Công thức IM tự luận- cho final

- Net Present Value (NPV)
n
CF t
NPV = ∑ t
t =1 (1+ r)
- Ratios
Current Asset
+ Current Ratio =
Current Liabilities
Total Asset
+ Financial Leverage Ratio =
Common Equity
Total Debt
+ Debt to Equity Ratio =
Total Equity
Net Income
+ Net Profit Margin =
Net Revenue
Net Income
+ Return on Assets =
Average Total Asset
Net Income
+ Return on Equity =
Average Equity
EPS x Share Outstanding
+ Return on Equity =
Equity
365 days
+ Days Receivable =
Receivable Turnover
Net Annual Sales
+ Receivable Turnover =
Average Receivables
365 days
+ Days Payable =
Payable Turnover
COGS
+ Payable Turnover =
Average Payable
+ Retention/Plowback Ratio = 1 - Dividend Payout Ratio
Dividend per share
+ Dividend Payout Ratio =
EPS
+ Dividend Yield = k - g
+ Capital Gain Yield = Expected Growth Rate = g
+ Growth rate (g) = ROE × Retention/Plowback Ratio = ROE x (1 - Payout Ratio)
+
- Swaps
¿ Rate Party 1+ ¿ Rate Party 2
+ Mid-rate fixed leg =
2
Floating Rate Party 1+ Floating Rate Party 2
+ Mid-rate floating leg =
2
Fee charging on each leg
+ Half of Intermediary fee =
2
- Annualized Return =
√
Ending Index
n
Beginning Index
−1
Ending Index 1
- Continuously Compound Return = Ln( )x( )
Beginning Index n
- Portfolio α = Portfolio Annualized Return - Benchmark Annualized Return
- Tracking error σ TE = √ ❑
Portfolio α
- Information ratio (IR) =
σe
R j−R b
=
σ ER
- Annualized Information Ratio = √ ❑ IR
+ Denotion:
R j: Average rate of return for the portfolio
Rb : Average rate of return for benchmark portfolio
σ ER : Standard deviation for excess return
σ e : Standard error of the regression
T: times per year
R i−RFR
- Sharpe Ratio =
σi
R i−RFR
- Treynor Ratio (T i) =
βi
+ Denotation for Sharpe and Treynor Ratio:
Ri : Rate of return for i
RFR: Risk-free rate
σ ER : Standard deviation for rate of return of i
β i: Beta (Slope) of fund’s characteristics line during that period
- Cahart’s Alpha
+ Công thức chữ: Cahart’s Alpha (α ) = Actual Return - Estimated Return
+ Công thức bằng phép tính
Estimated Return = RFR + β × ( Rm −RFR) + s × SMB + h × HmL + u × UmD
⇒ Cahart’s Alpha (α ) = R P - [RFR + β × ( Rm −RFR) + s × SMB + h × HmL + u × UmD]
Fama and French Return (Estimated Return): R P = α + RFR + β × ( Rm −RFR) + s × SMB +

h × HmL + u × UmD
Denote:
β , h, s, u = coefficient of respective ratio
RFR: Risk-free rate
Rm: Market risk
⇒ Rm - RFR: market risk premium
SMB: Small cap premium
UmD: Momentum factor
HML: Value premium
R P: Actual rate of Portfolio
- Selectivity = Ra - E ( Ra )
+ Denote:
Ra : Actual Return
E ( Ra ) : expected return
- Net Selectivity = Ra - R x (σ (R a))
- Jensen Alpha
𝛼 = R p −[ Rf + β(R M −R f )]
- Expected Value of Investment (Expected Value)
E(FV ¿¿ i)¿ = ∑ FV i x Pi
- Return
E ( FV i)
Ri= −1
Initial Cost
- Expected Return of investment (portfolio)
E( Ri ¿ = ∑( Ri x Pi) = ∑¿]
- Variance
σ = ∑ ¿ ¿ Pi
2
- Expected STDEV (Standard Deviation)

E(σ ) =∑(√ ❑x Pi ) = √ ❑
- Covariance
σ
CV =
E( Ri )
- Expected Value = ∑ [V i −E(V i )]
- Expected Value
E(V) = ∑ Ei x Pi
- Rate of Return of Investment (Tuấn):
Rate of return = Ending Price/Beginning Price - 1
- Expected standard deviation
2 2 2
σ =W A × σ A +2 ×W A ×W B ×Corr (R A , R B)× σ A × σ B
2 2
+W B ×σ B +2 ×W B ×W C ×Corr (R B , R C )× σ B × σ C
2 2
+W C × σ C +2 ×W A × W C ×Corr (R A , RC )× σ A × σ C
=> Standard deviation = σ
- Coefficient of Variation (CV)
Covij
r ij =
σi σ j
Denote:
r ij : the correlation coefficient of returns
σ i: standard deviation of R¿
σ j: standard deviation of R jt
- Correlation of the portfolio and market

β❑ x σ M
r M , P=
σP
Extra: Cov P , M = β❑ x σ M
- Future Value of Investment
Future value = Present value x (1+ R)t
- Portfolio variance
2 2
σ =¿∑[R ¿ ¿ i−E(R i)] x Pi ¿
- Variance Table
2
σ P =∑ ∑ W i × W j × σ i × σ j × r i , j
2
σ AB =W A ×W B × σ A ×σ B ×r A , B
2
σ AA =W A × W A × σ A × σ A ×r A , A
- Coupon received in bond investment
Trường hợp chỉ trải qua 1 mốc coupon payment
FV x c
Coupon receive =
2
Trường hợp trải qua 2 mốc coupon payment
Coupon receive = FV x c
- Annualized Return khi so sánh giữa mốc Purchase và Buy bonds
Price (Sell)+Coupon Receive(Nếu có) 1
Annualized Return = ( )x( )-1
Price(Purchase) d /365
- Price of bond/Fair Value of Bond
1
1− t ×m
YTM
(1+ )
Par / Face Value× Coupon Rate m Face Value
P 0= × +
m YTM YTM t × m
(1+ )
m m
With:
P0=Par / Face Value × Selling Quote
Denote:
YTM: Yield to Maturity
m: number of compounds
t: period
- Present value of bond using RBA formula
Yield to maturity (YTM)
f = next coupon payment - valuation date
d = next coupon payment - last coupon payment
next coupon payment−valuation date
f/d =
next coupon payment −last coupon payment
i = YTM/200 (ko có %)
1
v=
1+ i
n = (maturity year - valuation year) x 2 - missing periods
g = YTM /2 (ko có %)
n
(1−v )
P = v(f/d) x (g x (1+ ) + 100vn) (P: price per 100 face value)
i
Face value x P
Price =
100
- Present value of bank bill

1. Face Value (FV)
2. Yield on Bank Bill (YTM)
3. Days to maturity
Present value of bank bill: PV = FV/[1 + (YTM/100 x Days/365)]
Total Profit/Loss = Original (Purchasing) PV - Present value of bank bill
- Dividend growth rate

D1 Do∗(1+ g)
P= =
k−g k −g
Just paid dividend is Do
Is due to pay is D1
- Beta of CAPM
β = (σ P * cov P , M )/ σ M
- CAPM
K = R f + β ( R M −Rf )
- Correlation between stock market and portfolio
- P/E ratio
Earnings Multiplier = Price/ Earnings = Current market price/ Expected 12 Month Earnings
- ROE = Net Income/ Total Equity
- Payout ratio = Dividend per share/ EPS
- Dividend per share = Dividend / Number of shares
- Plowback ratio = 1 - Payout ratio
- g = ROE * (1 - payout ratio) = ROE * Plowback ratio

Công thức IM tự luận- cho final

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Công thức IM tự luận- cho final

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- Net Present Value (NPV)

- Portfolio α = Portfolio Annualized Return - Benchmark Annualized Return

Fama and French Return (Estimated Return): R P = α + RFR + β × ( Rm −RFR) + s × SMB +

- Expected STDEV (Standard Deviation)

- Correlation of the portfolio and market

- Present value of bank bill

- Dividend growth rate

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