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Hi starting a new thread for the important formulas that can come in handy for your exams.

Let me start with the following(these are relevant for part I) :

1. Holding Period Return=(V1-V0+D1)/V0

2. Standardized Return= (mean return-Target return)/standard deviation of returns

3. Expected Portfolio Return= E(Rp)= w1*E(R1)+w2*E(R2)+.....+wn*E(Rn) for n assets portfolio

4. Standard deviation of portfolio= w1^2*sd1^2+w2^2*sd2^2+..........wn^2*sdn^2, sd=standard deviation

5. CAPM: E(Ri)= Rf+ Betai*[E(Rm)-Rf] where Betai=Cov(Ri,Rm)/var(Rm), Rm is market return and Ri is security return

6. Capital Market Line(CML): E(Rp)= Rf+ [[E(Rm)-Rf] /SDm]SDp

7. CAPM with taxes: E(Ri)= Rf+ Betai*[E(Rm)-Rf]+taxfactor*[(divyield(i)-Rf)-Betai(divyield(m)-Rf)] taxfactor that measures market tax rates, divyield(i) is dividend yield of stock

8. Multi Beta CAPM: E(Ri)= Rf+ Betai,m*[E(Rm)-Rf]+Betai,f1*[E(f1)-Rf]+Betai,f2*[E(f2)-Rf]+........ where Betai,m is sensitivity to market, Betai,f1 is sensitivity to factor 1,....

9. Treynor ratio= [E(Rp)-Rf]/Beta(p) p is subscript for portfolio

10. Sharpe ratio= [E(Rp)-Rf]/StdDev(p)

11.Jensen's alpha= E(Rp)-{Rf+ Betap*[E(Rm)-Rf]}

12. Sortino Ratio=[E(Rp)-Rmin]/sqrt(MSDmin) Rmin is benchmark and MSDmin is standard deviation of portfolio returns below the Rmin

13.APT Model: Rn=Rf+ Xn,1*b1+ Xn,2*b2+ Xn,3*b3+ Xn,4*b4................+un

where Rn is the return for stock n; Xn,k is kth factor exposure for n; bk is return for kth factor, un is the systematic risk

14. Bayes formula: P(A/B)=P(A&B)/P(B) A and b are events

15.Correlation(Ri,Rj)= Covariance(Ri,Rj)/[stdDev(Ri)*stdDev(Rj)]

16. z parameter for ND(mean,stdDev)

z= (observation-mean)/stdDev

17. test of differences between means:

t=[(mean(s1)-mean(s2))-(mean(p1)-mean(p2))]/sqrt[sp^2*(1/n1+1/n2)]

where sp^2= [(n1-1)*s1^2+(n2-1)*s2^2]/(n1+n2-1)

s1 is standard deviation of sample 1, s2 is standard deviation of sample 2

s1,s2 are samples 1 and 2 while p1 and p2 are populations 1, and 2

18. chi-Square test stat= (n-1)*s^2/stdDev^2

19.F test stat. = s1^2/s2^2

20.t stat.= (sample mean- population mean)/(s/sqrt(n))

more later...

thanks

Let me start with the following(these are relevant for part I) :

1. Holding Period Return=(V1-V0+D1)/V0

2. Standardized Return= (mean return-Target return)/standard deviation of returns

3. Expected Portfolio Return= E(Rp)= w1*E(R1)+w2*E(R2)+.....+wn*E(Rn) for n assets portfolio

4. Standard deviation of portfolio= w1^2*sd1^2+w2^2*sd2^2+..........wn^2*sdn^2, sd=standard deviation

5. CAPM: E(Ri)= Rf+ Betai*[E(Rm)-Rf] where Betai=Cov(Ri,Rm)/var(Rm), Rm is market return and Ri is security return

6. Capital Market Line(CML): E(Rp)= Rf+ [[E(Rm)-Rf] /SDm]SDp

7. CAPM with taxes: E(Ri)= Rf+ Betai*[E(Rm)-Rf]+taxfactor*[(divyield(i)-Rf)-Betai(divyield(m)-Rf)] taxfactor that measures market tax rates, divyield(i) is dividend yield of stock

8. Multi Beta CAPM: E(Ri)= Rf+ Betai,m*[E(Rm)-Rf]+Betai,f1*[E(f1)-Rf]+Betai,f2*[E(f2)-Rf]+........ where Betai,m is sensitivity to market, Betai,f1 is sensitivity to factor 1,....

9. Treynor ratio= [E(Rp)-Rf]/Beta(p) p is subscript for portfolio

10. Sharpe ratio= [E(Rp)-Rf]/StdDev(p)

11.Jensen's alpha= E(Rp)-{Rf+ Betap*[E(Rm)-Rf]}

12. Sortino Ratio=[E(Rp)-Rmin]/sqrt(MSDmin) Rmin is benchmark and MSDmin is standard deviation of portfolio returns below the Rmin

13.APT Model: Rn=Rf+ Xn,1*b1+ Xn,2*b2+ Xn,3*b3+ Xn,4*b4................+un

where Rn is the return for stock n; Xn,k is kth factor exposure for n; bk is return for kth factor, un is the systematic risk

14. Bayes formula: P(A/B)=P(A&B)/P(B) A and b are events

15.Correlation(Ri,Rj)= Covariance(Ri,Rj)/[stdDev(Ri)*stdDev(Rj)]

16. z parameter for ND(mean,stdDev)

z= (observation-mean)/stdDev

17. test of differences between means:

t=[(mean(s1)-mean(s2))-(mean(p1)-mean(p2))]/sqrt[sp^2*(1/n1+1/n2)]

where sp^2= [(n1-1)*s1^2+(n2-1)*s2^2]/(n1+n2-1)

s1 is standard deviation of sample 1, s2 is standard deviation of sample 2

s1,s2 are samples 1 and 2 while p1 and p2 are populations 1, and 2

18. chi-Square test stat= (n-1)*s^2/stdDev^2

19.F test stat. = s1^2/s2^2

20.t stat.= (sample mean- population mean)/(s/sqrt(n))

more later...

thanks

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