# CFA Quant.txt

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 Author: Anonymous ID: 165552 Filename: CFA Quant.txt Updated: 2012-08-10 10:46:56 Tags: CFA Quant Folders: Description: CFA Quant Show Answers:

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1. time-weighted return
treat each time period individually, then find the geometric mean
2. bank discount yield
(Face value - Current value)/Face value * 360/time to maturity
3. money market yield
HPR*360/time to maturity
4. dollar(money)-weighted return
Exact same thing as IRR, just make NPV = 0
5. sampling error
difference between sample statistic and population statistic
6. Trading index (TRIN) or Arms Index
• less than 1 indicates more volume in advancing stocks
7. portfolio variance
8. priori probability
a simple probability based on the population size. If a stock can go up, down, or stay the same, then using priori each would have a 1/3 chance.
9. cross sectional vs time series data
• cross sectional: sample taken at a given point in time
• time series data: sample taken over a period of time
10. parametric vs nonparametric tests
• parametric: many assumptions about the population distribution
• nonparametric: may be most appropriate when heavily skewed
• both: often used in conjunction with each other
head and shoulder trends are more validated when volume decreases along them, showing that supply and demand forces that were acting before are weakening
12. Kurtosis
> 3 => fat tails

leptokurtic = more kurtosis

platykurtic = little kurtosis
13. roy's safety first criteria
choose portfolio with highest (Return - threshold)/standard deviation
14. %K and %D, MACD and signal line
%K is (current low - lowest low)/(highest - lowest). %D is moving average of %K. K above D implies buy, K below D implies sell

signal line is moving average of MACD line. MACD < signal implies sell, MACD > signal implies buy
15. technical analysis
market moves (supply and demand) are based on rational and irrational behavior

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