1
Q
Cost of Carry
A
F(T) = S + carrying costs
2
Q
Forward Pricing
A
F(T) = S * e^([r+c-y] * T)
r = risk free rate c = storage costs y= convenience yield
3
Q
Basis (forward contracts)
A
Basis = S - F(T)
4
Q
Calendar Spread
A
Calendar spread F(T+t) - F(T)
5
Q
Contango
A
Forward prices above the spot price, converge to the spot price over time
6
Q
Backwardation
A
Forward prices less than the current spot price
CAIA Formulas
flashcards
Decks in class (27)
# Cards
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2.3 - Quantitative Foundations8
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2.4 - Statistical Foundations12
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2.5 Measures of Risk and Performance17
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2.6 Foundations of Financial Economics19
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2.7 - Benchmarking and Performance Attribution3
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2.8 - Alpha, Beta and Hypothesis Testing5
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2.9 - Regression, Mulrivariate and Non-linear Methods3
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3.1 - Natural Resources and Land6
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3.2 - Commodity Forward Pricing6
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3.3 - Commodities: Applications and Evidence2
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3.4 - Operationally Intensive Real Assets2
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3.5 - Liquid & Fixed Income Real Estate7
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3.6 - Real Estate Equity Investment2
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4.1 - Structure of the Hedge Fund Industry2
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4.2 - Macro and Managed Futures Funds4
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4.5 - Equity Hedge Funds3
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4.3 - Event Driven Hedge Funds1
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4.4 -Relative Value Hedge Funds7
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4.6 - Funds of Hedge Funds1
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5.1 - Intro to Private Equity1
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5.2 - Equity Forms of Private Equity1
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5.3 - Debt Types of Private Equity1
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6.1 - Introduction to Structuring3
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6.2 - Credit Risk & Credit Derivatives4
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6.4 - Equity Linked Structured Products3
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7.1 - Cases in Tail Events1
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7.4 - Portfolio Mgmt, Alpha and Beta2
