Tiêu đề 2024 L1V1.pdf ✅

QUANTITATIVE METHODS, ECONOMICS CFA® Program Curriculum 2024 • LEVEL 1 • VOLUME 1 © CFA Institute. For candidate use only. Not for distribution. © CFA Institute. For candidate use only. Not for distribution.
©2023 by CFA Institute. All rights reserved. This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself. It does not cover the individual selections herein that first appeared elsewhere. Permission to reprint these has been obtained by CFA Institute for this edition only. Further reproductions by any means, electronic or mechanical, including photocopying and recording, or by any information storage or retrieval systems, must be arranged with the individual copyright holders noted. CFA®, Chartered Financial Analyst®, AIMR-PPS®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and the Guide for Use of CFA Institute Marks, please visit our website at www.cfainstitute.org. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service. If legal advice or other expert assistance is required, the services of a competent pro- fessional should be sought. All trademarks, service marks, registered trademarks, and registered service marks are the property of their respective owners and are used herein for identification purposes only. ISBN 978-1-953337-49-8 (paper) ISBN 978-1-953337-23-8 (ebook) May 2023 © CFA Institute. For candidate use only. Not for distribution. © CFA Institute. For candidate use only. Not for distribution.
CONTENTS How to Use the CFA Program Curriculum xi Errata xi Designing Your Personal Study Program xi CFA Institute Learning Ecosystem (LES) xii Feedback xii Quantitative Methods Learning Module 1 Rates and Returns 3 Introduction 3 Interest Rates and Time Value of Money 5 Determinants of Interest Rates 6 Rates of Return 8 Holding Period Return 8 Arithmetic or Mean Return 9 Geometric Mean Return 10 The Harmonic Mean 14 Money-Weighted and Time-Weighted Return 19 Calculating the Money Weighted Return 19 Annualized Return 28 Non-annual Compounding 29 Annualizing Returns 30 Continuously Compounded Returns 32 Other Major Return Measures and Their Applications 33 Gross and Net Return 33 Pre-Tax and After-Tax Nominal Return 34 Real Returns 34 Leveraged Return 36 Practice Problems 38 Solutions 42 Learning Module 2 The Time Value of Money in Finance 45 Introduction 45 Time Value of Money in Fixed Income and Equity 46 Fixed-Income Instruments and the Time Value of Money 47 Equity Instruments and the Time Value of Money 55 Implied Return and Growth 60 Implied Return for Fixed-Income Instruments 60 Equity Instruments, Implied Return, and Implied Growth 65 Cash Flow Additivity 69 Implied Forward Rates Using Cash Flow Additivity 71 Forward Exchange Rates Using No Arbitrage 74 Option Pricing Using Cash Flow Additivity 76 Practice Problems 81 © CFA Institute. For candidate use only. Not for distribution. © CFA Institute. For candidate use only. Not for distribution.
iv Contents Solutions 84 Learning Module 3 Statistical Measures of Asset Returns 87 Introduction 87 Measures of Central Tendency and Location 89 Measures of Central Tendency 90 Dealing with Outliers 92 Measures of Location 93 Measures of Dispersion 100 The Range 101 Mean Absolute Deviations 101 Sample Variance and Sample Standard Deviation 101 Downside Deviation and Coefficient of Variation 102 Measures of Shape of a Distribution 110 Correlation between Two Variables 117 Scatter Plot 117 Covariance and Correlation 118 Properties of Correlation 119 Limitations of Correlation Analysis 120 Practice Problems 126 Solutions 129 Learning Module 4 Probability Trees and Conditional Expectations 131 Introduction 131 Expected Value and Variance 132 Probability Trees and Conditional Expectations 134 Total Probability Rule for Expected Value 135 Bayes' Formula and Updating Probability Estimates 139 Bayes’ Formula 140 Practice Problems 149 Solutions 150 Learning Module 5 Portfolio Mathematics 151 Introduction 151 Portfolio Expected Return and Variance of Return 153 Covariance 153 Correlation 156 Forecasting Correlation of Returns: Covariance Given a Joint Probability Function 161 Portfolio Risk Measures: Applications of the Normal Distribution 164 Practice Problems 171 Solutions 172 Learning Module 6 Simulation Methods 173 Introduction 173 Lognormal Distribution and Continuous Compounding 174 The Lognormal Distribution 174 Continuously Compounded Rates of Return 177 © CFA Institute. For candidate use only. Not for distribution. © CFA Institute. For candidate use only. Not for distribution.