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2018 cfa Level 3 Wiley Formula Sheet

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Behavioral Finance

The Behavioral Finance Perspective

Subjective Expected Utility

E(U) =∑ u( xi ) p( xi )

U = w( p1 ) v( x1 ) + w( p2 ) v( x2 ) + w( pn ) v( xn )

where:

U = utility

x = a particular outcome

p = probability of x

v = value of x

w = probability-weighting function for outcome x; accounts for tendency to overreact to

low probability events and underreact to other events

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Private Wealth Management

Managing Individual Investor Portfolios

Sharpe Ratio

Sharpe ratio is:

expected standard deviation

where:

tCG = capital gains tax rate

where:

R = return

t = applicable tax rate

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Taxes and Private Wealth Management in a Global Context

Annual Accrual with a Single, Uniform Tax Rate

rafter-tax = rpre-tax (1 − tI )

( )

n

FVIFpre-tax = 1 + rpre-tax

FVIFafter-tax = [1 + rpre-tax (1 − tI )]n

where:

FVIF = Future value interest (i.e., accumulation) factor

r = return

t = tax rate

n = number of periods

n

Taxable Gains When the Cost Basis Differs from Current Value

where:

VT = terminal value

Cost basis = amount paid for an asset

where:

Cost basis

B=

V0

V0 = value of an asset when purchased

( )

n

FVIFW = 1 + rpre-tax (1 − tW )

r* = rT (1 − PI tI − PD t D − PCG tCG )

where:

P = proportion of return from income, dividends, and realized capital gains during the period

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Taxes and Private Wealth Management in a Global Context

1 − PI − PD − PCG

T * = tCG

1 − PI t − PD t D − PCG tCG

The after-tax future value multiplier under this blended tax regime then becomes:

and PCG = 1) held to the end of the horizon, the formula reduces to:

If the portfolio is non‐dividend paying equity securities with 100 percent turnover and

taxed annually, the formula reduces to:

n

Vn = V0 (1 + rAE )

n

Vn

rAE = n −1

V0

where:

Vn = value after n compounding periods

rAE = r (1 − TAE )

rAE

TAE = 1 −

r

Tax‐Deferred Accounts

FVIFTDA = (1 + r )n (1 − t ) tCG B

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Taxes and Private Wealth Management in a Global Context

Tax‐Exempt Accounts

FVIFTEA = (1 + r )n

FVIFTDA = FVIFTEA (1 − t )

Vn = V0 (1 − t0)(1 + r)n

σ AT = σ (1 − t )

where:

σ = standard deviation of returns

VLTG V0 (1 + r ) (1 − t LTG )

n

=

VSTG V0 1 + r (1 − tSTG ) n

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Domestic Estate Planning: Some Basic Concepts

Core Capital

kCore = PV of current lifestyle spending + emergency reserve

PV of Spending Need

n

Expected spending

Liability 0 = ∑

t =0 (1 + r )t

n

p(Survival t ) × Spendingt

=∑

t =0 (1 + r )t

where:

r = real risk-free rate

where:

C1 = First spouse survives

C2 = Second spouse survives

Excess Capital

Liabilities = Mortgage + Current lifestyle + Education needs + Retirement needs

KExcess = Assets − Liabilities

n

FVGift 1 + rg (1 − tig )

RVTax - free Gift = =

FVBequest [1 + re (1 − tie )]n (1 − Te )

where:

FV = future value of the gift or bequest to the recipient

n = expected number of years until donor’s death, at which time bequest transfers to

recipient

r = pre-tax returns to the gift recipient g or estate making the gift e

t = tax rate on investments that applies to gift recipient g or estate making the gift e

Te = estate tax that applies to asset transfers at donor’s death

8 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Domestic Estate Planning: Some Basic Concepts

( )

n

FVGift 1 + rg (1 − tig ) 1 − Tg

RVRecipient Taxable Gift = =

FVBequest [1 + re (1 − tie )]n (1 − Te )

where:

Tg = gift tax rate that applies to recipient

RVTaxable Gift = = n

FVBequest [1 + re (1 − tie )] (1 − Te )

When the donor pays the gift tax and the recipient does not pay any tax, the rightmost

numerator term in parentheses indicates the equivalent of a partial gift tax credit from

reducing the estate by the amount of the gift. This formula assumes rg = re and tig = tie.

(1 + rg )n + Toi [1 + re (1 − tie ) ] (1 − te )

n

FVCharitable Gift

RVCharitable Gift = =

FVBequest [1 + re (1 − tie )]n (1 − Te )

where:

Toi = tax on ordinary income (donor can increase the charitable gift amount)

Credit Method

where:

tRC = applicable tax rate in the residence country

tSC = applicable tax rate in the source country

Exemption Method

tEM = tSC

Deduction Method

t DM = t RC + tSC − t RC tSC

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 9

Risk Management for Individuals

Human Capital

Human capital is calculated as follows:

N

p(st ) wt −1 (1 + gt )

HC0 = ∑

t =1 (1 + r f + y)t

where:

p(st) = probability of survival during a period, t

wt-1 = income from employment in the previous year, t – 1

N = length of worklife in years

rf = the risk-free rate

y = an adjustment to rf for earnings volatility

The formula for calculating the mortality-weighted net present value of the pension:

N

p(st )bt

mNPV0 = ∑ t

t =1 (1 + r )

where:

bt = the future expected vested benefit

p(st) = the probability of surviving until year t

r = a discount rate reflecting higher required return for riskier benefit payments as well

as whether nominal or real terms

E (VDB )

Net premium =

1 + rp

E (VDB ) = DB × [1 − P( St ) ]

where:

E(VDB) = Expected value of the death benefit

rP = return on the insurance company’s portfolio

DB = death benefit

P(St) = Probability of survival in period t

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Risk Management for Individuals

CFAnnual

YIncome =

P0

where:

CFAnnual = guaranteed annual payment

P0 = price of the immediate fixed annuity

Policy Reserve

Net payment cost index =

100

Interest-adjustment annual payment cost = Annuity due (20-year insurance cost, 5%, 20 years)

20-year insurance cost = FV annuity due (Premium, 5%, 20 years)

–FV ordinary annuity (projected annual dividend,

5%, 20 years)

Note: Assumes policy owner will die at the end of the 20-year period.

Surrender cost index =

Policy face value/1000

Interest-adjustment annual surrender cost = Annuity due (20-year insurance cost, 5%, 20 years)

20-year insurance cost = FV annuity due (Premium, 5%, 20 years)

–FV ordinary annuity (projected annual dividend,

5%, 20 years)

–20-year projected cash value

Note: Assumes policy owner will receive projected cash value by surrendering the policy

at the end of the period.

Hint: The only differences in surrender cost index and net payment cost index are

highlighted in the surrender cost formulas.

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Risk Management for Individuals

1+ r

i= −1

1+ g

where:

VHL = human life value; i.e., amount of insurance required to replace insured’s income

tax contribution

Y0,pretax = The pretax income at time 0 required to replace the insured’s posttax contribution

i = required return adjusted for a growing income

r = return on investments

g = growth rate of income

Note: Taxation of life insurance proceeds and annual annuities formed from life insurance

proceeds differs by jurisdiction and should be considered in calculating pre-tax income

replacement.

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Portfolio Management for

Institutional Investors

Managing Institutional Investor Portfolios

Simple Spending Rule

+ Ending market valuet−2 + Ending market valuet−1]

+ [(1 − Smoothing rate) × (Spending rate × Beginning market valuet−1)]

L

k=

A

where:

k = ratio of liabilities to assets, both at market value

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Applications of Economic Analysis to

Portfolio Management

Capital Market Expectations

Volatility Clustering

σ t2 = βσ t2−1 + (1 − β)εt2

where:

σ2 = volatility

β = decay factor (i.e., effect of prior volatility on future volatility)

ε = error term

Ri = α i + b1F1 + b2 F2 +…+ bk Fk + εi

where:

Fk = return to factor k

bk = asset i’s return sensitivity to factor k

∞

CFt

V0 = ∑ t

t =1 (1 + r )

where:

CFt = cash flow in period t

r = required return on investment

D1 D (1 + g)

P0 = = 0

re − g re − g

where:

P0 = current justified price

D = dividend (in period specified by subscript t)

g = long-run average growth rate

re = required return on equity investments

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Capital Market Expectations

D0 (1 + g) D

E ( R) = +g= 1 +g

P0 P0

Grinold‐Kroner Model

D

E ( R) ≈ − %∆S + INFL + gr + %∆PE

P

where:

D/P = expected dividend yield

S = number of shares outstanding (Note: % change in S is the opposite of the

repurchase yield)

INFL = inflation rate

gr = real earnings growth

PE = price-earnings ratio

Build‐Up Approach

where:

RF = nominal risk-free rate interest rate

RPk = risk premium k

Fixed‐Income Premiums

where:

rrF = real risk-free rate

INFL = inflation

where:

ERP = equity risk premium

YTM = yield-to-maturity

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Capital Market Expectations

E ( Ri ) = RF + βi [ E ( RM ) − RF ]

where:

βi = return sensitivity of asset i

RM = global investable market (GIM)

COVi , M σ i σ M ρi , M σ

βi = = = i ρi , M

σ 2M σ 2M σM

σi

RPi = (ρi , M )( RPM )

σM

where:

COVi,M = covariance of asset i and GIM returns

ρi,M = correlation of asset i and GIM returns

RP

RPi = M σ i ρi , M

σM

where:

RPM/σM = Sharpe ratio for the market

ρi,M = correlation, indicates degree of integration (Note that the correlation coefficient

in a fully segmented market is equal to 1.0.)

E ( Ri ) = RF + RPi* + RPLiquidity

where:

RPi* = weighted average of completely segmented and perfectly integrated asset class

risk premiums

RPLiquidity = liquidity risk premium (primarily alternative investments including real estate)

GDP = C + I + G + ( X − M )

where:

C = consumption

I = investment spending

G = government spending

(X − M) = exports less imports (i.e., net exports)

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Capital Market Expectations

Taylor Rule

where:

ROptimal = short-term interest rate target

RNeutral = interest rate under target growth and inflation

GDPg = growth rates for GDP forecast and long-term trend

I = inflation rate forecast and target

Econometric Models

%∆I = f (Earnings and Interest rates)

%∆( X − M ) = f (Foreign exchange rates)

Government Debt

Corporate Debt

Inflation‐Linked Debt

where:

YTMTIPS = yield on treasury inflation protected securities

Capitalization Rate

(VRE = NOI/r)

where:

VRE = value of real estate

NOI = net operating income

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Capital Market Expectations

where:

%FXf/d = foreign for domestic currency exchange rate

INFL = foreign f and domestic d inflation

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Asset Allocation and Related Decision in

Portfolio Management (1)

Introduction to Asset Allocation

Cobb-Douglas

∆Y ∆A ∆K ∆L

≈ +α + (1 − α)

Y A K L

where:

Y = total real economic output.

A = level of technology.

K = level of capital.

L = level of labor.

α = output elasticity of capital.

(1 – α) = output elasticity of labor.

H-Model

D0 N

V0 = (1 + gL ) + ( gS − gL )

r − gL 2

where:

N = period of years from higher to lower linear growth rate.

gS = short-term high growth rate.

gL = long-term steady growth rate.

Earnings-Based Models

Fed Model

E1 r − ROE (1 − P ) yT − yT (1 − p)

= = = yT

P0 p p

where:

E1/P0 = Earnings yield

p = dividend payout ratio

yT = 10-year T-note yield

ROE(1 – P) = sustainable growth rate

Fed Model implicitly assumes that r = ROE = yT, which ignores the equity risk premium.

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Introduction to Asset Allocation

E1

= yB − d × LTEG

P0

where:

yB = Moody’s A-rated corporate bond yield

d = earnings projection weighting factor

LTEG = Consensus S&P 500 5-year annual earning growth

CAPE =

10-year MA Real S&P500 Reported Earning

where:

MA = moving average

n

Subject to : ∑ wi = 1

i −1

where:

E[U(WT)] = Expected utility of wealth at time t

W0 = Current wealth

wi = weights of each asset class in the allocation

ri = returns of each asset class in the allocation

A = investor’s risk aversion

For the case of a risky asset and a risk-free asset, the optimization becomes:

* 1 µ − rf

w =

λ σ2

Where:

w* = weight of the risk asset in the two-asset portfolio

λ = investor’s risk aversion

μ = risk asset return

rf = risk-free asset return

σ2 = risk asset variance

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 23

Principles of Asset Allocation

Risk Objectives

U p = E ( R p ) − 0.005 × A × σ 2p

where:

U is the investor’s utility.

E(Rp) is the portfolio expected return.

A is the investor’s risk aversion.

σ 2p is the variance of the portfolio.

E ( R p ) − RL

SF Ratio =

σp

where:

RL is the lowest acceptable return over a period of time.

E(Rp) is the portfolio’s expected return.

σp is the portfolio’s standard deviation.

• The Sharpe ratio of the proposed new asset class: SR[New]

• The Sharpe ratio of the existing portfolio: SR[p]

• The correlation between asset class return and portfolio return:

Corr (R[New], R[p])

Marginal contribution to total risk identifies the rate at which risk changes as asset i is

added to the portfolio:

MCTR i = βi ,P σ P

where:

βi,P = beta of asset i returns with respect to portfolio returns

σP = portfolio return volatility measure as standard deviation of asset i returns

Absolute contribution to total risk identifies the contribution to total risk for asset i

ACTRi = wi × MCTRi

ACTRi

% ACTRi to total risk =

σP

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Principles of Asset Allocation

ri − r f rj − r f rTP − r f

= ==

MCTRi MCTR j σ TP

where:

σTP = standard deviation of the tangency portfolio

Risk Parity

1

wi × covi ,P = × σ 2P

n

where:

wi = weight of asset i in the portfolio

n = number of assets in the portfolio

covi,P = covariance of asset i returns with portfolio returns

σ2P = variance of portfolio returns

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Asset Allocation and Related Decisions in

Portfolio Management (2)

Asset Allocation with Real-World Constraints

After-tax Portfolio Optimization

Optimizing a portfolio subject to taxes requires using the after-tax returns and risks on an

ex-ante basis.

rat = rpt (1 − t )

where:

rat = expected after-tax return

rpt = expected pre-tax return

t = expected tax rate

where:

pd = proportion of return from dividend income

pa = proportion of return from price appreciation (i.e., capital gain)

td = tax rate on dividend income

tcg = tax rate on capital gain

This formula ignores the multi-period benefit from compounding capital gains rather than

recognizing the annual capital gain.

σ at = σ pt (1 − t )

Taxes result in lower highs and higher lows, effectively reducing the mean return and

muting dispersion.

Rat = R pt (1 − t )

where:

Rat = After-tax rebalancing range

Rpt = Pre-tax rebalancing range

Vat = Vpt (1 − ti )

where:

vat = after-tax portfolio value

vpt = pre-tax portfolio value

ti = tax rate on distributions as income

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Currency Management: An Introduction

Forward Exchange Rates

1 + (i FC × Actual 360)

FFC/DC = SFC/DC ×

1 + (i DC × Actual 360)

1 + (i PC × Actual 360)

FPC/BC = SPC/BC ×

1 + (i BC × Actual 360)

where:

FFC/DC = forward rate for domestic currency in terms of foreign currency; same as “base

currency in terms of price currency”

SFC/DC = spot rate for domestic currency in terms of foreign currency

iFC = interest rates in foreign currency country

iDC = interest rates in domestic currency country

Forward Premium/Discount

(i − i ) × Actual 360

FFC/DC − SFC/DC = SFC/DC FC DC Actual

1 + (i DC × 360 )

(i − i ) × Actual 360

FPC/BC − SPC/BC = SPC/BC PC BC Actual

1 + (i BC × 360 )

= RFC + RFX + RFC RFX

≈ RFC + RFX

where:

RDC = return in domestic currency terms

RFC = return in foreign currency terms

RFX = percentage change in SDC/FC (i.e., foreign currency in terms of domestic currency)

where:

wn = weight of asset in the portfolio

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Currency Management: An Introduction

Roll Yield

( FP / B − SP / B )

YRoll =

SP / B

where || indicates absolute value. Positive roll yield occurs when a trader buys base

currency at a forward discount or sells it at a forward premium.

yt = α + βxt + εt

where:

yt = percentage change in asset to be hedged

xt = percentage change in hedging instrument

β = hedge ratio for minimum variance hedge

ε = error term to be minimized

σ ( RDC )

h = β = ρ ( RDC ; RFX ) ×

σ ( RFX )

where:

h = hedge ratio

ρ = correlation of return in domestic currency terms and return on conversion to domestic

currency.

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 29

Market Indexes and Benchmarks

Factor-Model-Based

where:

aP = expected portfolio return if all sensitivities equal 0

bk = sensitivity to systematic factors

fk = systematic factors

εp = residual return from non-systematic factors

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Fixed-Income Portfolio Management (1)

Introduction to Fixed-Income Portfolio Management

Expected Return Decomposition

E ( R) ≈ Yield income

+Rolldown return

+E(∆P based on investor’s yield and spread view)

–E(Credit losses)

+E(Currency gains or losses)

where:

Yield income = Annual coupon payment/Current bond price = Current yield

Rolldown return = (B1 − B0) / B1 = % change in bond price due to changing time to maturity

E(ΔP based on investor’s yield and spread view) = (− DM × ΔY%) + (0.5 × C × ΔY%)

Note: Credit losses and currency gains or losses are discussed elsewhere.

rP = =

Portfolio equity VE

V

= r1 + B (r1 − rB )

VE

where:

r1 = Return on the unlevered portfolio

rB = Borrowing costs

VE = Equity

VB = Borrowed amount

The remainder of the equation indicates the return effect of leverage such that r1 > rB

results in a positive contribution from leverage.

Leverage Futures =

Margin

Securities Lending

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Introduction to Fixed-Income Portfolio Management

1

Total future dollars n

Semiannual total return = −1

Full price of the bond

Dollar Duration

1

Note: Bond value is market value not par value

Spread Duration

• Nominal spread is the difference between the portfolio yield and the treasury yield

for the same maturities.

• Zero-volatility spread (Z-spread) is the constant spread over all the Treasury spot

rates at all maturities that forces equality between the bond’s price and the present

value of the bond’s cash flows.

• Option-adjusted spread (OAS) is the spread over the treasury or the benchmark

after incorporating the effects of any embedded options in the bond.

Economic Surplus

where:

MVAssets = market value of assets

PVLiabilities = present value of liabilities

Derivatives Overlay

Nf =

Futures BPV

BPVCTD

Futures BPV ≈

CFCTD

where:

Nf = number of futures contract to immunize portfolio

BPV = Basis point value

CTD = Cheapest to deliver

CF = Conversion factor

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Introduction to Fixed-Income Portfolio Management

NP = × 100

Swap BPV

where:

NP = Notional principal of the swap

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Fixed‐Income Portfolio Management (2)

Yield Curve Strategies

Yield Curve Measurement

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Fixed-Income Active Management: Credit Strategies

Excess Return on Credit Securities

XR ≈ (s × t ) − ( ∆s × SD)

where:

s = spread at the beginning of the measurement period

t = holding period (i.e., fractional portion of the year)

SD = spread duration of the bond

EXR ≈ (s × t ) – ( ∆s × SD) − (t × p × L )

where:

p = annual probability of default

L = expected severity of loss

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 37

Equity Portfolio Management

Equity Portfolio Management

Active return

Information ratio =

Active risk

where:

Active return = Portfolio return – Portfolio’s benchmark return

Active risk = Tracking risk (i.e., annualized standard deviation of

active returns)

Manager’s “true” active return = M anager’s return − Manager’s normal benchmark return

Manager’s “misfit” active return = Manager’s normal benchmark − Investor’s benchmark

Total active risk = true active risk 2 − misfit active risk 2

IRP ≈ IC × BR

where:

IR = information ratio for the portfolio

IC = information coefficient (i.e., correlation between forecast return and active return;

investment insight)

BR = breadth (i.e., number of independent active management decisions made each year

n

ARP = ∑ hAi rAi

i =1

n

Aσ P = ∑ h2Ai σ 2Ai

i =1

where:

ARP = Active return for a portfolio of managers

rAi = each manager’s active return

hAi = weight assigned for each manager’s active return

AσP = Standard deviation of active returns for a portfolio of managers (assumes zero

correlation of their returns)

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 39

Alternative Investments

for Portfolio Management

Alternative Investments for Portfolio Management

Spot Return

E ( ∆F ) = E ( ∆S )

where:

F = forward price

S = spot price

Ft −1 − Ft − ( St − St −1 ) ∆F − ∆S

rRoll = =

Ft −1 Ft −1

Total return on commodity index = Spot return + Roll return + Collateral return

where:

Collateral return = risk-free rate times the cash held as collateral over holding period

Fund Returns

r= = −1

NAVt −1 NAVt−1

Rolling Return

n 2

Downside deviation =

n −1

where:

ri = return on asset i

r* = specified return

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 41

Alternative Investments for Portfolio Management

Drawdown

Drawdown is a period where portfolio value is less than at some previous high water mark.

where:

HWMt = high-water mark at time t

Lt+n = low after the same high-water mark

Performance Appraisal

Sharpe Ratio

(rj − rF )

Sharpe ratio j =

σj

where:

rj = return on asset j

rF = annualized risk-free rate

σj = standard deviation of asset j returns

Sortino Ratio

rj − rF

Sortino ratio =

DD

where:

DD = Downside deviation

Gain‐to‐Loss Ratio

G/L ratio = ×

#monthly losses Average loss

42 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Risk Management

Risk Management

Risk Management

Portfolio Theory

rP = w1r1 + w2r2

where:

rP = portfolio return

σ 2P = portfolio variance

w = portfolio weights for assets 1 and 2

r = returns for assets 1 and 2

σ = standard deviation for assets 1 and 2

ρ = correlation between assets 1 and 2

Miniumum $ VaR = VP × [ E ( RP ) − Zα σ P ]

where:

VP = portfolio value

E(RP) = expected portfolio return

zα = the number of standard deviations at the selected confidence level

σP = standard deviation of portfolio returns (e.g., 1.65 for 5% and 2.33 for 1%)

Note: To convert to daily values, divide annual expected return by 250 trading days and

annual expected standard deviation by (250)0.5, the square root of 250.

(Hint: we expect that the number of standard deviations for a given probability well be

provided on the exam.)

44 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Risk Management Applications of Derivatives

RISK MANAGEMENT APPLICATIONS OF FORWARD AND FUTURES STRATEGIES

Strategies

Managing Equity Risk by Beta Adjustment

βT S = β S S + N f β f f

β − βS S

Nf = T

βf f

βT is the target beta of an equity portfolio: the desired level of beta after hedging.

S is the market value of a current equity portfolio.

β f is the beta of the index futures. It is often close to one, but may not be exactly equal to

one.

f is the futures price of market index futures.

Nf is the number of futures contracts needed to hedge the equity portfolio in order to

achieve the target beta after hedging is established.

Long stock=Long risk‐free bond+Long futures

f is the futures price of market index futures.

q is the price multiplier of the futures contract (e.g., the S&P Index futures is $250).

T is the time to maturity of the futures contract.

r is the risk‐free interest rate.

δ is the dividend yield of the market index.

St is the level of stock index at time t.

Nf is the number of futures contracts.

N *f is the rounded (whole number) number of futures contracts.

( N *f qf )

V=

(1 + r )T

V (1 + r )T

N *f =

fq

46 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

RISK MANAGEMENT APPLICATIONS OF FORWARD AND FUTURES STRATEGIES

1

Unit of stock = N f q

(1 + δ)T

V (1 + r )T

N *f = −

qf

− N f qf

V* =

(1 + r )T

MDURT − MDURB B

N bf =

MDUR f fB

β − βS S

Nsf = T

β f fs

The same concepts can be used to adjust the allocation to different types of equities or

bonds, or preinvesting in an asset class using equity or bond futures.

can sell the value received in foreign currency (FC) forward for the desired currency (DC)

to lock in the value received in DC:

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 47

Risk Management Applications of Swap Strategies

Notation for Options

X = The exercise price of an option

c = A call option premium

p = A put option premium

V = Value of a position

π = Profit of a transaction

r = Risk‐free rate of interest

T = Option expiration

S*T = Breakeven (profit equals 0)

Put and call subscripts go from 1 being the lowest exercise price to 3 being the highest

exercise price, with 2 between 1 and 3 in exercise price.

Covered Calls

Value at initiation = V0 = S0 + c0

Value at option expiration = VT = ST − cT = ST − max(ST − X, 0)

Profit at option expiration = VT − V0 = [ST − max(ST − X, 0)] − [S0 − c0]

Max profit = X – [S0 – c0 ] when ST ≥ X

Max loss = S0 – c0 when ST = 0

Breakeven point = S*T = S0 − c0

Protective Put

Value at initiation = V0 = S0 − p0

Value at option expiration = VT = ST + pT = ST + max[X − ST, 0)

Profit at option expiration = VT − V0 = [ST + max[X − ST, 0)] − [S0 + p0]

Max profit = ∞ when ST approaches ∞

Max loss = [S0 + p0 ] − X when ST ≤ X

Breakeven point = S*T = S0 + p0

Bull Spreads

Value at initiation = V0 = c1 − c2

Value at option expiration = VT = max(ST − X1, 0) − max(ST − X2, 0)

Profit at option expiration = VT − V0 = [max(ST – X1, 0) − max(ST − X2, 0)] − [c1 − c2]

Max profit = [X2 – X1] − [c1 − c2] when ST ≥ X2

Max loss = c1 − c2 when ST ≤ X1

Breakeven point = S*T = X1 + [c1 − c2]

48 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Risk Management Applications of Option Strategies

Bear Spreads

Value at initiation = V0 = p2 – p1

Value at option expiration = max[X2 –ST, 0) – max(X1 – ST, 0)

Profit at option expiration = VT − V0 = [max(X2 − ST, 0) – max(X1 – ST , 0)]

– [p2 – p1]

Max profit = [X2 − X1] – [p2 − p1] when ST ≥ X1

Max loss = p2 – p1 when ST ≥ X2

Breakeven point = S*T = X2 – [p2 – p1]

Butterfly Spreads

Value at option expiration = VT = max(sT – X1, 0) – 2max(ST − X2, 0)

+ max(ST − X3, 0)

Profit at option expiration = VT − V0 = [max[ST – X1, 0) – 2max[ST − X2, 0)

+ max(ST − X3, 0)] – [c1 – 2c2 + c3]

Max profit = [X2 – X1] – [c1 – 2c2 + c3] when ST = X2

Max loss = c1 – 2c2 + c3 when ST ≥ X3 or ST ≤ X1,

Breakeven points = S*T = X1, + [c1 – 2c2 + c3] and 2X2 – X1, – [c1 – 2c2 + c3]

Collars

Value at option expiration = VT = ST + max(X1 − ST, 0) – max(ST – X2, 0)

Profit at option expiration = VT − V0 = [ST + max(X1 − ST, 0)]

− max(ST − X2, 0) − [S0]

Max profit = X2 − S0 when ST ≥ X2

Max loss = S0 − X1 when ST ≤ X1

Breakeven point = S*T = S0

Straddles

Value at initiation = V0 = c0 + p0

Value at option expiration = VT = max(ST − X, 0) + max(X − ST, 0)

Profit at option expiration = VT − V0 = [max(ST − X, 0)] + max(X − ST, 0) − [c0 + p0]

Max profit = ∞ when ST → ∞

Max loss = c0 + p0 when ST = X

Breakeven point = S*T = X +[c0 + p0] and X − [c0 + p0 ]

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 49

Risk Management Applications of Swap Strategies

Option Strap

Strip = c + 2p

Strap = 2c + p

Box Spread

Value at option expiration = VT = X2 – X1

Profit at option expiration = VT – V0 = [X2 – X1] – [[c1 – c2 ] + [p2 – p1]]

Max profit = Profit = [X2 – X1] – [[c1 – c2] + [p2 – p1]]

regardless of terminal stock price

Max loss = None

Breakeven point = None

Call option payoff = Notional principal × max(Realized spot rate − Exercise rate,0)

Days in underlying rate

×

360

Put option payoff = Notional principal × max(Exercise rate − Realized spot rate,0)

Days in underlying rate

×

360

Because the first rate is usually already set, there are usually (n – 1) caplets to protect a

floating rate loan. There may be another caplet if taken out prior to borrowing the money.

m

iFRN = VL ( Libort −1 + S L )

360

where:

iFRN = loan interest on the floating rate note

VL = loan value; the amount of the loan

Libort-1 = Libor on the previous reset date

SL = spread over Libor

m = actual days in the settlement period

m

PayoffCaplet = VL × max(0, Lt −1 − rx )

360

where:

rX = exercise rate for the cap

50 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Risk Management Applications of Option Strategies

m

PayoffFloorlet = VL × max(0, rx − Lt −1 ) =

360

A borrower’s collar consists of long cap and short floor positions with the intent of zero

cost from the strategy (i.e., exercise rates are selected such that floor premium equals cap

premium). A lender’s collar consists of long floor and short cap positions.

Loan interest is calculated as before. Payoffs from the cap and floor positions are

calculated as before.

Note: Effective interest applies to both borrower and lender, but whether a receipt or

payment depends on whether the cap/floor has been bought/sold.

Option delta = =

Change in the underlying stock price ∆S

Option gamma =

Change in the underlying stock price

Option vega =

Change in annualized stock return volatility

Delta Hedge

Nc 1

Delta Hedge Ratio = = −

NS ∆c / ∆S

where:

N = number of call options c; number of shares S

Δc = change in call option price

ΔS = change in share price

Δc/ΔS = option delta

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 51

Risk Management Applications of Swap Strategies

Convert a Floating Rate to a Fixed Rate

[Pay fixed and receive floating interest rate swap] = Floating-rate bond – Fixed-rate bond

Floating-rate bond = Fixed-rate bond + [Pay fixed and receive floating interest rate swap]

− Floating-rate bond = − Fixed-rate bond − [Pay fixed and receive floating interest rate swap]

Fixed-rate bond = Floating-rate bond − [Pay fixed and receive floating interest rate swap]

− Fixed-rate bond = − Floating-rate bond + [Pay fixed and receive floating interest rate swap]

[Pay fixed and receive floating interest rate swap] = Floating-rate bond − Fixed-rate bond

= −

floating interest rate swap] (floating‐rate bond) (fixed‐rate bond)

= −

fixed interest rate swap] (fixed‐rate bond) (floating‐rate bond)

Duration Management

MDURT − MDURP

NP = VP ×

MDURS

VP ( MDURP ) = VP ( MDURT ) − NP ( MDURS )

$ DURP + S = $ DURT

where:

NP = notional principal of the swap

VP = value of the portfolio

MDUR = target, portfolio, and swap modified durations

$DUR = dollar duration

*Note: To decrease duration (MDURT < MDURP) the denominator needs to be negative so

the investor must be the fixed rate payer.

52 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Risk Management Applications of Swap Strategies

CFLeveraged floater = − kL ( FP )

CFBond = ( ci ) k ( FP )

CFFloating side of swap = Lk ( FP )

CFFixed side of swap = − ( FS ) k ( FP )

CFNet = kFP ( ci − FS )

where:

CF = net cash flow from the perspective of leveraged floater issuer

k = leverage ratio

L = receive floating rate on the swap

FP = face value/principal amount of the floating-rate note

FS = pay fixed rate on the swap

ci = coupon interest rate (i.e., fixed interest rate on a coupon-paying bond)

CFNet = FP (FS + ci − b)

where:

b = base interest rate against which Libor is drawn

Swapping Foreign Currency Cash Flows for Domestic Currency Cash Flows

t

CFF = NPF (iF )

360

CFF

NPF =

t

(iF )

360

NPD = NPF × S D / F or NPF SF / D

t

CFD = NPD (iD )

360

where:

CFF = Foreign cash flow receipt to be swapped

NPF = Notional principal of foreign currency to be swapped at iF to achieve periodic CFF

iF = interest rate applicable to notional principal of foreign currency to be swapped

t = number of days between cash flows to be received

NPD = Notional principal of domestic currency swapped for foreign currency

SD/F = spot rate for foreign currency priced in domestic currency

SF/D = spot rate for domestic currency priced in foreign currency

CFD = Domestic cash flow received in exchange for swapped foreign cash flow

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 53

Risk Management Applications of Swap Strategies

Dual currency bond = Conventional bond + Currency swap (without exchanging NP)

Swaptions

Payer swaption = Put option on a bond

Putable bond = Straight bond + Payer swaption

(2b) −Straight bond = −Callable bond − Receiver swaption

= NP × [− X − s] = NP × [−(r0 − s) − s] = NP(r0 )

where:

NCF = Non-callable bond cash flows

NP = notional principal

F(t,T) = prevailing swap rate

s = credit spread over Libor

X = strike rate

r0 = interest rate on the non-callable bond with credit spread s over Libor

NCF = NP × [− Noncallable bond fixed rate − ( LIBOR + Strike rate − Prevailing swap rate + LIBOR )

= NP × [−r0 − LIBOR + X − F (t , T ) + LIBOR] = −r0 + (r0 − s) − F (t , T )

= NP × −[ F (t , T ) + s]

54 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Trading, Monitoring, and Rebalancing

Execution of Portfolio Decisions

Effective spread = 2 × Execution price −

2

Explicit Costs

Expicit costs =

S H × PH

Realized Profit/Loss

S × ( PE − PR )

RPL =

S H × PH

S × ( PR − PH )

Delay =

S H × PH

( S H − S ) × ( PL − PH )

UPL =

S H × PH

Implementation Shortfall

Commissions + S ( PE − PL ) + S H ( PL − PH )

Implementation shortfall =

S H × PH

where:

S = shares executed

SH = hypothetical shares executed

PH = hypothetical price; benchmark price

PE = execution price

PR = relevant price when shares are not purchased at the hypothetical price

PL = last available valuation price

56 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Monitoring and Rebalancing

The Perold‐Sharpe Analysis of Rebalancing Strategies

Buy‐and‐Hold Strategies

VStocks VStocks

m= =

(

(VPortfolio − Floor ) VPortfolio − VRisk-free 0

)

Constant Mix Strategies

VStocks

m=

VPortfolio

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 57

Performance Evaluation

Evaluating Portfolio Performance

The Holding Period Return

rt = = −1

MV0 MV0

where:

MVt is the market value of the account at time t; and rt is the holding period return over the

investment period.

rt =

MV0 + CF0

rt =

MV0

where:

rti is the holding period return of sub‐period i, and there are a total of n sub‐periods.

Annualizing Returns

1/ n

rannual = n (1 + ryr .1 )(1 + ryr .2 )…(1 + ryr .n ) − 1 = (1 + ryr .1 )(1 + ryr .2 )…(1 + ryr .n ) −1

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 59

Evaluating Portfolio Performance

Benchmarks

P=P

P = B + (P − B)

P = M + (B − M) + (P − B) = M + S + A

B is the return on a benchmark that matches the portfolio’s investment style.

M is the return on the market portfolio.

A is the portfolio manager’s active return: A = P − B.

S is the return contribution due to style selection: S = B − M.

Systematic Bias

P = M + (B − M) + (P − B) = M + S + A

Correlation(A, S) = 0

Tracking Error

where:

Volatility(E) = E

xcess volatility of returns from the managed portfolio over returns from

the market portfolio

MVt − MV0

rt =

MV0

rv = rP − rB

where:

rv is the value‐added return.

rP is the portfolio return.

rB is the benchmark return.

60 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Evaluating Portfolio Performance

S

Selection effect = ∑ [ wBi × (rPi − rBi )]

i =1

S

Sector allocation effect = ∑ [( wPi − wBi ) × (rBi − rB )]

i =1

S

Interaction effect = ∑ [( wPi − wBi ) × (rPi − rBi )]

i =1

Ex Post Alpha

Rt − r ft = α + β( RMt − r ft ) + εt

Rt = the portfolio return

rft = the risk-free return

RMt = the return on the market index

α = the intercept of the regression

β = the beta of the portfolio return relative to the market index return

ε = the random error term

Treynor Measure

RA − rf

TA =

β A

Sharpe Ratio

RA − rf

Sharpe ratio A =

σA

M‐Squared (M2)

RA − rf

M 2 = rf +

A σM

σ

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 61

Evaluating Portfolio Performance

Information Ratio

RA − RB

IRA =

σ A− B

where:

σA–B = standard deviation of the differential returns of the asset over the benchmark

62 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Global Investment Performance Standards

Overview of the Global Investment Performance Standards

Performance Standards

Return Calculation Methodologies

Total Return

V1 − V0

rt =

V0

Time‐Weighted Return

V1 − V0 − CF

rmodDietz =

V0 + ∑ t =1 (CFi × wi )

n

Weighting Formula

CD − Di

wi =

CD

where:

wi = weight of cash flow i

CD = calendar days in the period

Di = calendar days since the beginning of the period to receipt of cash flow i

n

V1 = ∑ CFi (1 + r ) w + V0 (1 + r )

i

t =1

V1 − V0 − CF

rDietz =

V0 + 0.5CF

64 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

Overview of the Global Investment Performance Standards

Composite Returns

V

rc = ∑ rpi

0, pi

∑ n V0, pi

pi =1

where:

rc = composite return

rpi = individual portfolio returns

V0,pi = individual portfolio beginning value

Vpi

rc = ∑ rpi

∑ Vpi

∑ i=1(ri − rC )

n 2

SC =

n −1

where:

Sc = standard deviation of returns in the composite

ri = individual portfolio returns

rc = composite returns

n

∑ (ri − rC ,aw )

2

SC ,aw = wi

i =1

V0,i

= wi −

∑ i=1V0,i

n

n

= rC ,aw = ∑ wi × ri

i =1

where:

SC,aw = asset-weighted standard deviation

wi = beginning-of-period weight for portfolio i in the composite

V0,i = beginning-of-period value of portfolio i

© Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright. 65

Overview of the Global Investment Performance Standards

y

Ly = (n + 1)

100

( )

rY = rA − L y − n A, Ly ( rA − rB )

where:

Ly = location of the portfolio in the yth percentile

n = number of observations

r = linear interpolation of return between observations around the yth percentile

Portfolio returns

Less: Trading costs

Equals: Gross-of-fee returns

Less: Management fees

Equals: Net-of-fee returns

n

∏ (1 + rt ) − 1 = (1 + r1 )(1 + r2 )(1 + r3 )…(1 + rn )

1/ n

rann = n −1

t =1

where:

n = number of compounding periods during the annual period

Internal Rates of Return Since Inception (Si‐Irr) Using Quarterly or More Frequent

Cash Flows

( )

4

rann = 1 + rQuarterly −1

66 © Wiley 2018 All Rights Reserved. Any unauthorized copying or distribution will constitute an infringement of copyright.

WILEY END USER LICENSE

AGREEMENT

Go to www.wiley.com/go/eula to access Wiley’s ebook

EULA.

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