CFA_level1_formula_table(1)

Quantitative Analysis

Rates and Returns

Components of Interest Rate

• 无风险利率
  $$\text{Nominal Risk-free Interest Rate}=\text{Real Risk-free Interest Rate}+\text{Inflation Premium}$$
• 风险资产收益率
  $$\text{Return of Risky Asset}=\text{Nominal Risk-free Interest Rate}+\text{Risk Premium}$$$$\text{Risk Premium}=\text{Default premium}+\text{Liquidity premium}+\text{Maturity premium}$$

Mean

• 算术平均 Arithmetic Mean
  $$\mu =\frac{\sum _{i=1}^N{X}_i}{N}$$$$\overline{X}=\frac{\sum _{i=1}^n{X}_i}{n}$$
• 几何平均 Geometric Mean
  $$G=\sqrt[n]{X_1{X}_2{X}_3\cdots X_n}$$$${\text{Periodic Return}}_{\text{compound}}=\sqrt[n]{(1+R_1)(1+R_2)\cdots (1+R_n)}-1$$
• 调和平均 Harmonic Mean
  $${\overline{X}}_{\text{Harmonic}}=\frac{N}{\sum _{i=1}^N\frac{1}{X_i}}$$
• 加权平均 Weighted Mean
  $${\overline{X}}_W=\sum _{i=1}^n{w}_i{X}_i$$
• 大小关系
  $$\text{Harmonic Mean}\le \text{Geometric Mean}\le \text{Arithmetic Mean}$$

Measurements of Return

• 持有期收益率 Holding period return
  $$R=\frac{P_T+D_T}{P_0}-1$$
  • $P_0$：资产期初价格
  • $P_T$：资产期末价格
  • $D_T$：股息（或者其他收入）
• 算数平均收益率 Arithmetic return
  $$R=\frac{R_1+R_2+\cdots +R_n}{n}$$
  • $R_1,R_2,\cdots ,R_n$：每期持有期收益率
  • $n$：投资期限
• 时间加权平均收益率 Time-weighted return (TWR)
  $$TWR=[(1+HP{R}_1)(1+HP{R}_2)\cdots (1+HP{R}_n){]}^{\frac{1}{N}}-1$$
  • $HP{R}_1,HP{R}_2,\cdots ,HP{R}_n$：每期持有期收益率
  • $N$：年数
• 货币加权收益率 Money-weighted return (MWR)
  $$C{F}_0+\frac{C{F}_1}{(1+MWR{)}^1}+\cdots +\frac{C{F}_n}{(1+MWR{)}^n}=0$$
  • $C{F}_1,\cdots ,C{F}_n$：每期的现金流

Conversion of Present Value and Future Value

• 终值 Future Value (FV)
  $$FV=PV\cdot (1+\frac{r}{m}{)}^{n\cdot m}$$
  • $n$：年数

Annualizing Returns

• 年化回报率 Annualizing Returns
  $$R_{\text{annual}}=(1+R_{\text{period}}{)}^C-1$$$$R_{\text{annual}}=(1+R_{\text{semiannual}}{)}^2-1$$$$R_{\text{annual}}=(1+R_{\text{quarter}}{)}^4-1$$$$R_{\text{annual}}=(1+R_{\text{month}}{)}^{12}-1$$$$R_{\text{annual}}=(1+R_{\text{week}}{)}^{52}-1$$

Leveraged Return

• 杠杆回报 Leveraged Return
  $$R_L=\frac{\text{Return}}{\text{Portfolio Equity}}=\frac{(V_E+V_B)\cdot R_P-V_B\cdot r_D}{V_E}=R_P+\frac{V_B}{V_E}(R_P-r_D)$$

The Time Value of Money in Finance

Discounted cash flow model

• 现金流模型 DCF
  $$V_0=\sum _{i=1}^{+\infty }\frac{C{F}_i}{(1+r{)}^i}$$
  • $C{F}_i$：第$i$期现金流

Annuity Instruments

• 永续年金 Perpetuity Annuity
  $$A=\frac{PV\cdot r}{1-(1+r{)}^{-t}}$$
  • $A$：每期的金额
  • $r$：每期利率
  • $t$：总共期数
  • $PV$：债券的现值

Dividend discount model

• 优先股股利折现模型
  $$V_0=\frac{D}{r}$$
  • $D$：优先股股利
• 戈登股利增长模型 GGM
  $$V_0=\frac{D_1}{r-g}=\frac{D_0(1+g)}{r-g}$$$$r=\frac{D_1}{V_0}+g$$$$g=r-\frac{D_1}{V_0}$$
  • $r$：折现率
  • $g$：股利固定增长率
  • $D_0$：股票在0时刻派发的股利
• 两阶段股利折现模型 Two-stage DDM
  $$V_0=\sum _{i=1}^N\frac{D_0(1+g_S{)}^i}{(1+r{)}^i}+\frac{P_N}{(1+r{)}^N}$$$$P_N=\frac{D_{N+1}}{r-g_L}$$
  • $g_S$：短期高速股利增长率
  • $g_L$：长期低速股利增长率
  • $D_{N+1}$：第$N+1$期期末股利

Price-to-Earnings ratio

• 市盈率指标 Price-to-Earnings ratio
  $$\text{PE ratio}=\frac{\text{每股股价 p}}{\text{每股盈利 earnings per share (EPS)}}=\frac{\text{总市值}}{\text{净利润总额}}$$
• 静态市盈率 Trailing P/E
  $$\frac{P}{E}=\frac{P_0}{EP{S}_0}$$
• 动态市盈率 Leading (forward) P/E
  $$\frac{P}{E}=\frac{P_0}{EP{S}_1}$$
• 合理静态市盈率 Justified trailing P/E
  $$\frac{P}{E}=\frac{V_0}{E_0}=\frac{\frac{D_1}{r-g}}{E_0}=\frac{\frac{D_1}{E_0}}{r-g}=\frac{D_0\cdot \frac{1+g}{E_0}}{r-g}=\frac{\frac{D_0}{E_0}}{r-g}\cdot (1+g)$$
  • $E_1$：第1期每股收益
  • $\frac{D_0}{E_0}$：股利支付率
• 合理动态市盈率 Justified leading P/E
  $$\frac{P}{E}=\frac{V_0}{E_1}=\frac{\frac{D_1}{r-g}}{E_1}=\frac{\frac{D_1}{E_1}}{r-g}$$
  • $E_1$：第1期每股收益
  • $\frac{D_1}{E_1}$：股利支付率

Forward rate

• 远期利率 Forward rate
  $$(1+r_n{)}^n=(1+r_m{)}^m\cdot (1+F_{n-m}{)}^{n-m}$$
  • $r_m$和$r_n$分别是$m$年和$n$年的即期利率
  • $F_{n-m}$是$n-m$年的远期利率

Forward exchange rate

• 离散复利下利率平价公式 Discrete Interest rate parity
  $$\frac{F_{A/B}}{S_{A/B}}=\frac{(1+r_A{)}^n}{(1+r_B{)}^n}$$
• 连续复利下利率平价公式 Continuous Interest rate parity
  $$\frac{F_{A/B}}{S_{A/B}}=\frac{e^{r_A\cdot n}}{e^{r_B\cdot n}}=e^{(r_A-r_B)\cdot n}$$
  • $F_{A/B}$：远期汇率
  • $S_{A/B}$：即期汇率
  • $r_A$：A国无风险利率
  • $r_B$：B国无风险利率

Statistical Measures of Asset Returns

Central Tendency

• 总体算术平均数
  $$\mu =\frac{\sum _{i=1}^N{X}_i}{N}$$
• 样本算术平均数
  $$\overline{X}=\frac{\sum _{i=1}^n{X}_i}{n}$$
• 中位数（n为奇数）
  $$\text{中位数}=\frac{n+1}{2}\text{位置的数}$$
• 中位数（n为偶数）
  $$\text{中位数}=\frac{n}{2}\text{与}\frac{n+2}{2}\text{两个位置上的数的平均值}$$
• 分位数位置
  $$L_y=(n+1)(y\%)$$

Absolute Dispersion

• 极差 Range
  $$\text{Range}=\text{Maximum Value}-\text{Minimum Value}$$
• 平均绝对偏离度 Mean Absolute Deviation (MAD)
  $$MAD=\frac{\sum _{i=1}^n(X_i-\overline{X})}{n}$$
  • $\overline{X}$：样本均值
  • $n$：观测值个数
• 目标下行标准差 Target Downside Deviation
  $$s_{\text{Target}}=\sqrt{\sum _{\text{for all }{X}_i\le B}^n\frac{(X_i-B{)}^2}{n-1}}$$
  • $B$：目标值
  • $n$：样本量
• 总体标准差 Population Standard Deviation
  $$\sigma =\sqrt{\frac{\sum _{i=1}^N(X_i-\mu {)}^2}{N}}$$
  • $\mu$：总体均值
  • $N$：总体大小
• 样本标准差 Sample Standard Deviation
  $$s=\sqrt{\frac{\sum _{i=1}^n(X_i-\overline{X}{)}^2}{n-1}}$$
  • $\overline{X}$：样本均值
  • $n$：样本量

Relative Dispersion

• 变异系数 Coefficient of Variance
  $$CV=\frac{s}{\overline{X}}$$
  • $s$：样本标准差
  • $\overline{X}$：样本均值
• 夏普系数 Sharpe Ratio
  $$SR=\frac{R_P-R_f}{{\sigma }_P}$$
  • $R_P$：组合收益率
  • $R_f$：无风险收益率
  • ${\sigma }_P$：组合收益率标准差

Covariance and Correlation

• 协方差 Covariance
  $$Cov(R_A,R_B)=\sum _{i=1}^n\sum _{j=1}^{n}P(R_{A,i},R_{B,j})[R_{A,i}-E(R_A)][R_{B,j}-E(R_B)]$$
  • $Cov(R_A,R_B)\in (-\infty ,+\infty )$：若协方差>0，表示两个变量有同向变动的趋势；若协方差<0,表示两个变量有反向变动的趋势
• 相关系数 Correlation
  $${\rho }_{i,j}=\frac{Cov(R_i,R_j)}{{\sigma }_i{\sigma }_j},r=\frac{Cov(R_i,R_j)}{s_i{s}_j}$$
  • ${\rho }_{i,j}\in [-1,1]$
  • ${\rho }_{i,j}=1$，$R_i$和$R_j$完全线性正相关
  • ${\rho }_{i,j}=-1$，$R_i$和$R_j$完全线性负相关
  • ${\rho }_{i,j}=0$，$R_i$和$R_j$无线性关系

Probability Trees and Conditional Expectations

Probability

• 事件发生的概率 The Probability of Event E
  $$0\le P(E)\le 1$$
• 随机变量的期望值 Expected value
  $$E(X)=\sum _{i=1}^{N}P(X_i)X_i$$
• 随机变量的方差 Variance
  $${\sigma }^2(X)=P(X_1)[X_1-E(X_1){]}^2+\cdots +P(X_N)[X_N-E(X_N){]}^2=E[X-E(X){]}^2$$
• 乘法法则 Multiplication Rule
  $$P(AB)=P(A|B)P(B)$$
• 独立事件的联合概率 Joint Probability of Independence Events
  $$P(A|B)=P(A)$$$$P(AB)=P(A)P(B)$$
• 全概率公式 Total Probability Rule
  $$P(A)=P(A|S_1)P(S_1)+\cdots +P(A|S_n)P(S_n)$$
  • $S_1,S_2,\cdots ,S_n$互斥且遍历
• 贝叶斯公式 Bayes’ Formula
  $$P(A|B)=\frac{P(B|A)P(A)}{P(B|A)P(A)+P(B|\overline{A})P(\overline{A})}$$
• 期望的全概率公式 Total Probability Rule for Expected Value
  $$E(X)=\sum _{i=1}^{n}E(X|S_i)P(S_i)$$
  • $E(X|S_n)$：$S_n$发生的情况下$X$的期望值
  • $S_1,S_2,\cdots ,S_n$互斥且遍历

Portfolio Mathematics

Continuous Distribution

• 正态分布标准化 Standardization
  $$Z=\frac{X-\mu }{\sigma }$$
  • $X$：样本观测值，服从正态分布
  • $\mu$：正态分布均值
  • $\sigma$：正态分布标准差

Safety-first Ratio

• 完全第一比率 Safety-first Ratio
  $$\text{SFRatio}=\frac{E(R_P)-R_L}{{\sigma }_P}$$
  • $R_L$：shortfall level
  • $E(R_P)$：组合预期收益率
  • ${\sigma }_P$：组合收益率标准差

Simulation Methods

Continuously Compounded Rate of Return

• 连续复利下的回报率 Continuously Compounded Rate of Return
  $$P_T=P_0\cdot e^{r_{0,T}}$$$$r_{0,T}=\ln (\frac{P_T}{P_0})$$

Estimation and Inference

Standard Error

• 样本均值的标准误 Standard Error of Sample Mean
  $${\sigma }_{\overline{X}}=\frac{\sigma }{\sqrt{n}}$$
  • 总体标准差$\sigma$已知
    $$s_{\overline{X}}=\frac{s}{\sqrt{n}}$$
  • 总体标准差$\sigma$未知

Hypothesis Testing

Hypothesis Testing Statistic

• 单个均值检验统计量（总体方差已知）
  $$Z=\frac{\overline{X}-{\mu }_0}{\sigma /\sqrt{n}}$$
  • $Z$：$z$检验统计量
  • $\overline{X}$：样本均值
  • ${\mu }_0$：假设的总体均值
  • $\sigma$：总体标准差
• 单个均值检验统计量（总体方差未知）
  $$t_{n-1}=\frac{\overline{X}-{\mu }_0}{S/\sqrt{n}}$$
  • $t_{n-1}$：$t$检验统计量
  • $\overline{X}$：样本均值
  • ${\mu }_0$：假设的总体均值
  • $S$：样本标准差

Parametricand Non-Parametric Tests of Independence

Parametric Test of a Correlation

• 相关系数的参数检验统计量
  $$t_{n-2}=\frac{r\sqrt{n-2}}{\sqrt{1-r^2}}$$
  • $t_{n-2}$：$t$检验统计量
  • $r$：样本相关系数
  • $n$：样本量

Introduction to Linear Regression

Least Squares Criterion

• 斜率系数项估计量
  $${\hat{b}}_1=\frac{Cov(X,Y)}{Var(X)}$$
  • ${\hat{b}}_1$：斜率系数项估计量
  • $Cov(X,Y)$：$X$和$Y$的协方差
  • $Var(X)$：$X$的方差
• 截距项估计量
  $${\hat{b}}_0=\overline{Y}-{\hat{b}}_1\overline{X}$$
  • $\overline{X}$：自变量的样本均值
  • $\overline{Y}$：因变量的样本均值

Test of Slope Coefficient

• t 检验统计量 t Statistic
  $$t=\frac{{\hat{b}}_1}{s_{{\hat{b}}_1}}$$
  • $s_{{\hat{b}}_1}$：斜率系数估计量的标准差

Analysis of Variance

• 平方和 Sum of Squares
  $$SST=SSR+SSE$$
  • SST：总和平方和
  • SSR：回归平方和
  • SSE：残差平方和
• 可决系数 Coefficient of Determination
  $$R^2=\frac{SSR}{SST}=r^2$$
  • $r$：自变量与因变量的相关系数
• 估计的标准误 Standard Error of the Estimate
  $$s_e=\sqrt{\frac{\sum _{i=1}^n(Y_i-\widehat{Y_i}{)}^2}{n-2}}$$
  • $Y_i$：第$i$个因变量
  • $\widehat{Y_i}$：第$i$个因变量的估计量
  • $n$：样本量

F Statistic

• F 检验统计量
  $$F=\frac{MSR}{MSE}=\frac{SSR/1}{SSE/(n-2)}$$
  • MSR：均方回归
  • MSE：均方误
  • SSR：回归平方和
  • SSE：残差平方和
  • $n$：样本量

Prediction Interval for Dependent Variable

• 因变量的预测区间
  $${\hat{Y}}_f\pm t_e\cdot s_f$$
  • ${\hat{Y}}_f$：因变量的预测值
  • $t_e$：t检验统计量的关键值
  • $s_f$：预测标准误

Economics

Topics in Demand and Supply Analysis

Elasticity of Demand

• 价格弹性 Own-price elasticity of demand
  $$E_{P_X}^d=\frac{\%\Delta Q_X^d}{\%\Delta P_X}=\frac{\frac{\Delta Q_X^d}{Q_X^d}}{\frac{\Delta P_X}{P_X}}=\frac{\Delta Q_X^d}{\Delta P_X}\cdot \frac{P_X}{Q_X^d}$$
  • $P_X$：商品X的价格
• 交叉价格弹性 Cross-price elasticity of demand
  $$E_{P_Y}^d=\frac{\%\Delta Q_X^d}{\%\Delta P_Y}=\frac{\frac{\Delta Q_X^d}{Q_X^d}}{\frac{\Delta P_Y}{P_Y}}=\frac{\Delta Q_X^d}{\Delta P_Y}\cdot \frac{P_Y}{Q_X^d}$$
  • $P_Y$：商品Y的价格
• 收入弹性 Income elasticity of demand
  $$E_I^d=\frac{\%\Delta Q_X^d}{\%\Delta I}=\frac{\frac{\Delta Q_X^d}{Q_X^d}}{\frac{\Delta I}{I}}=\frac{\Delta Q_X^d}{\Delta I}\cdot \frac{I}{Q_X^d}$$
  • $I$：消费者收入

Revenue

• 总收入 Total revenue, TR
  $$TR=P\cdot Q$$
• 平均收入 Average revenue, AR
  $$AR=\frac{TR}{Q}$$
• 边际收入 Marginal revenue, MR
  $$MR=\frac{\Delta TR}{\Delta Q}=P[1-\frac{1}{|E_P|}]$$
  • $E_P$：需求价格弹性

Cost

• 总成本 Total cost, TC
  $$TC=TVC+TFC$$
• 平均固定成本 Average fixed cost, AFC
  $$AFC=\frac{TFC}{Q}$$
• 平均可变成本 Average variable cost, AVC
  $$AVC=\frac{TVC}{Q}$$
• 边际成本 Marginal cost, MC
  $$MC=\frac{\Delta TC}{\Delta Q}$$

Aggregate Output, Prices, and Economic Growth

GDP deflator

• GDP 平减指数
  $$\text{GDP deflator}=\frac{\text{Nominal GDP}}{\text{Real GDP}}\cdot 100\%$$

GDP calculation

• 支出法 Expenditure approach
  $$GDP=C+I+G+(X-M)=C+I+G+NX$$
  • $C$：私人部门消费
  • $I$：国内私人部门投资
  • $G$：政府部门支出
  • $X-M,NX$：净出口
• 收入法 Income approach
  $$GDP=C+S+T$$
  • $S$：私人部门储蓄
  • $T$：政府税收

Quantity theory of money

• 货币数量论 Quantity theory of money
  $$MV=PY$$
  • $M$：名义货币供给
  • $V$：货币流通速度
  • $P$：平均价格水平
  • $Y$：实际收入/支出

The production function

• 生产函数 Production function
  $$Y=Af(L,K)$$
  • $A$：全要素生产率（技术水平）

Growth in potential GDP

• Growth in potential GDP
  $$\text{Growth in potential GDP}=\text{Growth in technology}+W_L\cdot (\text{Growth in labor})+W_C\cdot (\text{Growth in capital})$$$$=\text{Long-term growth rate of labor force}+\text{Long-term labor productivity growth rate}$$

Growth in per capita potential GDP

• Growth in per capita potential GDP
  $$\text{Growth in per capita potential GDP}=\text{Growth in technology}+W_C\cdot (\text{Growth in capital-to-labor ratio})$$

Monetary and Fiscal Policy

Fisher effect

• 费雪效应
  $$r_{\text{nom}}=r_{\text{real}}+\text{expected inflation}=r_{\text{real}}+{\pi }_e$$

Money multiplier

• 货币乘数
  $$\text{Money multiplier}=\frac{1}{\text{Reserve requirement}}$$$$\text{Money created}=\text{New deposit}\cdot \text{Money multiplier}=\frac{\text{New deposit}}{\text{Reserve requirement}}$$

Understanding Business Cycles

Unemployment rate

• 失业率
  $$\text{Unemployment rate}=\frac{\text{Number of Unemployed}}{\text{labor force}}$$

Participation ratio

• 劳动力参与率
  $$\text{Participation ratio}=\frac{\text{labor force}}{\text{Working age population}}$$

Fiscal Policy

Fiscal multiplier

• 忽略所得税 Ignoring income taxes
  $$\text{Fiscal multiplier}=\frac{1}{1-c}$$
  • $c$：边际消费倾向 (Marginal propensity to consume)
• 考虑所得税 Including income taxes
  $$\text{Fiscal multiplier}=\frac{1}{1-c(1-t)}$$
  • $t$：净税率 (Net tax rate)

Capital Flows and the FX Market

Real exchange rate

• 实际汇率
  $${\text{Real}}_{d/f}={\text{Nominal}}_{d/f}\cdot \frac{P_f}{P_d}$$
  • ${\text{Real}}_{d/f}$：实际汇率
  • ${\text{Nominal}}_{d/f}$：名义汇率
  • $P_f$：外国物价水平
  • $P_d$：本国物价水平

Currency Exchange Rates

Interest rate parity

• 利率平价
  $$\frac{F_{\text{forward}(D/F)}}{S_{\text{spot}(D/F)}}=\frac{1+r_{DC}}{1+r_{FC}}$$
  • $F_{\text{forward}(D/F)}$：远期汇率
  • $S_{\text{spot}(D/F)}$：即期汇率
  • $r_{DC}$：本国无风险利率
  • $r_{FC}$：外国无风险利率
    $$\frac{F-S}{S}=\frac{1+r_x}{1+r_y}-1=\frac{r_x-r_y}{1+r_y}\approx r_x-r_y$$
  • $F$：远期汇率
  • $S$：即期汇率
  • $r_x$：x国无风险利率
  • $r_y$：y国无风险利率

Financial Statement Analysis

Analyzing Income Statements

ROE

• 股东回报率 Return on Equity
  $$\text{ROE}=\frac{\text{Net Income}}{\text{Shareholder’s Equity}}$$

EPS

• 基础每股收益 Basic EPS
  $$\text{Basic EPS}=\frac{\text{Net Income}-\text{Preferred dividends}}{\text{Weighted average number of shares outstanding}}$$
• 稀释每股收益 Diluted EPS
  $$\text{Diluted EPS}=\frac{NI-D_{\text{PS}\_\text{total}}}{\#}+\frac{D_{PS\_C}}{{\#}_{PS\_C\to CS}}+\frac{In{t}_{CD}(1-t)}{{\#}_{CD\to CS}}+\frac{1}{{\#}_{\text{TSM}}}$$
  • $\#$：加权平均发行在外普通股股数
  • ${\#}_{PS\_C\to CS}$：可转优先股转普通股股数
  • ${\#}_{CD\to CS}$：可转债转普通股股数
  • ${\#}_{\text{TSM}}$：库存股法计算期权/凭证转化后普通股股数
  • $D_{PS}$：优先股股利，total为一共，C为可转
  • $in{t}_{CD}$：可转债应付利息

Income Statement

• 净利润率 Net Profit Margin
  $$\text{Net Profit Margin}=\frac{\text{Net Income}}{\text{Revenue}}$$
• 毛利润率 Gross Profit Margin
  $$\text{Gross Profit Margin}=\frac{\text{Gross Profit}}{\text{Revenue}}$$

Analyzing Balance Sheets

Liquidity Ratios

• 流动比率 Current Ratio
  $$\text{Current Ratio}=\frac{\text{Current Assets}}{\text{Current Liabilities}}$$
• 速动比率 Quick Ratio (Acid test)
  $$\text{Quick Ratio}=\frac{\text{Cash}+\text{Marketable securities}+\text{Receivables}}{\text{Current liabilities}}$$
• 现金比率 Cash Ratio
  $$\text{Cash Ratio}=\frac{\text{Cash}+\text{Marketable securities}}{\text{Current liabilities}}$$

Solvency Ratios

• 债务权益比（长期） (LT) Debt-to-Equity Ratio
  $$\text{Debt-to-Equity Ratio}=\frac{\text{Total LT Debt}}{\text{Total Equity}}$$
• 债务权益比 Debt-to-Equity Ratio
  $$\text{Debt-to-Equity Ratio}=\frac{\text{Total Debt}}{\text{Total Equity}}$$
• 总债务比 Total Debt Ratio
  $$\text{Total Debt Ratio}=\frac{\text{Total Debt}}{\text{Total Assets}}$$
• 财务杠杆 Financial Leverage Ratio
  $$\text{Financial Leverage Ratio}=\frac{\text{Total Assets}}{\text{Total Equity}}$$

Analyzing Statements of Cash FlowsⅠ

Dividend Payment Related

• 股利 BASE 法则
  $$\text{Beginning retained earnings}+\text{Net income}-\text{Dividends}=\text{Ending retained earnings}$$

Analyzing Statements of Cash FlowsⅡ

FCF

• 公司自由现金流 FCFF
  $$\text{FCFF}=\text{NI+NCC+Int(1-T)-FCInv-WCInv}=\text{CFO+Int(1-T)-FCInv}$$
  • $\text{FCInv}$：固定资本收入
  • $\text{WCInv}$：营运资本收入

Cash Flow Ratios

• 现金流收入比 Cash flow to Revenue Ratio
  $$\text{Cash flow to Revenue Ratio}=\frac{\text{CFO}}{\text{Revenue}}$$
• 现金资产回报率 Cash return on Assets Ratio
  $$\text{Cash return on Assets Ratio}=\frac{\text{CFO}}{\text{Average Total Assets}}$$
• 现金权益回报率 Cash return on Equity Ratio
  $$\text{Cash return on Equity Ratio}=\frac{\text{CFO}}{\text{Average Shareholder’s Equity}}$$
• 现金经营收入比 Cash to Income Ratio
  $$\text{Cash to Income Ratio}=\frac{\text{CFO}}{\text{Operating Income}}$$

Coverage Ratios

• 债务偿付比 Debt Coverage Ratio
  $$\text{Debt Coverage Ratio}=\frac{\text{CFO}}{\text{Total Debt}}$$
• 利息偿付比 Interest Coverage Ratio
  $$\text{Interest Coverage Ratio}=\frac{\text{CFO}+\text{Interest paid}+\text{Tax paid}}{\text{Interest paid}}$$
• 重投资率 Reinvestment Ratio
  $$\text{Reinvestment Ratio}=\frac{\text{CFO}}{\text{Cash paid for LT assets}}$$
• 债务清偿率 Debt Repayment Ratio
  $$\text{Debt Repayment Ratio}=\frac{\text{CFO}}{\text{Cash paid for LT debt repayment}}$$
• 股利清偿率 Dividend Repayment Ratio
  $$\text{Dividend Repayment Ratio}=\frac{\text{CFO}}{\text{Dividend paid}}$$
• 投资融资率 Invesing & Financing Ratio
  $$\text{Invesing \& Financing Ratio}=\frac{\text{CFO}}{\text{Cash outflows for Investing \& Financing activities}}$$

Analysis of Inventories

Inventory Related

• 存货周转率 Inventory Turnover Ratio
  $$\text{Inventory Turnover Ratio}=\frac{\text{COGS}}{\text{Average Inventory}}$$
• 存货周转天数 Number of days of Inventory
  $$\text{Number(Inventory)}=\frac{365}{\text{Inventory Turnover Ratio}}$$
• 资产周转率 Asset Turnover Ratio
  $$\text{Asset Turnover Ratio}=\frac{\text{NI}}{\text{Average Total Assets}}$$
• 后进先出留存 LIFO Reserve
  $$\text{LIFO Reserve}=\text{Inventory(FIFO)}-\text{Inventory(LIFO)}$$

Analysis of Long-Term Assets

Depreciation/Amortization

• 直线法 Straight-line Method
  $$\text{Depreciation/Amortization}=\frac{\text{Cost-Salvage}}{\text{Total useful life}}$$
• 双倍加速法 Double Declining Balancing Method
  $$\text{Depreciation/Amortization}=\frac{\text{2BV(begin)}}{\text{Total useful life}}$$
• 产能折旧法 Unit-of-production Method
  $$\text{Depreciation/Amortization}=\text{(Cost-Salvage)}\cdot \frac{\text{Units Produced}}{\text{Total units}}$$
• 净账面价值 Net BV
  $$\text{Net BV}=\text{Cost-Accumulated Depreciation-Impairment}$$

Analysis of Income Taxes

Deferred Tax

• 税会所得税转化 “relation between taxes”
  $$\text{Income Tax Expense}=\text{Current Tax Paid}+\Delta \text{DTL}-\Delta \text{DTA}$$

Tax Rate

• 有效税率 Effective Tax Rate
  $$T_{\text{effective}}=\frac{\text{Income Tax Expense}}{\text{EBT}}$$

Financial Analysis Techniques

Activity Ratio

• 存货周转率 Inventory Turnover
  $$\text{Inventory Turnover}=\frac{\text{COGS}}{\text{Average Inventory}}$$
• 存货周转天数 Days of Inventory on Hand
  $$\text{DOH}=\frac{{\#}_{\text{days in period}}}{\text{Inventory Turnover}}$$
• 应收周转率 Receivables Turnover
  $$\text{A/R Turnover}=\frac{\text{Revenue}}{\text{Average A/R}}$$
• 存货周转天数 Days of Sales Outstanding
  $$\text{DSO}=\frac{{\#}_{\text{days in period}}}{\text{A/R Turnover}}$$
• 应付周转率 Payables Turnover
  $$\text{A/P Turnover}=\frac{\text{COGS}}{\text{Average A/P}}$$
• 存货周转天数 Number of Days of Payable
  $$\text{Days(Payables)}=\frac{{\#}_{\text{days in period}}}{\text{A/P Turnover}}$$
• 营运资本周转率 Working Capital Turnover
  $$\text{W.C. Turnover}=\frac{\text{Revenue}}{\text{Average W.C.}}$$
• 固定资产周转率 Fixed Asset Turnover
  $$\text{Fixed Asset Turnover}=\frac{\text{Revenue}}{\text{Average net Fixed Assets}}$$
• 总资产周转率 Total Asset Turnover
  $$\text{Total Asset Turnover}=\frac{\text{Revenue}}{\text{Average Total Assets}}$$

Liquidity Ratio

• 流动比率 Current Ratio
  $$\text{Current Ratio}=\frac{\text{Current Assets}}{\text{Current Liabilities}}$$
• 速动比率 Quick Ratio
  $$\text{Quick Ratio}=\frac{\text{Cash+Marketable Investment(ST)+Receivables}}{\text{Current Liabilities}}$$
• 现金比率 Cash Ratio
  $$\text{Cash Ratio}=\frac{\text{Cash+Marketable Investment(ST)}}{\text{Current Liabilities}}$$
• 防御区间比率 Defensive Interval Ratio
  $$\text{Defensive Interval Ratio}=\frac{\text{Cash+Marketable Investment(ST)+Receivables}}{DailyCashExpenditures}$$
• 经营周期 Operating Cycle
  $$\text{OC}=\text{DOH}+\text{DSO}$$
• 现金周转周期/净经营周期 Cash Conversion Cycle
  $$\text{CCC}=\text{DOH}+\text{DSO}-\text{Days(Payables)}=\text{Net OC}$$

Solvency Ratio

• 负债资产比 Debt-to-Assets Ratio
  $$\text{D/A}=\frac{\text{Total Debt}}{\text{Total Assets}}=\frac{\text{ST Debt}+\text{LT Debt}}{\text{Total Assets}}$$
• 负债资本比 Debt-to-Capital Ratio
  $$\text{D/Capital}=\frac{\text{Total Debt}}{\text{Total Debt+Total Shareholder’s Equity}}$$
• 负债权益比 Debt-to-Equity Ratio
  $$\text{D/E}=\frac{\text{Total Debt}}{\text{Total Shareholder’s Equity}}$$
• 财务杠杆比 Financial Leverage Ratio
  $$\text{Financial Leverage}=\frac{\text{Average Total Assets}}{\text{Average Total Equity}}$$
• 债务息税折旧摊销前利润比 Debt-to-EBITDA Ratio
  $$\text{D/EBITDA}=\frac{\text{Total or Net Debt}}{\text{EBITDA}}$$
• 利息负担比 Interest Coverage Ratio
  $$\text{ICR}=\frac{\text{EBIT}}{\text{Interest Payments}}$$
• 固定支出负担比 Fixed Charge Coverage Ratio
  $$\text{Fixed Charge Coverage Ratio}=\frac{\text{EBIT}+\text{Lease Payment}}{\text{Interest Payments}+\text{Lease Payment}}$$

Profitability Ratio

• 毛利润率 Gross Profit Margin
  $$\text{Gross PM}=\frac{\text{Gross Profit}}{\text{Revenue}}$$
• 经营利润率 Operating Profit Margin
  $$\text{Operating PM}=\frac{\text{Operating Profit}}{\text{Revenue}}$$
• 税前利润率 Pretax Margin
  $$\text{Pretax Margin}=\frac{\text{EBT}}{\text{Revenue}}$$
• 净利润率 Net Profit Margin
  $$\text{Net PM}=\frac{\text{NI}}{\text{Revenue}}$$
• 经营资本回报率 Operating ROA
  $$\text{Operating ROA}=\frac{\text{Operating Income}}{\text{Average Total Assets}}$$
  • $\text{Total Debt}=\text{ST Debt}+\text{LT Debt}$
  • ${\text{D}}_{\text{pref}}=\text{Preferred Dividends}$
• 资本回报率 ROA
  $$\text{ROA}=\frac{\text{NI}}{\text{Average Total Assets}}$$
• 投资回报率 Return on Invested Capital
  $$\text{ROIC}=\frac{\text{EBIT}(1-t)}{\text{Average Total Debt}+\text{Average Total Equity}}$$
• 权益回报率 ROE
  $$\text{ROE}=\frac{\text{NI}}{\text{Average Total Equity}}$$
• 普通股本回报率 Return on Common Equity
  $$\text{Return on Common Equity}=\frac{\text{NI}-D_{\text{pref}}}{\text{Average Common Equity}}$$

DuPont Analysis

$$\text{ROE}=\frac{\text{NI}}{\text{Equity}}=\frac{\text{NI}}{\text{Asset}}\cdot \frac{\text{Asset}}{\text{Equity}}=\frac{\text{NI}}{\text{Sales}}\cdot \frac{\text{Sales}}{\text{Asset}}\cdot \frac{\text{Asset}}{\text{Equity}}=\frac{\text{NI}}{\text{EBT}}\cdot \frac{\text{EBT}}{\text{EBIT}}\cdot \frac{\text{EBIT}}{\text{Sales}}\cdot \frac{\text{Sales}}{\text{Asset}}\cdot \frac{\text{Asset}}{\text{Equity}}$$

• NI/Sales：净利率
• Sales/Asset：总资产周转率
• Asset/Equity：杠杆率
• NI/EBT：税务负担比率 tax burden (1 - tax rate)
• EBT/EBIT：利息负担比率 interest burden
• EBIT/Sales：息税前利润率 EBIT Margin