Академический Документы
Профессиональный Документы
Культура Документы
U"
Reading 6: Time Value of Money • EAR (with Continuous Compounding) 4. MMWR = ∑.Q`o ()*qRR)_ = 0 (IRR
= EAR = 𝑒 +1 − 1
represents the MWR)
1. Interest Rate (i)
• i = Rf + Inf P + Default Risk 5. PV & FV of Ordinary Annuity
'
5. TWR:
P + Liquidity P + Maturity P )3
• PVOA =
%-.
∑PK`) ()*+)_ = 𝑃𝑀𝑇 c ('de)$
f • TWR (when no external CF) = rTWR =
• Nominal Rf i rate = Real Rf i Rate + + -#' 3-#r
Inf P 53K
HPR = rt = -#r
• FVOA = ∑PK`)g𝑃𝑀𝑇K (1 + 𝑟)h =
'
"#$ $ • TWR (for more than one periods) =
• i rate as a growth rate = g = ! & -1 ()*+)$ 3)
%# 𝑃𝑀𝑇 i +
j rTWR = [(1+rt,1)× (1+rt,2)×… (1+rt,n)] -1
• Size of Annuity Payment = PMT = • Annualized TWR (when investment is
2. PV and FV of CF = %# for more than one year)
"# %# ST OPPWQKk "LlKS+
• PV = ()*+)$ ' = u(1 + 𝑅) )g1 + 𝑅v … +
)3
%-. e1 m×$ '
• PV of Perpetuity = + • PV of Annuity Factor =
i'd!m&j
e1 (1 + 𝑅P )hxy _1
m
• PV (for more than one Compounding • TWR (for the year) = rTWR = [(1+R1)×
+1 32×5 (1+R2)×… (1+R365)] -1 where R1 =
per year) = PV= FVN !1 + 2& 6. PV & FV of Annuity Due -#' 3-#r
'
𝑤ℎ𝑒𝑟𝑒 𝑟; = 𝑠𝑡𝑎𝑡𝑒𝑑 𝑎𝑛𝑛 𝑖 − 𝑟𝑎𝑡𝑒 )3
('de)$ -#r
• PVAD = 𝑃𝑀𝑇 c f + PMT at t =
• FVN = 𝑃𝑉(1 + 𝑟)5 +
• FV (for more than one Compounding PVOA + PMT 6. Bank Discount Yield = BDY = rBD =
{|o %L+3%+QlM
+ 2×5 ()*+)$ 3) therefore Price = Par
per year) = FVN = !1 + 21 & • FVAD = 𝑃𝑀𝑇 i j (1 + 𝑟) = P %L+
+
P × +}~
• FV (for Continuous Compounding) = FVOA ×(1+r) !1 − {|o
&
FVN = 𝑃𝑉𝑒 +1×5
F5!
GH
& Reading 7: Discounted Cash Flow Applications 7. Holding Period Yield = HPY =
(%' 3%r * s' )
• IH
Solving for N = F5()*+) (where LN = %r
U"
natural log) 1. NPV = ∑PK`) ()*+)
_
_ − 𝑐𝑓o
8. Effective Annual Yield = EAY = (1 +
4. Stated & Effective Rates 𝐻𝑃𝑌){|•/K − 1 (Rule: EAY > BDY)
2. IRR (when project’s CFs are perpetuity) =
• Periodic i Rate = pppp
U"
JKLKMN OPP Q RLKM NPV = - IO + qRR = 0 9. Money Market Yield (or CD equivalent
5S ST US2VSWPNQPX %M+QSN; QP YPM ZML+ Yield) rMM:
• Effective (or Equivalent) Ann Rate (%' 3%r * s') • rMM = HPY × !
{|o
&
3. HPR = K
(EAR = EFF%) = (1 + %r
• rMM = (rBD) ×
𝑃𝑒𝑟𝑖𝑜𝑑𝑖𝑐 𝑖 𝑅𝑎𝑡𝑒)2 − 1 "LlM #LƒWM ST K„M .+ML;W+k …Qƒƒ
%W+l„L;M %+QlM
CFA Level I 2019 Formula Sheet
{|o (+ )
• For Even no of obvs locate ∑$
‘“'(”‘ 3˜)
™
• }~
rMM = {|o3(K)(+ (Rule: rMM> 17. Population Var = s2 =
}~ ) P 5
median at v
rBD) ∑$ ™
‘“'(”‘ 3˜)
10. Bond Equivalent Yield = BDY = • For Odd no. of obvs locate 18. Population S.D = √𝜎 v = œ 5
P*)
Semiannual Yield × 2 median at
v
∑y p ™
‘“'(”‘ 3”)
19. Sample Var = s2 = P3)
Reading 8: Statistical Concepts & Market 9. Mode = obvs that occurs most frequently
Returns in the distribution
∑y p ™
‘“'(”‘ 3”)
20. Sample S.D = s = œ P3)
1. Range = Max Value – Min Value pppp P
10. Weighted Mean = 𝑋 • = ∑Q`) 𝑤Q 𝑋Q =
(w1X1+ w2X2+….+ wnXn) (”‘ 3”p)™
2. Class Interval = i ≥
†3F
where 21. Semi-var = ∑"S+ Lƒƒ ”‘•”p
P3)
‡
y
• i = class interval 11. Geometric Mean = GM = Ž𝑋) 𝑋v … 𝑋P
22. Semi-deviation (Semi S.D) =
• H = highest value with Xi≥0 for i = 1,2,…n.
(”‘ 3”p )™
• L = lowest value, k = No. of classes. √𝑠𝑒𝑚𝑖𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒 = œ∑"S+ Lƒƒ ”‘•”p
P P3)
12. Harmonic Mean = H.M = pppp
𝑋† = '
∑y
‘“'••‘ ’
3. Absolute Frequency = Actual No of (”‘ 3…)™
Observations (obvs) in a given class 23. Target Semi-var = ∑"S+ Lƒƒ ”‘•… P3)
∑y
‘ ”‘
interval 13. Population Mean = µ = with 𝑋Q > 0 where B = Target Value
5
Oˆ;SƒWKM "+M‰WMPlk
for i = 1,2,.,.,n.
4. Relative Frequency = 24. Target Semi-Deviation =
.SKLƒ 5S ST YˆŠ;
∑y
‘ ”‘
Ž𝑡𝑎𝑟𝑔𝑒𝑡 𝑠𝑒𝑚𝑖𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒 =
14. Sample Mean = 𝑋p = where n =
P
5. Cumulative Absolute Frequency = Add up œ∑"S+ Lƒƒ ”‘•…
(”‘ 3…)™
number of observation in the sample P3)
the Absolute Frequencies
15. Measures of Location: J
6. Cumulative Relative Frequency = Add up sQ;K+QˆWKQSP
25. Coefficient of Variation = CV = !”p&
the Relative Frequencies • Quartiles =
– where s= sample S.D and 𝑋p = sample
sQ;K+QˆWKQSP
• Quintiles = • mean
JW2 ST SˆŠ; QP NLKLˆL;M
7. Arithmetic Mean = 5S.ST SˆŠ; QP K„M NLKLˆL;M • Deciles =
sQ;K+QˆWKQSP
,
)o -MLP %S+KTSƒQS R3-MLP RT R
k 26. Sharpe Ratio =
• Percentiles = Ly = (𝑛 + 1) )oo J.s ST %S+KTSƒQS R
8. Median = Middle No (when observations
are arranged in ascending/descending 27. Excess Kurtosis = Kurtosis – 3
16. Mean Absolute Deviation = MAD =
order)
∑y p
‘“'|”_ 3” |
P
CFA Level I 2019 Formula Sheet
28. Geometric Mean R ≈ • Multiplication Rule for two 13. Standard Deviation (S.D) =
#L+QLPlM ST R
𝐴𝑟𝑖𝑡ℎ𝑚𝑒𝑡𝑖𝑐 𝑀𝑒𝑎𝑛 𝑅 − independent events = P(A & B) = Ž𝑤)v 𝑅Q + 𝑤vv 𝑅v + 𝑤{v 𝑅{
v
P(AB) = P(A)× P(B)
Reading 9: Probability Concepts • Multiplication Rule for three 14. Correlation (b/w two random variables Ri,
independent events = P(A and B USŠ gR‘ R© h
Rj) = 𝜌g𝑅Q 𝑅¥ h =
1. Empirical Prob of an event E = P(E) = and C) = P(ABC) = P(A) × P(B) ªR‘ תR©
both events will happen): (where S1, S2, …,Sn are mutually exclusive
and exhaustive scenarios) 18. Combination Formula (Binomial Formula)
P!
P(A and B) = P(AB) = P(A|B) × P(B) = P 𝐶+ = gP+h = (P3+)!+!
P(B and A) = P(BA) = P(B|A) × P(A) 10. Expected R = E(wiRi) = wiE(Ri)
3. Standard Error of the sample mean: x−µ 6. Test Statistic for a test of diff b/w two pop
• When the population S.D (s) is known 9. t-ratio = t= means (normally distributed, pop var
ª s/ n unknown but assumed equal)
= 𝜎”
Ê =
√P
• When the population S.D (s) is not Reading 12: Hypothesis Testing pppp
(” pppp
' 3” ™ )3(˜' 3˜™ )
known = 𝑠”
; t= where 𝑆Vv = pooled
Ê = where s = sample å™ ™
æ åæ
'/™
√P ä * ç
y' y™
S.D estimate of s = 1. Test Statistic =
𝑺𝒂𝒎𝒑𝒍𝒆 𝑺𝒕𝒂𝒕𝒊𝒔𝒕𝒊𝒄 𝑯𝒚𝒑𝒐𝒕𝒉𝒆𝒔𝒊𝒛𝒆𝒅 𝑽𝒂𝒍𝒖𝒆 𝒐𝒇 𝒑𝒐𝒑 𝒑𝒂𝒓𝒂𝒎𝒆𝒕𝒆𝒓 estimator of common variance =
Ž𝑠𝑎𝑚𝑝𝑙𝑒 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒 = 𝒔𝒕𝒂𝒏𝒅𝒂𝒓𝒅 𝒆𝒓𝒓𝒐𝒓 𝒐𝒇 𝒔𝒂𝒎𝒑𝒍𝒆 𝒔𝒕𝒂𝒕𝒊𝒔𝒕𝒊𝒄 ∗ (P' 3))J'™ * (P™ 3))J™™
∑y p ™
‘“'(”‘ 3”)
where 𝑑𝑓 = 𝑛) + 𝑛v −
√𝑠 v 𝑤ℎ𝑒𝑟𝑒 𝑠 v = P3)
P' * P™ 3v
*
when Pop S.D is unknown, the standard 2.
4. Finite Population Correction Factor = fpc error of sample statistic is give by 𝑆”
Ê =
J 7. Test Statistic for a test of diff b/wn two
53P √P
= œi53)j where N= population pop means (normally distributed, unequal
*
and unknown pop var unknown)
when Pop S.D is unknown, the standard
5. New Adjusted Estimate of Standard Error error of sample statistic is give by 𝜎”
Ê = pppp
(” pppp
' 3” ™ )3(˜' 3˜™ )
= (Old estimated standard error × fpc) ª t= In this df calculated as
å ™
å ™ '/™
√P ä '* ™ç
y' y™
• sample error of the sample mean • 𝑋vv is another chi square random (where V = most recent closing price
ppp = Jè
difference = 𝑠 𝑑 variable with one n degrees of and Vx = closing price x days ago)
√P
freedom • Alternate Method to calculate M =
#
8. Chi Square Test Statistic (for test #±
× 100
12. Spearman Rank Correlation = 𝑟;
concerning the value of a normal
(P3))J ™ 6 ∑PQ`) 𝑑)v
population variance) 𝑋 v = where =1− 5. Relative Strength Index = RSI = 100 −
ªr™ 𝑛(𝑛v − 1) )oo
where
(𝑛 − 1) = 𝑑𝑓 𝑎𝑛𝑑 𝑆 v = • For small samples rejection points for )*RJ
∑(öV l„LPXM; )
∑y p ™
‘“r(”‘ 3”) the test based on 𝑟; are found using RS = ∑(|sS•P l„LPXM;|)
𝑠𝑎𝑚𝑝𝑙𝑒 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒 = P3) table.
• For large sample size (e.g. n>30) t-test 6. Stochastic Oscillator (composed of two
9. Chi Square Confidence Interval for
can be used to test the hypothesis i.e. lines %K and %D):
variance
(P3))J ™
(𝑛 − 2))/v 𝑟;
Lower limit = L = and Upper limit 𝑡 =
™
”é/™ (1 − 𝑟;v ))/v U3F)–
• %𝐾 = 100 !†)–3F)–& where:
(P3))J ™
=U== ™ C = latest closing price, L14 = lowest
”'êé/™ Reading 13: Technical Analysis
price in last 14 days, H14 is highest
10. F-test (test concerning differences between 1. Relative Strength Analysis = price in last 14 days
variances of two normally distributed 𝑷𝒓𝒊𝒄𝒆 𝒐𝒇 𝒂𝒔𝒔𝒆𝒕 • %D = Average of the last three %K
J'™
𝑷𝒓𝒊𝒄𝒆 𝒐𝒇 𝒕𝒉𝒆 𝑩𝒆𝒏𝒄𝒉𝒎𝒂𝒓𝒌 𝑨𝒔𝒔𝒆𝒕 values calculated daily.
populations) F = J™™
2. Price Target for the 7. Put/Call Ratio (Type of Sentiment
𝑆)v= 1𝑠𝑡 𝑠𝑎𝑚𝑝𝑙𝑒 𝑣𝑎𝑟 𝑤𝑖𝑡ℎ 𝑛) 𝑜𝑏𝑠 𝑆)v = • Head and Shoulders = Neckline – 𝑽𝒐𝒍𝒖𝒎𝒆 𝒐𝒇 𝑷𝒖𝒕 𝑶𝒑𝒕𝒊𝒐𝒏𝒔 𝑻𝒓𝒂𝒅𝒆𝒅
Indicators) = 𝑽𝒐𝒍𝒖𝒎𝒆 𝒐𝒇 𝑪𝒂𝒍𝒍 𝑶𝒑𝒕𝒊𝒐𝒏𝒔 𝑻𝒓𝒂𝒅𝒆𝒅
2𝑛𝑑 𝑠𝑎𝑚𝑝𝑙𝑒 𝑣𝑎𝑟 𝑤𝑖𝑡ℎ 𝑛v 𝑜𝑏𝑠 (Head – Neckline)
𝑑𝑓) = 𝑛) − 1 𝑛𝑢𝑚𝑒𝑟𝑎𝑡𝑜𝑟 𝑑𝑓 • Inverse Head and Shoulders =
8. Short Interest Ratio (Type of Sentiment
𝑑𝑓v = 𝑛v − 1 𝑑𝑒𝑛𝑜𝑚𝑖𝑛𝑎𝑡𝑜𝑟 𝑑𝑓 Neckline + (Neckline– Head)
𝑺𝒉𝒐𝒓𝒕 𝑰𝒏𝒕𝒆𝒓𝒆𝒔𝒕
Indicators) = 𝑨𝒗𝒆𝒓𝒂𝒈𝒆 𝑫𝒂𝒊𝒍𝒚 𝑻𝒓𝒂𝒅𝒊𝒏𝒈 𝑽𝒐𝒍𝒖𝒎𝒆
𝑷𝟏 *𝑷𝟐 *𝑷𝟑 ….*𝑷𝒏
11. Relation between Chi Square and F- 3. Simple Moving Average = 𝑵
”'™í 9. Arms Index TRIN i.e. Trading Index (Type
2
distribution = 𝐹 = ” ™ where: of Flow of funds Indicator) =
™í
P 4. Momentum Oscillator (or Rate of Change
• 𝑋)vis one chi square random variable Oscillator ROC): 𝐴𝑟𝑚 𝐼𝑛𝑑𝑒𝑥 𝑜𝑟 𝑇𝑅𝐼𝑁 =
5S.ST ONŠLP q;;WM; ÷5S.ST sMlƒQP q;;WM;
with one m degrees of freedom #SƒW2M ST ONŠLP q;;WM;÷#SƒW2M ST sMlƒQP q;;WM;
• Momentum Oscillator Value M = (V-
Vx) × 100
CFA Level I 2019 Formula Sheet
Reading 14: Topics in Demand & Supply 3. Concentration Ratio = 8. GDP = National income + Capital
Analysis C&, 67 B'A+B D'A&+B 67 (E+ A'/F+B( )o 7#/,B consumption allowance + Statistical
G6('A H'/I+( C'A+B
discrepancy
1. Qdx = f(Px, I, Py)
4. Herfindahl-Hirshman Index = Sum of the
9. National Income = Compensation of
N
squares of the market shares of the top N
Price Elasticity of Demand = 𝐸V° = employees + Corp & Govt enterprise
12è±
companies in an industry
% ∆ #$ %&'$(#() *+,'$-+- 2è± 34N° 3%° profits before taxes + Interest income +
% ∆ #$ ./#0+
= 1I± = ! %°
& !4N°& unincorporated business net income + rent
I± Reading 16: Aggregate Output, Prices &
+ indirect business taxes less subsidies
Economic Growth
2. Income Elasticity of Demand = 𝐸qN = 10. Total Amount Earned by Capital = Profit +
% ∆ #$ %&'$(#() *+,'$-+- 34N° 3q 1. Nominal GDP t = Prices in year t ×
= = ! & !4N°& Capital Consumption Allowance
% ∆ #$ 5$06,+ q Quantity produced in year t
3. N
Cross Elasticity = 𝐸Vk = 11. PI = National income – Indirect business
2. Real GDP t = Prices in the base year ×
% ∆#$ %&'$(#() *+,'$-+- 67 866- 9 taxes – Corp income taxes – Undistributed
= = Quantity produced in year t
% ∆ #$ ./#0+ 67 866- : Corp profits + Transfer payments
34N° 3%k
! & !4N°&
%k 3. Implicit price deflator for GDP or GDP
12. Personal disposable income (PDI) =
deflator =
Personal income – Personal taxes OR GDP
4. Total cost of production = TC = (w)(L) + D'A&+ 67 0&//+$( )/ 6&(J&( '( 0&//+$( )/ J/#0+B
×
(r)(K) D'A&+ 67 0&//+$( )/ 6&(J&( '( K'B+ )/ J/#0+B (Y) + Transfer payments (F) – (R/E +
100 Depreciation) – direct and indirect taxes
5. TR = (P)(Q) (R)
4. Real GDP = [(Nominal GDP / GDP
6. MR = ΔTR/ΔQ deflator) ÷ 100] 13. Business Saving = R/E + Depreciation
(%)(34) (4)(3%) ;.
7. MR= + = P + Q ;% L6,#$'A 8*. 14. Household saving = PDI - Consumption
;% ;% 5. GDP deflator = × 100
M+'A 8*.
expenditures - Interest paid by consumers
Reading 15: The firm & Market Structures to business - Personal transfer payments to
6. GDP = Consumer spending on final good
foreigners
& services + Gross private domestic invst
1. In perfect competition, Marginal revenue =
+ Govt. spending on final goods & services
Avg. Revenue = Price = Demand 15. Business sector saving = Undistributed
+ Govt. gross fixed invst + Exp – Imp +
corporate profits + Capital consumption
Statistical discrepancy
2. Marginal Revenue = Price × !1 − allowance
) 7. Net Taxes = Taxes – Transfer payments
&
./#0+ @A'B(#0#() 67 *+,'$-