notescfa 2019 - level 1 schwesers quicksheet

1、/C r i t ic a lC o n c e pt s f o rt h e 20 19 C F A Exa mETHICAL AND PROFESSIONALApproximation formula for nominal required rate:Expected return, variance o f 2-stock portfolio.STANDARDSE(R) = RFR + IP + RPE(RP) = w a E(Ra ) + w bE(Rb)MeansIProfessionalismArithmetic mean: sum of all observation val

2、ues in1(A)Knowledge of the Law.sample/population, divided by # of observations.var(R p) = w 2 cr2 (R A) + w 2cr2 (R B)1(B)Independence and Objectivity.+2wAwBcr(RA)cr(RB) p ( R A,R B)1(C)Misrepresentation.Geometric mean: used when calculating investment1(D)Misconduct.returns over multiple periods or

3、to measureNormal DistributionsIIIntegrity of Capital Marketscompound growth rates.Normal distribution is completely described by its11(A) Material Nonpublic Information.Geometric mean return:mean and variance.11(B) Market Manipulation.Rc= (l + R1) x .x ( l + RN)Y*/N168% of observations fall within I

4、ct.IIIDuties to Clients90% fall within 1.65a.III (A) Loyalty, Prudence, and Care.III(B) Fair Dealing.harmonic mean =N95% fall within 1.96a.NIII(C) Suitability.E99% fall within 2.58a.III(D) Performance Presentation.i=l ,x ,Computing Z-ScoresIII(E) Preservation of Confidentiality.Z-score: “standardize

5、s” observation from normal IVDuties to EmployersVariance and Standard Deviationdistribution; represents # of standard deviations a IV(A) Loyalty.Variance: average of squared deviations from mean.given observation is from population mean.IV(B) Additional Compensation Arrangements.NIV(C) Responsibilit

6、ies of Supervisors. ( Xi M)2z = observation population meanx flVInvestment Analysis, Recommendations,standard deviationaand Actionspopulation variance = cr2= -V(A) Diligence and Reasonable Basis.NBinomial ModelsV(B) Communication with Clients andnBinomial distribution: assumes a variable can takePro

7、spective Clients.E ( x i - x ) 2one of two values (success/failure) or, in the case of V(C) Record Retention.VIConflicts of Interestsample variance =s2= i=la stock, movements (up/down). A binomial modelVI(A) Disclosure of Conflicts.n 1can describe changes in the value of an asset or VI (B) Priority

8、of Transactions.Standard deviation: square root of variance.portfolio; it can be used to compute its expected VI(C) Referral Fees.Holding Period Return (HPR)value over several periods.VIIResponsibilities as a CFA InstituteSampling DistributionMember or CFA CandidateRPr-Pr-t+ D r or_ !Sampling distri

9、bution: probability distribution ofVII(A) Conduct as Participants in CFA InstitutePt-1Pt-1all possible sample statistics computed from a set of Programs.equal-size samples randomly drawn from the sameVII(B) Reference to CFA Institute, the CFACoefficient of VariationDesignation, and the CFA Program.C

10、oefficient o f variation (CV): expresses how muchpopulation. The sampling distribution o f the mean isGlobal Investment Performance Standardsdispersion exists relative to mean of a distribution;the distribution of estimates of the mean.(GIPS)allows for direct comparison of dispersion acrossCentral L

11、imit Theoremdifferent data sets. CV is calculated by dividingCentral lim it theorem: when selecting simple Compliance statement: “Insert name of firm hasstandard deviation of a distribution by the mean orrandom samples of size n from population with prepared and presented this report in complianceex

12、pected value of the distribution:mean p and finite variance a 2, the sampling with the Global Investment Performancedistribution of sample mean approaches normalStandards (GIPS).” Compliance must be appliedCV = =on a firm-wide basis.Xprobability distribution with mean p and variance Nine sections: f

13、undamentals of compliance,Sharpe Ratioequal to a1In as the sample size becomes large.input data, calculation methodology, compositeStandard Errorconstruction, disclosures, presentation andSharpe ratio: measures excess return per unit of risk.Standard error o f the sample mean is the standardreportin

14、g, real estate, private equity, and wrap deviation of distribution of the sample means. fee/separately managed account portfolios.bnarpec,ratio = rP-r faknown population variance: a = aQUANTITATIVE METHODSRoys safety-first ratio: rp targetunknown population variance: s* =Time Value of Money BasicsFo

15、r both ratios, larger is better. Future value (FV): amount to which investmentConfidence Intervalsgrows after one or more compounding periods.Expected Return/Standard DeviationConfidence interval: gives range of values the mean Future value: FV = PV(1 + I/Y)N.Expected return: E(X) = P ( x j) xnvalue

16、 will be between, with a given probability (say Present value (PV): current value of some futureE(X) = P(x 1) x 1+ P (x 2) x 2 + . + P(xn) x n90% or 95%). With known variance, formula for a cash flow PV - FV/(1 + I/Y)N.confidence interval is: Annuities: series of equal cash flows that occur atProbab

17、ilistic variance:aevenly spaced intervals over time.2(x )= E p(xi ) h - E(x )fx zall Ordinary annuity: cash flow at end-oFume. period. Annuity due: cash flow at beginning-of-time period.= P(x1)x1- E ( X ) f + P(x 2)x2 -E (X ):ZaJ2 1.645 for 90% confidence intervals Perpetuities: annuities with infin

18、ite lives.+ . + P(xn)x E ( x ) f(significance level 10%, 5% in each tail)PVperpetui.ty = PMT/(vdiscount rate).Z = 1.960 for 95% confidence intervalsallRequired Rate of ReturnStandard deviation: take square root of variance.(significance level 5%, 2.5% in each tail)Components:Correlation and Covarian

19、ceZ = 2.575 for 99% confidence intervalsall1. Real risk-free rate (RFR).Correlation: covariance divided by product of the(significance level 1%, 0.5% in each tail)2. Expected inflation rate premium (IP).two standard deviations.3. Risk premium.COV (Rj, RjE(R) =(1 + RFRreal)(l + IP)(1 + RP) 1corr RR:

20、=continued on next page.需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz786468331QUANTITATIVE METHODS continued.Oligopoly: Few firms that may have significantBalance of PaymentsNull and Alternative Hypothesespricing power; high barriers to entry; products mayCurrent account: merchandise and services; incomeNull hypo

21、thesis (H): hypothesis that contains thebe homogeneous or differentiated.receipts; unilateral transfers.equal sign (=, ); the hypothesis that is actuallyMonopoly: Single firm with significant pricingCapital account: capital transfers; sales/purchases of tested; the basis for selection of the test st

22、atistics.power; high barriers to entry; advertising used tononfinancial assets.Alternative hypothesis (Ha): concluded if there iscompete with substitute products.Financial account: government-owned assets sufficient evidence to reject the null hypothesis.In all market structures, profit is maximized

23、 atabroad; foreign-owned assets in the country.Difference Between One- and Two-Tailed Teststhe output quantity for which marginal revenue =Regional Trading AgreementsOne-tailed test: tests whether value is greater than ormarginal cost.Free trade area: Removes barriers to goods andless than a given n

24、umber.Gross Domestic Productservices trade among members.Two-tailed test: tests whether value is equal to aReal GDP = consumption spending + investment +Customs union: Members also adopt common trade given ernment spending + net exports.policies with non-members. One-tailed test: H 0: p 0.

25、Savings, Investment, Fiscal Balance, and TradeCommon market: Members also remove barriers to Two-tailed test: H 0: p = 0 versus Ha p * 0.Balancelabor and capital movements among members.Type I and Type II ErrorsFiscal budget deficit (G - T) = excess of saving overEconomic union: Members also establi

26、sh common Type I error: rejection of null hypothesis when it isdomestic investment (S - I) - trade balance (X - M)institutions and economic policy.actually true.Equation of ExchangeMonetary union: Members also adopt a common Type II error: failure to reject null hypothesis whenMV = PY, where M = rea

27、l money supply, V =currency.it is actually false.velocity of money in transactions, P = price level,Foreign Exchange RatesTypes of Hypothesis Testsand Y = real GDP.For the exam, FX rates are expressed as priceUse t-statistic for tests involving the populationBusiness Cycle Phasescurrency / base curr

28、ency and interpreted as themean (location of mean, difference in means,Expansion; peak; contraction; trough.number of units of the price currency for each unitpaired comparisons).of the base currency.Use chi-square statistic for tests of a singleEconomic IndicatorsReal Exchange Ratepopulation varian

29、ce.Leading: Turning points occur ahead of peaks andbase currency CPIUse F-statistic for tests comparing two populationtroughs (stock prices, initial unemployment claims,= nominal FX rate X price currency CPIvariances.manufacturing new orders)yTechnical AnalysisCoincident: Turning points coincide wit

30、h peaksNo-Arbitrage Forward Exchange RateReversal patterns: head and shoulders, inverse H&S,and troughs (nonfarm payrolls, personal income,forward 1 + price currency interest ratemanufacturing sales)double/triple top or bottom.Lagging: Turning points follow peaks and troughsspot1 + base currency int

31、erest rateContinuation patterns: triangles, rectangles,(average duration of unemployment, inventory/pennants, flags.sales ratio, prime rate)Exchange Rate RegimesPrice-based indicators: moving averages, BollingerFormal dollarization: country adopts foreign bands, momentum oscillators (rate of change,

32、 RSI,Factors Affecting Aggregate Demandcurrency.stochastic, MACD).Consumers wealth; business expectations;Monetary union: members adopt common currency.Sentiment indicators: opinion polls, put/call ratio,consumers income expectations; capacityFixedpeg: 1% margin versus foreign currency or VIX, margi

33、n debt, short interest ratio.utilization; monetary and fiscal policy; exchangebasket of currencies.Flow o f funds indicators: TRIN, margin debt,rates; global economic growth.Target zone: Wider margin than fixed peg.mutual fund cash position, new equity issuance,Factors Affecting SR Aggregate SupplyC

34、rawling peg: Pegged exchange rate adjusted secondary offerings.Input prices; labor productivity; expectations forperiodically.output prices; taxes and subsidies; exchange rates;Crawling bands: Width of margin increases overECONOMICS1all factors that affect LR aggregate supply.time.Factors Affecting

35、LR Aggregate SupplyM anagedfloating: Monetary authority acts toElasticitySize of labor force; human capital; supply ofinfluence exchange rate but does not set a target.Own p rice elasticity%A quantity demandednatural resources; stock of physical capital; level ofIndependently floating: Exchange rate

36、 is market-% A pricetechnology.determined.If absolute value 1, demand is elastic.Types of UnemploymentIf absolute value 1, demand is inelastic.Frictional: time lag in matching qualified workersOn a straight line demand curve, total revenue iswith job openings.Fin a n c ia l r e p o r t in g an dmaxi

37、mized where price elasticity =1.Structural: unemployed workers do not have the.ANALYSISIncome elasticity%A quantity demandedskills to match newly created jobs.%A incomeCyclical: economy producing at less than capacityRevenue Recognitionduring contraction phase of business cycle.If positive, the good

38、 is a normal good.Two requirements: (1) completion of earningsIf negative, the good is an inferior good.Policy Multipliersprocess and (2) reasonable assurance of payment.Cross p r . e . l . s . city = %A quantity demandedmoney multiplier = - -Revenue Recognition Methodsic e a ti-%A price of related

39、goodreserve requirement Percentage-of-completion method.If positive, related good is a substitute. Completed contract method.If negative, related good is a complement.fiscal multiplier = - Installment sales.l- M P C ( l- t ) Cost recovery method.Breakeven and ShutdownBreakeven: total revenue = total

40、 cost.where MPC = marginal propensity to consume,Converged Standards Issued May 2014Operate in short run if total revenue is greater thant = tax rate.Five-step revenue recognition model: total variable cost but less than total cost.Expansionary and Contractionary Policy1. Identify contractsShut down

41、 in short run if total revenue is less thanMonetary policy is expansionary when the policy2. Identify performance obligationstotal variable cost.rate is less than the neutral interest rate (real trend3. Determine transaction priceMarket Structuresrate of economic growth + inflation target) and4. All

42、ocate price to obligationsPerfect competition: Many firms with no pricingcontractionary when the policy rate is greater than5. Recognize when (as) obligations are satisfiedpower; very low or no barriers to entry;the neutral interest rate.Unusual or Infrequent Itemshomogeneous product.Fiscalpolicy is

43、 expansionary when a budget Gains/losses from disposal of a business segment.Monopolistic competition: Many firms; somedeficit is increasing or surplus is decreasing, and Gains/losses from sale of assets or investments inpricing power; low barriers to entry; differentiatedcontractionary when a budge

44、t deficit is ducts; large advertising expense.or surplus is increasing. Provisions for environmental remediation.continued on next page.需要最新CFA、FRM、AQF、ACCA资料欢迎添加微信zyz786468331FINANCIAL REPORTING AND ANALYSIS continued.Total asset, fixed-asset, and working capital turnoverH

45、eld-to-maturity: amortized cost on balance Impairments, write-offs, write-downs, andratios:sheet; interest, realized G/L recognized on income restructuring costs.revenuestatement. Integration expenses associated with businessestotal asset turnover = average total assetsInventory Accountingrecently a

46、cquired.In periods of rising prices and stable or increasingDiscontinued Operationsfixed asset turnover =revenueinventory quantities:To be accounted for as a discontinued operation, aaverage fixed assetsLIFO results in:FIFO results in:business assets, operations, investing, financingHigher COGSLower

47、 COGS activities must be physically/operationally distinctworking capital turnover =revenueLower gross profitHigher gross profit from rest of firm. Income/losses are reported net ofaverage working capitalLower inventoryHigher inventorytax after net income from continuing operations.Gross, operating,

48、 and net profit margins:balancesbalancesCompute Cash Flows From Operations (CFO)f,.gross profitBasic and Diluted EPSDirect method: start with cash collections (cashgross profit margin = -Basic EPS calculation does not consider effects ofequivalent of sales); cash inputs (cash equivalent ofrevenueany

49、 dilutive securities in computation of EPS:cost of goods sold); cash operating expenses; cashoperating profit marg. = operating profit EBITnet income preferred dividends interest expense; cash taxes.in- -basic EPS = wtd. avg. no. of common shs. outstanding Indirect method: start with net income, sub

50、tractingrevenuenet salesback gains and adding back losses resulting fromnet profit margin = net income.adj. income avail, for common sharesdiluted EPS = - -financing or investment cash flows, adding back allrevenuewtd. avg. common shares plus potentialnoncash charges, and adding and subtracting asse

51、tReturn on assets return on total capital (ROTC)J:common shares outstanding and liability accounts that result from operations.return on assets _EBITTherefore, diluted EPS is:Free Cash Flow(total capital)average total capitalconvertibleconvertibleFree cash flo w (FCF) measures cash available fornet

52、_ pfddiscretionary purposes. It is equal to operating cashDebt to equity ratio and total debt ratio:incomediv + preferred +debt(1 -t)dividendsinterestflow less net capital expenditures.total debtwtdshares fromshs fromshares Critical Ratiosdebt-to-equity ratio = total equityaw + conversion of + conve

53、rsion + issuable from Common-sizefinancial statement analysis:sh sconv. pfd. shsconv. debtstock options Common-size balance sheet expresses all balancetotal-debt-ratio = total debtLong-Lived Assets Capitalizing vs. Expensingsheet accounts as a percentage of total assets.total assets Common-size inco

54、m e statement expresses allInterest coverage andfixed charge coverage:Capitalizing: lowers income variability andincome statement items as a percentage of sales.increases near-term profits. Increase assets, equity. Common-size cash flow statement expresses eachinterest coverage = EBITExpensing: opposite effect.7line item as a percentage of total cash inflowsinterestDepreciation(outflows), or as a percentage of net revenue.f,. .EBIT + lease paymentscost residual valueHorizontal common-size fin ancial statement analysis:fixed charge coverage = -1-Straight-line: -interest + lease paymentsus