Practice questions

[Vikas31]

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]

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]

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]

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,

 

[Vikas31]

David,
I understand your reservation. But thanks a lot.

This would really help.

regards,
Vikas

 

[Suzanne Evans]

Vikas31,

This covers Lo: http://www.bionicturtle.com/how-to/question/T8.Hedge-funds-Jaeger-Lo

Thanks,
Suzanne

 

[quantbooster]

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]

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]

".. 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]

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]

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

 

[anbu.edu]

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]

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://forum.bionicturtle.com/threads/comparison-of-aims-2014-vs-2013.7466/

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

 

[anbu.edu]

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]

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]

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]

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

 

[NNath]

ok, so just take the active risk without the percentage all the time (every time).