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20 Cards in this Set
- Front
- Back
Money Weighted Return |
Net all CF's per year, then calc IRR |
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Time Weighted Return |
Geometric Mean of each periods returns |
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Bank Discount Yield |
Discount/Face * 360/Days |
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Holding Period Yield |
(Maturity Price + Divs)/Purchase Price |
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Effective Annual Yield |
(1+HPY)^(365/days) -1 |
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Money Market Yield |
HPY*360/days |
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Bond Equivalent Yield |
2x Semiannual Rate |
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Harmonic Mean |
N/(1/a + 1/b + 1/c..) |
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Percentile |
(n+1)*P/100 |
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Mean Absolute Deviation |
Average of deviations from the mean |
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Variance |
Average of squared deviations from mean |
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Standard Deviation |
Square Root of Variance
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Sample Variance |
same formula as variance but divide by n-1 instead |
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Chebyshev's inequality |
1 - 1/(k^2) |
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Coefficient of Variation |
Standard Deviation/Mean |
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Sample Skewness |
(1/n)*(MAD^3)/(STDEV^3) |
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Sample Kurtosis |
(1/n)*(MAD^4)/(STDEV^4) |
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Portfolio Variance |
(w1)^2(stdev1)^2 + (w2)^2(stdev2)^2 + 2(w1)(w2)(stdev1)(stdev2) |
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Covariance |
Sum(proability X (a's diff from mean)(b's diff from mean) |
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Correlation |
Covariance/(stdev1 * stdev2) |