Documente Academic
Documente Profesional
Documente Cultură
= +
Return and variance for 2 risky assets portfolio:
2 2 2
( ) = ( )+ ( )
=( ) + ( ) + 2( )( )
P B B S S
P B B S S B B S S BS
E r w E r w E r
w w w w o o o o o
Composition of optimal risky portfolio formed by 2 risky assets:
Market risk premium:
Abnormal Performance Measures:
(1 IMR)*(1+InterestRate)
*initial.P
1 Maintenance Margin
p
<=
initial.P*(1 IMR)-d
1 Maintenance Margin
p
+
>=
+
2
2 2
[ ( ) - ] - [ ( ) - ]
=
[ ( ) - ] + [ ( ) - ] - [ ( ) - + ( ) - ]
=1 -
B f S S f B S BS
B
B f S S f B B f S f B S BS
S B
E r r E r r
w
E r r E r r E r r E r r
w w
o o o
o o o o
2
E( ) - = *
M f M
r r A o
' =( - )- *( - )= - * p m
p P f p m f p
Jensens r r r r R R o | |
-
=
p f
p
r r
Treynor Ratio
|
-
=
p f
p
r r
Sharpe Ratio
o
= =
p
ep
Abnormal Return
Information Ratio
Tracking Error
o
o
2
ROE:
'
Net Income
Shareholder s Equity
Dupont Equation:
= * * * *
'
= * * * *
Net Income Pretax Profit EBIT Sales Total Assets
ROE
Pretax Profit EBIT Sales Total Assets Shareholder s Equity
Tax Burden Interest Burden Operating Margin Total Asset Turnover Leverage
ROA:
EBIT
Total Assets
Relationship among ROA, ROE and Leverage:
=(1- )*[ +( - )* ]
Debt
ROE Tax Rate ROA ROA Interest Rate
Equity
Invoiced Bond Price:
Flat Bond Price:
Flat Price (Listed Price) = Invoiced Price Accrued Interest
Accrued Interest:
= *
Days Since Last Coupon Payment
Accrued Interest Coupon Payment
Days Separating Coupon Payments
Macaulays Duration:
=1
1
' = ( * * )
(1+ )
T
t
t
t
CF
MacaulaysDuration t
YTM Bond Price
Modified Duration:
1
= * '
1+
ModifiedDuration MacaulaysDuration
YTM
Convexity:
ModifiedDuration
Convexity
r
c
=
c
Price sensitivity of bond:
= - *
P
ModifiedDuration y
P
A
A
2
1
= - * + * *( )
2
P
ModifiedDuration y Convexity y
P
A
A A
1 1
1
(1 ) (1 )
T
t w T w
t
Coupon Par Value
Invoice Price
r r
+ +
=
= +
+ +
3
No-Growth DDM:
Constant-Growth DDM:
1
0
D
P
k g
=
Two-Stage DDM:
0 0
0
1
*(1 ) *(1 ) *(1 )
(1 ) (1 ) *( )
t n n
H H L
t n
t
L
D g D g g
P
k k k g
=
+ + +
= +
+ +
Dividend growth rate:
= * g ROE retention ratio
Present value of growth opportunities:
1
0
= +
E
P PVGO
r
FCFF:
FCFF = EBIT*(1-Tax Rate) + Depreciation Capital Expenditures Increase in
NWC
FCFE:
FCFE = FCFF Interest Expense *(1-Tax Rate) + Increases in net Debt
Constant-growth FCFF model:
Two-Stage FCFF model:
Constant-growth FCFE model:
Two-Stage FCFE Model:
Payoff to call option holder on expiration date:
0
D
P
k
=
1
0
FCFF
FirmValue
WACC g
=
0 0
0
1
*(1 ) *(1+g ) *(1 )
(1 ) (1 ) *( )
t n n
H H L
t n
t
L
FCFF g FCFF g
FirmValue
WACC WACC WACC g
=
+ +
= +
+ +
1
0
e
FCFE
Value of Equity
k g
=
0 0
0
1
*(1 ) *(1+g ) *(1 )
(1 ) (1 ) *( )
t n n
H H L
t n
t
e e e L
FCFE g FCFE g
Value of Equity
k k k g
=
+ +
= +
+ +
0 if S X
Payoff = V
if S > X
T
c
T T
S X
s
=
4
Payoff to put option holder on expiration date:
Profit to call option holder on expiration date:
Profit to put option holder on expiration date:
Profit of protective put:
Max (X-S
T
, 0) + S
T
S
0
P
Profit of covered call:
-Max (S
T
X,0) + S
T
S
0
+ C
Profit of long straddle:
Max(S
T
X,0) + Max(X S
T
,0) C P
Put-Call Parity:
C
0
P
0
= S
0
PV(X)
Call Option hedge ratio:
0 0
-C
=
-
u d
C
H
uS dS
Risk-neutral Probability:
(1 )
T
f
r d
p
u d
+
=
0 if S X
Payoff = V
if S < X
T
p
T T
X S
>
=
( ) ( , 0)
T
Profit Loss Max S X C =
( ) ( , 0)
T
Profit Loss Max X S P =