Test 3 Flashcards
NAV
(assets - liabilities) / shares outstanding
Total Return
(end - beg + income) / beg
Total Return with Reinvestment
(end market value - beg market value) / beg market value
Dollar Cost Averaging average price
total NAV / n
Dollar Cost Averaging average cost
total investment / total shares
Turnover Ratio
lesser of purchases or sales / average daily sales
Sharpe Ratio
(Rp - Rf) / SDp
Treynor Ratio
(Rp - Rf) / Beta
Sortino Ratio
(Rp - Rf) / SDd
Jensen’s Alpha
Rp - [Rf - Beta(Rm - Rf)]
Expected Return
SUM (possible returns * probability of it occurring)
Standard Deviation
SQRT[ SUM( prob * (return -ER)^2) ]
Standard Deviation of a Portfolio
SQRT[ (w1)^2 * (sd2)^2 + (w2)^2 * (sd2)^2 + 2(w1)(w2)COV
Coefficient of Variation (CV)
sd / mean
Correlation Coefficient (CORR)
COV / [(sd1)(sd2)]
Covariance (COV)
[ SUM[ (return1 * avg1) + (return2 * avg2)]] / (n - 1)
Beta
CORR * (sdi / sdm)
Minimum Variance Portfolio
[sd2)^2 - (sd1)(sd2)CORR] / [ sd1 + sd2 - 2(sd1)(sd2)CORR]
Cumulative Return
end/beg -1
Portfolio Weighted Return
SUM (return * weight)
R-Squared
CORR^2
