Portfolio Formulae

Equity
market value of the portfolio

E
V

Margin (%) =

Equity = Value Loan

Market value = Price number of shares
Current equity previous equity
Return =
100
previous equity

HPR =

HPY= HPR 1
Annual HPR = (HPR)(1/n)
Annual HPY= Annual HPR 1
Return = Capital gain + Dividend
Final priceInitial price+ Dividend
Return (%) =
Initial price

V L
V

ending value
beginning value

100%

HPY
n

AM =

GM = (HPR) (1/n) -1
re = rf + (rm rf)
Nominal Risk Free Return (NRFR) = (1+real risk free return) (1 +
inflation rate ) -1
n

Pi Ri

Expected Return =

i=1

Expected portfolio return =

Risk, =

W i Ri
i=1

( Ri R )2 Pi
i=1

Coefficient of variation, CV =

Portfolio risk,

Portfolio risk,

( W ) +( W
( W ) +( W
2

2 ) + 2W 1 W 2 1 2 r 1,2

2 ) + 2W 1 W 2 Cov1,2

Covariance, Cov1,2 = 1 2 r1,2

p
Portfolio risk,
=

( W ) +( W
2

2 ) + ( W 3 3) +2 W 1 W 2 1 2 r 1,2+ 2W 2 W 3 2 3 r 2,3 +2 W 3 W 1 3 1 r 3,1

R

( R s Rs ) ( B R B ) P

Covariance(1,2) =

i=1

( RS R S ) (RB R B)

Covariance(1,2) =

Maximum Adverse Excursion (MAE)= Lowest Price Purchase Price

Maximum Favorable Excursion (MFE)= Highest Price Purchase Price
End of Trade Divergence (ETD)= Selling Price Highest Price

i=1

n1

( R iE R )2 Pi

Variance, =

Standard deviation, =

Net Asset Value, NAV = Asset Liabilities

AssetsLiabilities
Net Asset Value per share, NAVS = number of shares

Offer price = NAVS

Offer price =

Return =

Utility function, U = E(R) -

Return of complete portfolio, Rc= (Wrisk free rrisk free) + (Wrisky rrisky) =

{(1-y) rf} + (y rp)

Expected Return of complete portfolio, E(rc) = rf + y {E(rp)-rf}
Variance of the complete portfolio, c2 = y2P2
Standard deviation of the complete portfolio, c = yP

i=1

variance

NAVS
1front end load( )

NAV 1NAV 0+ Income

NAV 0

100%

1
2
2 A

E ( R c ) r f
c

Sharpe Ratio, Sc=

Utility function, U= [rf + y {E(rp)-rf}]-

Y=

E ( R p )r f
A 2p

1
2
2
2 Ay p