2017年CFA一级公式表.pdf

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1、金程教育WWW.GFEDU.NETCFALevelIEasySheet版权所有不得翻印TQUANTITATIVEMETHODSTtFVCt(1r)t1TheTimeValueofMoneyInterestrate=Nominalrisk-freeratePresentValueofUnevenCashFlows=+DefaultriskpremiumTCt+LiquidityriskpremiumPVtt1(1r)+MaturityriskpremiumNominalrisk-freerateDiscountedCashFlowApplications=Realrisk-

2、freerate+expectedinflationrateTCFtRequiredRateofReturnNPV=Netpresentvaluett0(1r)ER()(1r)(1IP)(1RP)1frealNrfIPRPCFtTheIRRrule:NPVt0t0(1IRR)SAR=Statedannualrate=rp×mrp=periodrate;IfIRR≥costofcapital,acceptit;m=numberofcompoundingperiodsperpearIfIRR

3、tiveannualrate()11rpHoldingPeriodReturn=holdingperiodyield=HPYt=ThefuturevalueofcashflowPPDPDtt1tttFutureValue(FV):amounttowhichinvestmentgrowsHPRt1PPtt11afteroneormorecompoundingperiods.MoneyWeightedReturnisanIRRcalculation.nFVPV(1r)TimeWeightedReturnmeasurescompoundgrowthFVandpast-

4、periodreturnfornperiodsPVn（1/IY）TWR=n(1r)(1r)(1r)...(1r)1123nAnnuities:seriesofequalcashflowsthatoccuratevenlyspacedintervalsovertime.Thenannualizethetime-weightedreturn.Ordinaryannuity:cashfolwatend-of-timeperiod.()FVP3600BDY=BankDiscountYield=rBDAnnuitydue:cashflowatbeginning-of-timepe

5、riod.FVtPerpetuities:annuitieswithinfinitelives.365/tEAY=Effectiveannualyield=(1+HRY)-1FVAo=Futurevalueofanannuity=Moneymarketyield=HPY×(360/t)PMTnMoneymarketyield=BDY/(1-BDY×t/360)[(1r)1]rPVAo=Presentvalueofanannuity=StatisticalConceptsandMarketReturnsPositionoftheobservationatagivenpercentile

6、,y;PMT11ynrr(1)Lny(1)100FVAD=Futurevalueofannuitydue=FVAo×(1+r)Arithmeticmean:sumofallobservationvaluesinPVAD=Presentvalueofannuitydue=PVAo×(1+r)sample/population,dividedbynumberofobservations.PresentValueofPerpetuity=PMT/rGeometricmean:usedwhencalculatinginvestmentFutureValueofUnevenCas

7、hFlows=returnsovermultipleperiodsortomeasurecompoundgrowthrates.专业来自百分百的投入1金程教育WWW.GFEDU.NETCFALevelIEasySheet版权所有不得翻印Nn2Xi()XXii12i1Populationmean:Samplevariance=sxNn1nn2Xi()XXiSamplemean:Xi1i1Sam