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Practice questions

Vikas31

New Member
Hi David,
I could not find any practice questions on the following topics:

  1. Richard Grinold-Active Portfolio Management
  2. Eugene Fama and Kenneth French - CAPM
  3. Trust and Delegation
  4. Madoff: A riot of red flags
  5. Amir E khandani and Andrew Lo- Empirical Analysis of Hedge Funds, Mutual Funds & US Equity portfolio
  6. Leslie Rahl--Risk Management for Pension Funds and Investment Managers Using VAR by Michelle McCarthy
Can you please let me know on this...?
Are these topics low on test-ability..? Some of these are big, heavy and complicated (e.g. : Khandani), not sure from exam purpose do they need to be focused as well..?
Thanks
Regards,
Vikas
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Suzanne Evans can help w.r.t Grinold and Rahl?

@Vikas: most of those, it is true, we do not have PQ for. The T8 is coming on the rotation, but i can't say which/how much we will cover, I will do my best. I'm not sure about the exam focus, I will bookmark and come back to this (it's impossible to be current on everything, every year ... we have to make priority choices). The Leslie Rahl I did skip because: it's been in the curriculum for years but utterly ignored by GARP, far as i can tell. Thanks,
 

Vikas31

New Member
Thanks David. This helps. Will await your bookmarks.

Little tricky one, On a personal note, I found the following topic little too exhaustive and heavy. Is it worth while spending time on this..?

Amir E khandani and Andrew Lo- Empirical Analysis of Hedge Funds, Mutual Funds & US Equity portfolio

It would be great if you could throw light on this.

Thanks Again.

regards,
Vikas

 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi Vikas, I probably should not say, but honestly, the bulk of it is unlikely to be tested. So far, the queries have been about only the first AIM and Lo's (well-known) idea of using autocorrelation as a measure of illiquidity. Me personally, i would not spend much time on the paper. But please that is not official guidance, I don't really like to answer this sort of question because GARP is full of surprises. Thanks,
 

quantbooster

New Member
Hi David ,

Could you please confirm if you are publishing practice questions for following topics .

Portfolio Construction: Grinold, Chapter 14

- Risk Monitoring and Performance Measurement: Litterman, Ch 17
- Overview of Private Equity: Stowell, Chapter 16
- Trust and Delegation Brown (May 2010)
- Madoff: A Riot of Red Flags: Detecting Fraud by Investment Managers
- Risk Budgeting for Pension Funds and Investment Managers: Rahl, Chapter 6Measurement: Litterman

Hedge funds by - Constantinides

Risk Management for Hedge funds introduction and overview
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi quantbooster, as above (and as I've replied many times), those won't make the rotation before the exam next month, but most of those will probably get addressed before the November exam, testability depending; our current focus is on publishing a revised set of practice question documents that fall into a more testable domain frankly. Thanks,
 

6Mil

New Member
".. but most of those will probably get addressed before the November exam, testability depending;" - DH, 4/28/13
Has a decision (based on testability) been made with regard to providing practice questions for Grinold 14 ahead of the November 2013 Exam?
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi 6Mil - No. We are about to finish Gregory Counterparty/CVA and T2 Global Review. Then, I expect to see an early draft of 2014 AIMs and decide next sequences based on that; e.g., I might switch into a double P2 sequence (Mon to Friday). See if the Grinold survives another year (I think they should drop it, they don't seem to really test it). Thanks,
 

EK

Member
hi David,
AAMOF, Grinold Chapter 14 has survived for another year.. Does that mean we can expect some practice questions on it?
 

anbu.edu

New Member
Hi David
When can we expect practice questions for topics below
like
Portfolio Construction: Grinold, Chapter 14

- Risk Monitoring and Performance Measurement: Litterman, Ch 17
- Overview of Private Equity: Stowell, Chapter 16
- Trust and Delegation Brown (May 2010)
- Madoff: A Riot of Red Flags: Detecting Fraud by Investment Managers
- Risk Budgeting for Pension Funds and Investment Managers: Rahl, Chapter 6Measurement: Litterman

Hedge funds by - Constantinides

Risk Management for Hedge funds introduction and overview
 

Alex_1

Active Member
Hi @anbu.edu, please note that for 2014 in the FRM Part 2 AIMs the following chapters (which you mentioned above) are NOT included any longer:
  • Overview of Private Equity: Stowell, Chapter 16
  • Trust and Delegation Brown (May 2010)
  • Madoff: A Riot of Red Flags: Detecting Fraud by Investment Managers
You can take a look at the overview of AIMs for 2014 here:
https://www.bionicturtle.com/forum/threads/comparison-of-aims-2014-vs-2013.7466/

Therefore I don't think David will provide any questions for these. ;)
 

anbu.edu

New Member
I am sorry, my mistake, what i meant to ask is questions for certain chapters in book 4 like Grinold chapter 14, Litterman chapter 17 , Current issuesa and few topics in operations..I can only find study material .
 

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi @anbu.edu

I'm currently writing fresh Basel III questions, then I'll switch to some P2 gaps but I don't know which yet (and when we receive the 2015 draft AIMs, we will be informed by those; that is, we will basically start to address 2015 P2 gaps) ... some of those you list may never get fresh PQs. I don't want to get specific, it's too much of a communication headache. Meanwhile, we'll continue to add fresh questions every week :) Thanks!
 

neveo

New Member
Subscriber
Relative to Grinold, equation 1.3 (optimal relationshipd between irsk averson, IR and active risk), can you explain the numerical example viz. IR = 0.5, AR = 5% leads to IR of .05 (is it just wrong)?
 

ShaktiRathore

Well-Known Member
Subscriber
Hi
RiskAversion=IR/2*activeRisk=.5/2*5% it depends on convention u can take 5% or simply 5 as active risk in denominator. In end all other Risk Aversion are calculated based on a convention. If 5% convention is used RiskAversion=.5/2*.05=5,IR for investot with active risk 10% and same risk aversion required is 2*activeRisk*RiskAversion=2*10%*5=1,allso if 5 as convention is used then RiskAversion=.5/2*5=.05 for same investor as above the IR comes to be 2*10*.05=1(we take active risk as such without considering percent in this convention).
Thanks
 
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