?
What is the equation for aggregate MV of equity? What is the taylor rule? What is it in terms of the real, inflation-adjusted target rate?
GDP is in real terms
What is the national accounting identity?
Under the DCF approach to forecasting FI returns, YTM = what?. MacDur = ?, and if investment horizon is less than or greater than MacDur which effect dominates between reinvestment and capital g/l?
Under the building block approach expected bond return = ?
For forecasting equity returns, Price equals what?
Forecasting equity returns: Grinold kroner equation? and Risk premium approach equation?
Explain the effect of fiscal monetary policy on expected inflation, real rates and nominal rates, and the shape of the yield under the stages of business cycle?
Fiscal policy effects real rates - loose fiscal means govt is issuing govt securities to fund spending, and thus have to induce investors to save with higher rates.
Monetary policy effects expected inflation - loose monetary policy means higher expected inflation
Under the Singer Terharr approach, what is risk premium for when all markets and asset classes are fully integrated, for when completley segmented and for the combination of both?
Formula for % change in earnings for GK?
Forecasting real estate returns: equation for LR and SR cap rate? Relationship between forecasting cap rates, credit spreads and rates in general?
Cap rates also decrease as more debt is available, so higher debt/GDP means lower cap rate
What is PPP?
What is UIRP?
What is the capital flow equation for change in currency?
What are the main points about forecasting volatility? (VCV matrix, linear factor models, shrinkage estimation and ARCH models)
What is the MVO objective function?
What is MCTR and ACTR?
What is MVO for surplus return?
What is the risk parity equation?
What is the equations for after tax expected return, after tax standard deviation and equivalent rebalancing range for taxable investor?
For each of the following describe and give payoff, max profit, max loss and breakeven formula? Covered call, protective put, bull spread, bear spread?
The same for straddle, zero cost collar?
What are delta, gamma, vega?
Notional amount of a swap formula?
FI futures number of contracts formula and currency forward formula?
Number of equity futures contracts formula and number to change beta of portfolio formula
Variance swap formula?
Fed funds contract price convention?
Probability of change in ff rate formula?
Domestic currency return formula?
Yield income can be decomposed into…?
Rolldown return formula?
Rolling yield =?
Expected price change based on investor view on benchmark yields =?
Expected credit loss = ?
Leveraged portfolio return formula?
Leveraged futures formula?
repurchase agreements dollar interest = ?
Securities lending, rebate rate = ?
BPV (PVBP) formula?
BPV portfolio = ?
Number of futures contracts for liability matching?
Notional principal for a swap formula?
What is the essential relationship for full interest rate hedging?
Formula for standard error of the regression used in appraisal ratio?
Formula for butterfly spread?
Key rate duration formula?
What is yield spread, G-spread, I-spread, ASW (asset swap spread), CDS basis spread?
Average OAS measures?
Average SD measures?
DTS = ?
Formula for annualised excess spread return (XS) and formula for annualised excess expected spread return (EXS)?
CDS price per 1$ =?
Upfront payment to buyer = ?
%change in CDS price = ?
When does buyer/seller receive upfront premium?
Formula for effective number of stocks in index (HHI) = ?
Returns based style analysis: Rt = ?
Active return formula?
What are the three sources of active return in equation form?
Active share formula, active risk formula, total portfolio variance formula?
Contribution of each asset to portfolio variance formula?
Portfolio variance can be segmented into which two segments (in equation form)?
Variance of portfolio active return formula?
Contribution of each asset to active portfolio variance?
What is the conditional factor risk model form?
Desmoothed appraisal based return formula?
Nominal pre-tax return formula?
Pre-tax HPR formula?
AT HPR formula?
Geo average over n holding periods formula?
Post liquidiation Geo return over n holding periods?
AT return, Tax alpha and tax efficiency ratio formula?
Accumulation formulas, Tax-exemept, Taxable and tax deferred?
Mutual funds: Potential capital gains exposure = ?
Relative value of tax free gift formula?
Relative value of taxable gift formula?
Human capital at time t formula?
What is the mortality weighted net present value of future pension benefits formula?
For portfolio managers of insto clients, what is the spending rule?
Banks: balance sheet management formula and over modest yield changes the banks volatility of equity capital is a function of? What is delta i/delta y? How to increase DA, DL and DE?
i/y is the correlation between liability yield and asset yield
Balance sheet management formula expressed as volatilities?
Implementation shortfall formula and components?
Expanded IS and its components formula?
Trade execution: cost of trade, market adjusted cost and index cost formulas?
Portfolio performance evaluation: Formula for selection, interaction and selection and interaction? Formula for BHB allocation and BF allocation?
Formula for true active return, misfit active return and investor active return?
Portfolio return attribution formula ?
Sharpe ratio, treynor ratio, information ratio formula?
Appraisal ratio formula, Sortino ratio formula?
Upside capture, downside capture and capture ratio and interpretation?
Maximum drawdown formula?
Time weighted return with no external cash flows formula?
Modified Dietz return formula?
Modified IRR formula?
Notional of variance formula?
Strike = the volatility
Change in price of bond from spread duration
Change in spread is % change in OAS, change in MV = mvdts%change in spread
Formula for factor / asset contribution to portfolio risk
Formula for Div yield in terms of DPR and PE?
GIPS compliance historical performance, when claiming compliance must present how may years, then after compliance how many?
For stating return objectives what are the key points that must be mentioned?
Real/nominal including invetsment fees, above a reference either CPI or HPI if mentioned, state reasonable risk/ or below number if given and state time horizon
Formula for the minimum hedge ratio
Asset to be hedge over Hedging asset
Implemenattion shortfall in BPS formula
Formula for expected active return, in terms of TC, IC and BR
What are the liability mandates
What are the total return mandates
Compare and contrast systematic/discretionary and fundamental/quantitative
What are the bottom up appraoches?
What are the topdown appraoches?
