Formula+Sheet

# Formula+Sheet - Val Mkt Deviation Standard Premium Risk...

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Bank Discount Rate Bond Equivalent Yield Effective Annual Compounded Yield After tax return for taxable bond Net Asset Value= Effective annual rate= (1+ rate for period) periods per yr – 1 Cov(r 1 r 2 ) = r 1,2 s 1 s 2 Fisher effect : approximation R = r + i Fisher effect: exact r = (R - i) / (1 + i) CAPM where Time weighted average Dollar weighted average (IIR) Jensen’s alpha Information ratio Treynor ratio Realized Compounded Yield N P r BD 360 000 , 10 \$ 000 , 10 \$ × = n P P \$1,000 r Year in Days Actual BEY × = 1 000 , 10 \$ 1 + = N Actual EAY P P r ( ) t 1 r r tax before tax after = (margin) Investment Share Per Price Back Buy Price Sale Short Sale Short on Return = g Outstandin Shares s Liabilitie - Assets Of
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Unformatted text preview: Val. Mkt. Deviation Standard Premium Risk Ratio Sharpe = ( ) ∑ = − = n i i i r E r 1 2 2 ) ( Pr σ ∑ = = n i i i r r E 1 Pr ) ( 2 = ) r (E(r β r r f M i f i − + = ) 2 m m i, i cov β = ( ) ( )( ) ( ) n 2 1 n G r 1 ... r 1 r 1 r 1 + + + = + ( ) ( ) ( ) n n r C r C r C PV + + + + + = 1 ... 1 1 2 2 1 1 ( ) [ ] f M p f p p r r β r r α − + − = ) ( / P P e α ( ) p f p r r T β − = Return Total RCY) (1 T = + model Gordon-g k D V 1 − = ( ) ( ) ( ) ... k 1 D k 1 D ... k 1 D k 1 D V 1 H 1 H H H 2 2 1 + + + + + + + + + = + + b g × = ROE PVGO /k E P 1 + = g k b 1 E P 1 i − − =...
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• Fall '08
• Chernyshoff,N
• Modern portfolio theory, Bank Discount Rate, sharpe ratio, bond equivalent yield, Treynor ratio, Jensen's alpha

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