CFA level 1level II 公式表Word文档格式.docx

CFA level 1level II 公式表Word文档格式.docx

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e）PreservationofConfidentiality4.DutiestoEmployers

a）Loyalty

b）AdditionalCompensationArrangements

c）ResponsibilitiesofSupervisors5.InvestmentAnalysis,Recommendations,andAction

a）DiligenceandReasonableBasis

b）CommunicationwithClientsandProspectiveClients.

c）RecordRetention6.ConflictsofInterest

a）DisclosureofConflicts

b）PriorityofTransactions

c）ReferralFees.7.ResponsibilitiesasaCFAInstituteMemberorCFACandidate

a）ConductasMembersandCandidatesintheCFAProgram

b）ReferencetoCFAInstitute,theCFAdesignation,andtheCFAProgram.

GlobalInvestmentPerformanceStandards（GIPS）

1.ComplianceStatement:

”[Insertnameoffirm]haspreparedandpresentedthisreportin

compliancewiththeGlobalInvestmentPerformanceStandards（GIPS）.”Compliancemust

beappliedonafirm-widebasis.

2.Eightsections:

a）Fundamentalsofcompliance

b）Inputdata

c）Calculationmethodology

d）Compositeconstruction

e）Disclosures

f）Presentationandreporting

g）Realestate

-1-

h）Privateequity

QUANTITATIVEMETHODS

1.TimeValueofMoneyBasics

a）FutureValue（FV）:

amounttowhichinvestmentgrowsafteroneormorecompounding

periods.

Nb）FV,PV（1，I/Y）

c）PresentValue（PV）:

currentvalueofsomefuturecashflow

Nd）PV,FV/（1，I/Y）

e）Annuities:

seriesofequalcashflowsthatoccuratevenlyspacedintervalsovertime.

f）Ordinaryannuity:

cashflowatend-of-timeperiod.

g）Annuitiesdue:

cashflowatbeginning-of-timeperiod.

h）Perpetuities:

annuitieswithaninfinitelife

i）PV,PMT/（I/Y）perpetuity

2.Means

a）Arithmeticmean:

sumofallobservationvaluesinsample/population,dividedby#of

observations.

b）Geometricmean:

usedwhencalculatinginvestmentreturnsovermultipleperiodsorto

measurecompoundgrowthrates.

c）Geometricmeanreturn:

1/NR,[（1，R），......，（1，R）],1G1N

NHarmonicmean=N，，1

,,Xi,1i，，3.VarianceandStandardDeviation

a）Variance:

averageofsquareddeviationsfrommean.

N2X（,,）,i2,i1b）Populationvariance=,,N

N2（X,X）,i2,1ic）Samplevariance=s,n,1

d）Standarddeviation:

squarerootofvariance.

4.HoldingPeriodReturn（HRP）

，，PPDPDtt,1ttt,,,1RtPPt,1t,1

-2-

5.CoefficientofVariation

a）Coefficientofvariation（CV）:

expresshowmuchdispersionexistsrelativetomeanofa

distribution;

allowsfordirectcomparisonofdispersionacrossdifferentdatasets.CVis

calculatedbydividingstandarddeviationofadistributionbythemeanorexpected

valueofthedistribution.

Sb）CV,X

6.SharpeRatio

a）SharpeRatio:

measuresexcessreturnperunitofrisk.

r,rpfb）SharpeRatio=,p

r,rargptetc）Roy’ssafety–firstratio:

p7.ExpectedReturn/StandardDeviation

a）Expectedreturn:

E（X）,P（x）x,ii

E（X）,P（x）x，P（x）x，？

，P（x）x1122nn

b）Probabilisticvariance:

22（X）,P（x）,,x,E（X）,,ii222,,,,,,,P（x）x,E（X），P（x）x,E（X），？

，P（x）x,E（X）nn1122

c）Standarddeviation:

takesquarerootofvariance.

8.CorrelationandCovariance

a）Correlation=covariancedividedbyproductofthetwostandarddeviations.

COV（R,R）ij,corr（R,R）ij,（R）,（R）ijb）Expectedreturn,varianceof2-stockportfolio:

E（R）,wE（R），wE（R）pAABB

2222var（R,）,w（R，）,w（R，）2ww,（R,）（R）,（R,R）pAABBABABAB

9.NormalDistributions

a）Normaldistributioniscompletelydescribedbyitsmeanandvariance.

68%ofobservationsfallwithin,1,

90%fallwithin,1.65,

95%fallwithin,1.96,

99%fallwithin,2.58,

10.ComputingZ-scores

a）Z-score:

“standardizes”observationfromnormaldistribution;

represents#ofstandard

deviationsagivenobservationisfrompopulationmean.

-3-

observation,populationmeanx,,z,,standarddeviation,11.BinomialModels

a）Binomialdistribution:

assumesavariablecanhaveoneoftwovalues（success/failure）

or,inthecaseofastock,movements（up/down）.ABinomialModelcandescribe

changesinthevalueofanassetorportfolio;

itcanbeusedtocomputeitsexpected

valueoverseveralperiods.

12.SamplingDistribution

a）Samplingdistribution:

probabilitydistributionofallpossiblesamplestatisticscomputed

fromasetofequal-sizesamplesrandomlydrawnfromthesamepopulation.The

samplingdistributionofthemeanisthedistributionofestimatesofthemean.

13.CentralLimitTheorem

a）Centrallimittheorem:

whenselectingsimplerandomsamplesofsizenfrompopulation

withmeanμandfinitevarianceσ2,thesamplingdistributionofsamplemean

、2appr