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2024 FRM Exam Part II Risk Management and Investment Management PDF

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The "2024 FRM Exam Part II – Risk Management and Investment Management PDF" by GARP (Global Association of Risk Professionals) is an authoritative resource for preparing for the FRM Exam Part II. This guide explores key concepts in investment management and risk management strategies, providing e...

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  • November 15, 2024
  • 251
  • 2024/2025
  • Other
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  • 2024 frm exam part ii risk management pdf
  • risk adjusted returns and performance measurement
  • garp investment management and risk management gui
  • investment portfolio risk management frm part ii

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, ®
G)GARP
FRM I Financial Risk Manager




2024
®



EXAM PART II
Risk Management
and Investment
Management




@Pearson

,Copyright© 2024, 2023, 2022, 2021 by the Global Association of Risk Professionals All rights reserved.

This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself.
It does not cover the individual selections herein that first appeared elsewhere. Permission to reprint these has
been obtained by Pearson Education, Inc. for this edition only. Further reproduction by any means, electronic or
mechanical, including photocopying and recording, or by any information storage or retrieval system, must be
arranged with the individual copyright holders noted.

Grateful acknowledgment is made to the following sources for permission to reprint material copyrighted
or controlled by them:
"Factor Theory," "Factors," "Alpha (and the Low-Risk Anomaly)," by Andrew Ang, reprinted from Asset
Management: A Systematic Approach to Factor Investing (2014), by permission of Oxford University Press.

"Hedge Funds," by William Fung and David A. Hsieh, reprinted from Handbook of the Economics of Finance,
Volume 2, Part B, pp 1063-1125 (2013), by permission of Elsevier B.V.

"Portfolio Performance Evaluation," by Zvi Bodie and Alan J. Marcus, reprinted from Investments, Twelfth
Edition (2021), by permission of McGraw Hill.

"Predicting Fraud by Investment Managers," by Stephen G. Dimmock and William C. Gerken, reprinted from
"Predicting Fraud by Investment Managers," Journal of Financial Economics, Vol 105, pp 153-173 (2012),
by permission of Elsevier B.V.

"Portfolio Risk: Analytical Methods" and "VaR and Risk Budgeting in Investment Management," by Philippe
Jorion, reprinted from Value at Risk: The New Benchmark for Managing Financial Risk, Third Edition, (2007),
by permission of McGraw-Hill Companies.

"Risk Monitoring and Performance Management," by Bob Litterman and the Quantitative Resources Group,
reprinted from Modern Investment Management: An Equilibrium Approach (2003), by permission of John Wiley
& Sons, Inc. All rights reserved. Used under license from John Wiley & Sons, Inc.

"Portfolio Construction," by Richard C. Grinold and Ronald N. Kahn, reprinted from Active Portfolio
Management: A Quantitative Approach for Providing Superior Returns and Controlling Risk, Second Edition
(1999), by permission of McGraw Hill.

"Performing Due Diligence on Specific Managers and Funds," by Kevin R. Mirabile, reprinted from Hedge Fund
Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance,
Second Edition (2016), by permission of John Wiley & Sons, Inc. All rights reserved. Used under license from
John Wiley & Sons, Inc.

Learning Objectives provided by the Global Association of Risk Professionals.

All trademarks, service marks, registered trademarks, and registered service marks are the property of their
respective owners and are used herein for identification purposes only.

Pearson Education, Inc., 221 River Street, Hoboken, NJ 07030
A Pearson Education Company
www.pearsoned.com

Printed in the United States of America

ScoutAutomatedPrintCode

00033038-00000006 I A103001321012

EEB/SK




@Pearson ISBN 10: 0-13-829223-X
ISBN 13: 978-0-13-829223-2

, Contents


1.7 The Fall of Efficient Market
Chapter 1 Factor Theory 1 Theory 10
1.8 The 2008-2009 Financial Crisis
1.1 Chapter Summary 2 Redux 11

1.2 The 2008-2009 Financial Crisis 2
1.3 Factor Theory 2 Chapter 2 Factors 13
1.4 CAPM 4
CAPM Lesson 1: Don't Hold an Individual 2.1 Chapter Summary 14
Asset, Hold the Factor 4
2.2 Value Investing 14
CAPM Lesson 2: Each Investor Has His
Own Optimal Exposure of Factor Risk 5 2.3 Macro Factors 14
CAPM Lesson 3: The Average Investor Economic Growth 15
Holds the Market 5 Inflation 15
CAPM Lesson 4: The Factor Risk Premium Volatility 17
Has an Economic Story 5
Other Macro Factors 19
CAPM Lesson 5: Risk Is Factor
Exposure 6 2.4 Dynamic Factors 21
CAPM Lesson 6: Assets Paying Off in Bad Fama-French (1993) Model 21
Times Have Low Risk Premiums 6 Size Factor 22
1.5 Multifactor Models 7 2.5 Value Factor 23
Pricing Kernels 7 Rational Theories of the Value Premium 23
Pricing Kernels versus Discount Rate Behavioral Theories of the Value Premium 24
Models 7 Value in Other Asset Classes 25
Multifactor Model Lessons 8 Momentum 25
1.6 Failures of the CAPM 9 2.6 Value Investing Redux 27


iii

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