To calculate CPPI strategies (equation)
Cash flow at the beginning of the evaluation period (equation)
Cash flow at the end of the evaluation period (equation)
Sources of return (equation)
MWRR (equation)
Sharpe Ratio (equation)
Incremental return to the asset category level (equation))
Incremental return to the benchmark level (equation)
)
Return to the investment managers level (equations)
Return to the investment managers level (equations)
SML (equation)
Ex post alpha (equation)
Information ratio (equation)
Treynor measure (equation)
M2 measure (equation)
Purely domestic portfolio return (equation)
Global portfolio return (equation)
Domestic return on a global portfolio (equation)
Currency effect for market j (equation)
Market return for the portfolio in local currencies (equation)
Security selection effect (equation)
Global return decomposition (equation)
Benchmark domestic return (equation)
Market allocation contribution (MAC) (equation)
Currency allocation contribution (equation)
2-period return to active management (equation)
Information ratio (equation)
Sharpe ratio (equation))
Annual Hedge Fund Sharpe Ratio)
Swap Rate Equation
Swap Price Equation
Swap Price Equation
Financial settlements fo interets rate swaps and comodity swaps equation
settlement = (diff between fixed and market values) x (notional principal)
Range of no-arbitrage prices for forwards (equation
Basic expression relating forward and spot prices (equations - multiple)
Information ratio (IRp) equation)
VAR equation
Daily, monthly standard deviation equations
Sharpe ratio equation.
Sortino ratio (equation
Return over maximum drawdown equation (RoMAD)
Optimal hedge ratio (h) equation
Delta (equation
Beta (equation)
Number of contracts (equation)
# Equity contracts (equation)
# Equity index contracts (equation)
# of contracts fixed income (equation)
Gamma (equation)
Duration of the portfolio plus a swap position (equation)
Solving for swap NP (equation)
Dollar duration of a bond or portfolio (equation)
DD = -(modified or effective duration)(decimal change in interest rates)(price)
Rebalancing ratio (equation
Leveraged equity duration (equation)
Target dollar duration (equation)
DDt = DDp + DDfutures
Dollar interest on a repo (equation
Dollar duration of a futures contract (equation)
Number of contracts to adjust portfolio dollar duration (equation)
Number of contracts for complete hedge (equation)
Hedge ratio (equation)
Payoff to a credit spread forward (equation)
Approximate forward premium or discount (equation)
Breakeven yield change (equation)
Endowment spending rules (equations - multiple)
Leverage-adjusted duration gap (equation)
Asset beta (equation)
Total asset beta (equation)
Market volatility (equation)
Covariance of two markets (equation)
Price of a stock at time 0 (equation)
Grinold-Kroner expected return on equity (equation)
Expected bond return (equation)
ICAPM (equation)
Beta for stock i (equation)
Correlation of stock i with the market (equation)
Equity risk premium for market i (equation)
Target interest rate to achieve neutral rate (equation)
Cobb-Douglas function (% change) equation)
Solow residual (equation
H-model (equation)
Constant growth model (equation)
Fed model (equation)
Yardeni model (equation))
P/10-Year MA equation
= current level of the S&P / average S&P earnings over last 10 yrs. adjusted for inflation
Tobin's q (equation
Equity q (equation)
Up (equation)
RSF (equation)
Return from a foreign asset (equation)
Contribution of currency risk (equation)
Investment income tax (accrual taxes) equation)
Deferred capital gains tax (MV=cost basis) equation
Deferred capital gains tax (MV not = cost basis) equation
Wealth-based tax (equation
Return after realized taxes (equation)
Effective capital gains tax rate (equation)
Future value interest factor after all taxes (equation)
Accrual equivalent after-tax return (equation)
Accrual equivalent tax rate (equation)
Future value interest factor for a tax deferred account (equation)
Future value interest factor for a tax-exempt account (equation)
Human capital at time t (equation)
Objective function for allocation of risky assets (equation)
Relative after tax value of tax free gift (equation)
Relative after tax value of taxable gift (equation)
Relative after tax value of taxable gift donor pays taxes (equation)
Relative after tax value of charitable donation (equation)
Generation skipping future value (no skipping) equation)
Generation skipping future value (w/ skipping) equation
Double taxation effective tax rate (equation
