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1、- 1 -CFA 公式表-Level I Ethical and Professional Standards 1.Professionalism a)Knowledge of the Law b)Independence and objectivity c)Misrepresentation d)Misconduct 2.Integrity of Capital Markets a)Material Nonpublic Information b)Market Manipulation 3.Duties to Clients a)Loyalty, Prudence, and Care b)F
2、air Dealing c)Suitability d)Performance Presentation e)Preservation of Confidentiality 4.Duties to Employers a)Loyalty b)Additional Compensation Arrangements c)Responsibilities of Supervisors 5.Investment Analysis, Recommendations, and Action a)Diligence and Reasonable Basis b)Communication with Cli
3、ents and Prospective Clients. c)Record Retention 6.Conflicts of Interest a)Disclosure of Conflicts b)Priority of Transactions c)Referral Fees. 7.Responsibilities as a CFA Institute Member or CFA Candidate a)Conduct as Members and Candidates in the CFA Program b)Reference to CFA Institute, the CFA de
4、signation, and the CFA Program.Global Investment Performance Standards (GIPS) 1.Compliance Statement:” Insert name of firm has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS).” Compliance must be applied on a firm-wide basis. 2.Eight sections:
5、 a)Fundamentals of compliance b)Input data c)Calculation methodology d)Composite construction e)Disclosures f)Presentation and reporting g)Real estate- 2 -h)Private equityQUANTITATIVE METHODS 1.Time Value of Money Basics a)Future Value (FV): amount to which investment grows after one or more compoun
6、ding periods.b)NYIPV)/1 (FVc)Present Value (PV): current value of some future cash flow d)NYIFVPV)/1/( e)Annuities: series of equal cash flows that occur at evenly spaced intervals over time. f)Ordinary annuity: cash flow at end-of-time period. g)Annuities due: cash flow at beginning-of-time period.
7、 h)Perpetuities: annuities with an infinite life i)/(YIPMTPVperpetuity2.Means a)Arithmetic mean: sum of all observation values in sample/population, divided by # of observations. b)Geometric mean: used when calculating investment returns over multiple periods or to measure compound growth rates. c)G
8、eometric mean return:1)1 (.)1(/1 1N NGRRRHarmonic mean = NiiXN113.Variance and Standard Deviation a)Variance: average of squared deviations from mean.b)Population variance = NXNii212) （c)Sample variance = 1)(122 nXX sNiid)Standard deviation: square root of variance. 4.Holding Period Return (HRP)1111
9、ttttttt tPDP PDPPR- 3 -5.Coefficient of Variation a)Coefficient of variation (CV): express how much dispersion exists relative to mean of a distribution; allows for direct comparison of dispersion across different data sets. CV is calculated by dividing standard deviation of a distribution by the me
10、an or expected value of the distribution.b)XSCV 6.Sharpe Ratio a)Sharpe Ratio: measures excess return per unit of risk.b)Sharpe Ratio = pfprrc)Roys safety first ratio: pettprrarg7.Expected Return/Standard Deviationa)Expected return: iixxPXE)()(nnxxPxxPxxPXE)()()()(2211b)Probabilistic variance: 22 22
11、2 1122)()()()()()()()()XExxPXExxPXExxPXExxPXnnii（c)Standard deviation: take square root of variance. 8.Correlation and Covariance a)Correlation = covariance divided by product of the two standard deviations.)()(),(),(jiji jiRRRRCOVRRcorrb)Expected return, variance of 2-stock portfolio:)()()(BBAApREw
12、REwRE),()()(2)()()var(2222 BABABABBAApRRRRwwRwRwR9.Normal Distributions a)Normal distribution is completely described by its mean and variance.68% of observations fall within 1 90% fall within 65. 1 95% fall within 96. 1 99% fall within 58. 2 10. Computing Z-scores a)Z-score: “standardizes” observat
13、ion from normal distribution; represents # of standard deviations a given observation is from population mean.- 4 -x iondarddeviatsmeanpopulationnobservatioztan 11. Binomial Models a)Binomial distribution: assumes a variable can have one of two values (success/failure) or, in the case of a stock, mo
14、vements (up/down). A Binomial Model can describe changes in the value of an asset or portfolio; it can be used to compute its expected value over several periods. 12. Sampling Distribution a)Sampling distribution: probability distribution of all possible sample statistics computed from a set of equa
15、l-size samples randomly drawn from the same population. The sampling distribution of the mean is the distribution of estimates of the mean. 13. Central Limit Theorem a)Central limit theorem: when selecting simple random samples of size n from population with mean and finite variance 2, the sampling
16、distribution of sample mean approaches normal probability distribution with mean and variance equal to2、/n as the sample size becomes large. 14. Standard Error a)Standard error of the sample mean is the standard deviation of distribution of the sample means.Known population variance: nxUnknown population variance: nssx15. Confidence Intervals a)Confide
