CFA二级公式表.pdf

CFA二级公式表.pdf

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CFA公式表-LevelIIQuantitativeMethods1.SimpleLinearRegressionCorrelation:

（）（）xyxyxyCovrsst-testforr（df=n-2）:

221rntrEstimatedslopecoefficient:

2xyxCovEstimatedintercept:

01bybxConfidenceintervalforpredictedY-value:

cytSEofforecast2.MultipleRegression0112233（）（）（）iiiYbbXbXbXiiTeststatisticalsignificanceofb;0:

0,1bHbbtdfnksRejectiftorp-value0h|tcriticalConfidenceInterval:

（）jjcbbtsSST=RSS+SSEMSR=RSS/kMSE=SSE/（n-k-1）Teststatisticalsignificanceofregression:

F=MSR/MSEwithdfkandn-k-1（1-tail）Standarderrorofestimate（SEEMSE）,SmallerSEEmeansbetterfit.Coefficientofdetermination（2/RRSSSST）.%ofvariabilityofYexplainedbyXs;HigherR2meansbetterfit.3.RegressionAnalysis-ProblemsHeteroskedasticity.Non-constanterrorvariance.DetectwithBreusch-Pagantest.CorrectwithWhite-correctedstandarderrors.Autocorrelation.Correlationamongerrorterms.DetectwithDurbin-Watsontest;positiveautocorrelationifDWincentivetodiscovernewproductsandmethods.Discovery=realreturntargetreturn.6.Nominal&RealExchangeRateNominalex.Rate（E）:

priceofonecurrencyintermsofanother;observedinEXmarkets.Realexchangerate=E（P/P*）7.BalanceofPayment:

currentaccount+capitalaccount+officialreserveaccount=08.ForeignExchange:

Directquotes:

ifquoteisper$（orUSD:

GBP）,thisisadirectquotefromtheperspectiveofthepound.Bid-askspreadstatedaspercentofaskingprice:

%（100）askpricebidpricespreadaskpriceForeigncurrencyisatforwarddiscount（premium）ifFisbelow（above）S,usingdirectquotes:

360（/）

（1）（）dayminfwdratefwdpremdiscspotratetersCurrencyappreciatesdueto:

（1）Lowerrelativeincomegrowthrate.

（2）Lowerrelativeinflationrate.（3）Higherdomesticrealinterestrate.（4）Improvedinvestmentclimate.9.Unanticipatedshifttoexp.MonetaryPolicy:

Higherincome,acceleratedinflation,lowerrealinterestrates,leadstocurrencydept,currentacctsurplus,andfinancialacctdeficit.10.Unanticipatedshifttoexp.FiscalPolicy:

currencyappr,currentacctdeficit,&financialaccountsurplus.11.PurchasingPowerParity:

Lawofoneprice:

asingle,clearlycomparablegoodshouldhavesamerealpriceinallcountries.RelativePPP:

Countrieswithhighinflationratesshouldseetheircurrenciesdepreciate.01（）1CounterCurrencytBaseCurrencyISEIS12.InternationalFisherRelation:

Assumesrealinterestratesareequalacrossborders,sointerestdifferentialequalsexpectedinflationdifference.11（11（bbaarEIrEI）（）（）babarrEIEI13.UncoveredInterestRateParity:

Countrieswithhighnominalinterestratesshouldseetheircurrenciesdepreciate.01360（）1360CounterCurrencynBaseCurrencynrSEnrS14.InterestRateParity:

Countrieswithhighnominalinterestrateswillhavetheircurrenciessellatforwarddiscounttopreventarbitrage.11barFSr15.CurrencyArbitrage:

upthebidanddowntheaskFinancialStatementAnalysis1.AccountingforInterCorpInvestmentsa）Minoritypassive:

50%owned,control.Consolidation,allassets,liability,revenue,andexpenseofsubcombinedwithparent,excludinginter-companytransaction.If100%,minorityinterestaccountforsharenotowned.d）Jointventure:

50%sharedcontrol.IFRS:

Proportionateconsolidationpreferred,similartoregularconsolidation,exceptonlyincludepro-ratashare.USGAAP:

equitymethod.2.FinancialEffectofChoiceofMethod:

equity,consolidation,proportionateconsolidation.a）Allthreemethodsreportsamenetincome.b）AllthreemethodsreportsameROEc）Asset,liabilities,salesarehighestunderconsolidation;lowestunderequitymethod;proportionateconsolidationinbetween.3.PensionAccounting:

a）PBOcomponents:

currentservicecost,interestcost,actuarialgains/losses,benefitspaid.b）Fundedstatus=planassetsPBOc）Pensionexpensecomponents:

currentservicecost,interestcost,expectedreturnonplanassets,prior（past）servicecost,netactuarialgains/losses.d）Aggressiveassumptions/lowearningsquality:

highdiscountrate,lowcompensationgrowthrate,highexpectedreturn.4.Economicpensionexpense:

iffirmcontribution,diff=borrowing（andreclassfromCFOtoCFF）5.Balancesheet:

GAAPvs.IFRS:

GAAP:

netassets/liability=fundedstatus=economicreality.IFRS:

netassets/liab=fundedstatusadj.forunrecognizeditems.6.UnderlyingEconomicPensionExpense:

SumofallchangesinPBO（exceptbenefitspaid）lessactualROA.Also=changeinfundedstatusexcludefirmscontributions.Servicecost=operatingexpense.InterestandactualROArepeatedasnonoperatingincome.7.BusinessCombinations:

a）PurchasemethodrequiredunderU.S.GAAPandIFRSb）Goodwillnotamortized,subjecttoannualimpairmenttest.8.PurchaseMethodAttributes:

a）Acquirerassumesassets/liabilitiesofacquiredcompany.b）ExcessFMVofacquirednetassetsallocatedfirsttointangibleassets,thengoodwill.c）Prioroperatingresultsnotrestated.9.PoolingMethodAttributesa）Companyf/scombinedatbookvalue.b）Prioroperatingresultsrestated.10.ImpactofPurchasevs.Poolinga）Assetandequityhigher,netincomelowerunderpurchasemethod.b）Profitmargin,ROA,ROElowerunderpurchasemethod.11.EntityisVIEifanyof:

12.MultinationalOperations:

ChoiceofMethoda）Insufficientat-riskequityinvestment.b）Shareholderlackdecision-makingrights.c）Shareholderdonotabsorblossesd）Shareholderdonotreceiveresidualbenefits.TheprimarybeneficiaryconsolidatestheVIE.QualifyingSPE:

GAAPallowsnoconsol.（useequitymethod）.NotpermittedunderIFRS.13.MultinationalOperations:

ChoiceofMethodForself-containedsub,functionalpresentationcurrency;useall-currentmethod:

a）Assets/liabilitiesatcurrentrate.b）Commonstockathistoricalrate.c）Incomestatementataveragerate.d）Exposure=shareholdersequitye）Dividendatratewhenpaid.Forintegratedsub,functional=presentationcurrency,usetemporalmethod:

f）Monetaryassets/liabilitiesatcurrentrate.g）Nonmonetaryassets/liabilitiesathistoricalrate.h）Sales,SGAataveragerate.i）COGS,depreciationathistoricalrate.j）Exposure=monetaryassetsmonetaryliabilitiesNetassetposition&Depr,foreigncurrency=lossNetliab,position&depr,foreigncurrency=gain.14.OriginalF/Svs.All-Currenta）PureB/SandI/Sratiosunchangedb）IfLocalcurrencydepreciating,translatedmixedratioswillbelargerc）Iflocalcurrencyappreciating,translatedmixedratioswillbesmaller.15.Hyperinflation:

GAAPvs.IFRS:

Hyperinflation=cumulativeinflation100%over3years,GAAP,usetemporalmethod.IFRS:

1.restateforeigncurrencyst.forinflation.2.translatewithall-current.Netpurchasepowergain/lossesreportedinincome.16.Accrual-basedincome:

accrualpartlesspersistenttencashpart.17.Measureofearningquality:

/2/2BSENDBEGENDBEGBSENDBEGCFENDBEGAccrualsNOANOANOANOAAccrualsRatioNOANOANICFOCFIAccrualsRatioNOANOA18.MeanReversion:

occursfasterwithlargeraccrualearningscomponent.19.DetectingManipulation:

a）Revenuerecognize:

largechangesinreceivable&unearnedrevenue.DSO,comparerevenuetocashcollected.b）Expenserecognize:

largechangesinfixedassets&inventory,DOH,LIFOliquidation,comparedepreciation.Exp,calculatecoreoperatemargin=（sales-COGS-SG&A）/sales.c）B/S:

capitalizeoperatinglease;impairedgoodwilld）CF:

comparegrowthofoperatingleasestoassetgrow,lookforindiscretionaryspendatyearend.20.Fairvaluehedge:

gain/lossfromderivative&hedgedBSitemreportedinIS.21.Cashflowhedge:

gain/lossfromderivativebypassIS-reportedinshareholdersequity.22.Netinvestmenthedgeofaforeignsub:

gain/lossrecognizeinequityalongwithtransactiongain/loss.CORPORATEFINANCE1.Capitalbudgetingexpansiona）Initialoutlay=FCinv+WCinvb）CF=（S-C-D）（1-T）+D=（S-C）（1-T）+DTc）TNOCF=SalT+NWCInv（SalTBT）T2.Capitalbudgetingreplacementa）Sameasexpansion,exceptcurrentaftertaxsalvageofoldassetsreducesinitialoutlay.b）Incrementaldepreciationisindepth.3.Projectswithunequallivesa）Leastcommonmultipleoflives.b）Equivalentannualannuity（EAA）:

annuityequaltoPCofprojectCFs.4.Effectsofinflation:

Discountnominal（real）cashflowsatnominal（real）rate;unexpectedchangesininflationaffectprojectprofitability;reducestherealtaxsavingsfromdepreciation;decreasesvalueoffixedpaymentstobondholders;affectscostsandrevenuesdifferently.5.Capitalrationing:

If+NPVcapital,choosecombinationwithhighestNPV.6.Realoptions:

Timing,abandonment,expansion,flexibility,fundamentaloptions.7.Economicandaccountingincomea）EconomicIncome=ATCF+inprojectsMV.b）EconomicdeprbasedonininvestmentsMV.c）Economicincomecalculatedbeforeinterestexpense（costofcapitalreflectedindiscountrate）d）Accountincome=projectrevenuecostse）Accountdepbasedonoriginalinvestmentcost.f）Interest（financingcosts）deductedbeforecalculatingaccountingincome.8.Valuationmodels:

a）Econprofit=NOPAT-$WACC;discountedatWACC.b）Residualincome=NIequitycharge;discountedatrequiredreturnonequity.c）ClaimsvaluationseparatesCFsbasedonequityclaims（discountedatcostofequity）anddebtholders（discountedatcostofdebt）.9.Operatingleverage:

variable/fixedcosttradeoff%DOL%EBITSales（）（）qtysalesQPVDOLQPVFSVCDOLSVCF10.Financialleverage:

referstouseoffixed-incomesecurities（debtandpreferredstock）.%i%（）（%）EPSEBITDFLEBITEBITerestEPSDFLEBITnt11.Totalleverage:

measureseffectonEPSofgivenchangeinsales.DTL=DOLDFL12.Breakeven:

BEFQPV13.MMPropI（Notaxes）:

Capitalstructureirrelevant（notaxes,transactioncostorbankruptcycosts）.14.MMPropII（NoTaxes）:

increaseduseofcheaperdebtincreasescostofequity,nochangeinWACC.15.MMPropositionI（Withtaxes）:

taxshieldaddsvalue,valuemaximizedat100%debt.16.MMPropositionII（Withtaxes）:

taxshieldaddsvalue,WACCminimizedat100%debt.17.CorporateGovernanceObjectivesa）Mitigateconflictsofinterestbetween

（1）managersandshareholders,and

（2）directorsandshareholders.b）Ensureassetsusedtobenefitinvestorsandstakeholders.18.EPSafterasharerepurchasetanTotalEarningsAfterTaxCostofFundsEPSSharesOutsdingAfterBurba