< Formula Test >
Chapter 1
1. Probability Weighted Expected
Return & Standard Deviation
2. Expected Utility
a.
b.
c.
d.
Higher Moments
VaR
Defined Benefit Fund
Defined Benefit Fund w/
Liability Growth
3. Degree of Risk Aversion
4. Asset Class Return
6. MV Risk Estimation
7. Confidence Interval for Estimated
Return
8. Portfolio Variance
9. Marginal Contribution
a. Delta
b. Covariance
c. Correlation
d. Beta
10. Beta
11. Total Risk of N Asset Portfolio
5. Portfolio Return 1 Risky Asset
12. Portfolio Total Risk (2 Risk Factor
Contributions)
6. MVO Objective Function
13. Risk of 2 Asset Portfolio
7. Optimal Weight, Risky Asset
14. Volatility-weighted Weight
8. Hurdle Rate
Chapter 3
9. Covariance
1. Change in Endowment Value
2. Endowment Total Return
Chapter 2
1. Information Ratio
a. With Transfer Coefficient
b. With Alpha
2. Beta New Portfolio (TAA)
3. Conditional Expected Return
4. MV Liquidity Adjustment
5. MV Factor Exposure
Chapter 4
1. Change in Liabilities
2. Market Value of Equity
3. Economic Life (Years)
4. PV Ordinary Annuity and Growth
Annuity
< Formula Test >
Chapter 5
Chapter 12
1. Reserve Account Change
1. Fund Fair Value
2. Gain/Loss
Chapter 6
1. Section 1256 Tax Rate
Chapter 13
1. Over-commitment Ratio
Chapter 8
1. IRR
a.
b.
c.
d.
Interim IRR
Simple Average IRR
Modified IRR
Commitment Weighted IRR
& Benchmark
e. Pooled Average IRR
Chapter 14
1. Nominal Interest Rate
2. Unanticipated Inflation
3. Price of Real Estate Asset
4. Stock of Space
2. Multiples
a. DPI – Distributions to Paid in
Ratio
b. TVPI- Total Value to Paid in
Ratio
Chapter 15
1. Reported Price
2. True Price
3. Future Value All Distribution and
Contributions
3. Reported Return
4. PME Ratio
4. True Return
5. Public Unit Index
5. Correlation Coefficient and Beta
6. Index Unit at Time T
6. Variance of Returns
7. NAVPME
7. NOI
Chapter 9
Chapter 16
1. Secondary Price
1. Cap Rate
2. Fund Discount
2. Unsmoothed / True Volatility
3. Beta of True Returns
< Formula Test >
1. Commodity Spread P/L
4. Risk Premium Approach
2. Substitute Test Statistic
Chapter 18
3. Moving Avg 100-day Static
1. PV Depreciation tax shield
2. After-tax rate without tax deferral
3. After-tax rate with tax deferral
4. After-tax rate
5. After-tax FV without Deferral
6. After-tax FV with tax Deferral
7. Profit
8. Leveraged Return and Volatility
9. Property Value in Foreign Currency
10. Variance of Global Real Estate
Returns
Chapter 20
1. Crop Yield
Chapter 24
1. Daily Return on Leveraged ETF
2. Value $1 invested in ETF after T
days
3. Spot Index
a. T-1
b. No Roll, No Change in # of
Contracts
c. Roll, No Change in # of
Contracts
d. Roll, Change in # of
Contracts
4. Excess Return Index
a. 1 & 2
5. Total Return Index
a. 1 & 2
6. Realized Roll Return
2. Cash on Cash Return (Movie)
Chapter 25
Chapter 22
1. Signal to Noise Ratio
1. Cost of Carry
2. Market Divergence Index
2. Futures Price
3. Geometric Mean
Chapter 23
3. # of Futures Contracts
a. 1 & 2
< Formula Test >
Chapter 26
1. Implicit Leverage
Chapter 28
1. Gordon Growth Model
2. Total Value of Assets
2. Trading Level
3. Equity Value
3. Margin to Equity Ratio
4. Free CF to Firm (FCFF)
4. Capital at Risk
5. Enterprise Value (EV)
6. ROE
5. Max Drawdown
7. Fisher Equation
6. VaR
8. Covered Interest Rate Parity
7. Mean Return & Variance Return
9. P/L Carry Trade
8. Exponentially Smoothed Mean
10. P/L Carry w/ Forward & Momentum
11. Relative PPP
9. Exponentially Smoothed Variance
10. Omega
Chapter 27
Chapter 29
1. Recovery Rate
2. Loss Given Default
1. Put-Call Parity
3. Expected Loss
2. Conversion Price
4. Merton Model
3. Parity (Conversion Value)
5. Equity Value
4. Conversion Premium
6. Risky Debt Price Model
5. Convertible Bond Component
Approach
7. Black Scholes
6. Transition Multipliers (u & d)
7. Up Risk Neutral Probability
8. Current Stock Price
9. Call Option Price
10. Delta Convertible
11. Gamma Convertible
12. # Shares Short for Arb.
13. Correlation
8. Risky Debt Price Formula
9. Z Bond Value
10. Credit Spread
11. Equity Volatility
12. Distance to Default
13. Expected Default Frequency
14. Probability Survival (t) Years
15. Probability of Default (t) and (∆T)
< Formula Test >
16. Probability of Default (s) and (t)
10. Conditional Prepay rate
17. Bond Price
11. Absolute prepay speed
18. Bond Price w/ Recovery Rate
Chapter 36
19. Altman Model
1. Total Coupon Rate
20. Fixed Charges Ratio
2. Exposure Spread
Chapter 30
1. Variance Swap Payoff
2. Correlation Swap Payoff
3. 30 Day Contract Price
4. Avg Correlation for Correlation
Swap
5. Vega
Chapter 31
1. Linear replication model
2. Cash wt. of replication product
3. Return on replicating product
4. # of shares short
Chapter 32
1. Equal Risk wt.
Chapter 35
1. Vasicek Model
2. Log of Bond Price
3. Bond Yield to Maturity
4. CIR Model
5. Ho and Lee Model
6. Cap Payment
7. Floor Payment
8. Interest Rate Tree
9. Call Option Value
3. Expected Loss %
4. Parties Insurance Benefit
CIT 4
1. CPPI Exposure
a. Stock
b. Cushion
c. Payoff
2. Buy & Hold
a. M = 1