李宜豐

如何有效準備FRM考試？在「給Sam的第二封公開信－有效準備CFA考試」文章po上網後，許多準備FRM考試的朋友，也希望我能分享這方面的心得。在此，我極樂意將我正在進行中的FRM課程教學方式，與你們分享。我認為這也是精進有效的自主學習方式。

步驟一：若你已報名參加FRM考試，可以上GARP協會官方網站，免費下載2013年Study Guide與AIM。

這個步驟相當重要。因FRM考試，GARP協會只公布Study Guide及AIM，並未像CFA協會出版官方版本的Study Notes作為考生的教材。

所謂Study Guide，指的是「讀本」(Reading)，也就是每個考試單元的AIM之出處，可能是一本書的某些章節，或是一篇文章。2013年的FRM Part I與Part II共有72個讀本。

所謂AIM，指的是「應用教材聲明」(Applying Instructional Materials, AIM Statements)，它與CFA的LOS有異曲同工之效，是指引你了解主要的學習目的。沒有AIM的指引，你不容易清楚了解你學這些的目的。

步驟二：我建議你上GARP協會官方網站，免費下載Practice Exams。Practice Exams，就是FRM的過去實際考題。

目前GARP協會開放給考生免費下載的Practice Exams，是2010年到2013年的Practice Exams。2010年到2012年的Practice Exams皆為當年度前2年(落後2年)的部分實際考題，只有2013年的Practice Exams是2010年到2012年的部分實際考題。

步驟三：要清楚理解每個AIM。

我舉AIM: Calculate, Compare, and evaluate the Treynor measure, the Sharpe Measure, and Jensen’s alpha.為例。這是Part I的「風險管理基礎」(Foundation of Risk Management)單元的其中一個AIM。這個AIM是要你懂得去計算、比較並評估崔諾比率、夏普比率及簡生α。

步驟四：將每個AIM與Practice Exams連結。也就是說，當你清楚理解每個AIM後，你可以試著將每個AIM的相關Practice Exams歸納出來，然後整理成自己的Study Note。這過程雖然耗時、費力，但絕對對你的自主學習能力大有幫助。

若不知如何歸納，你可以參考每個Practice Exam的解答下面有Reference, AIM, Section等字眼，它是在告訴你這一題的出處。

若時間允許，把Handbook的例年考題，或更早期的Practice Exams也歸納、整理出來，學習效果會更佳。

步驟五：每閱讀一個AIM，就把相關的Practice Exams一起準備。

譬如，AIM: Calculate, Compare, and evaluate the Treynor measure, the Sharpe Measure, and Jensen’s alpha.。與該AIM相關的Practice Exams如以下：

2013.22 Practice Exam

22. Assume that you are only concerned with systematic risk. Which of the following would be the best measure to use to rank order funds with different betas based on their risk-return relationship with the market portfolio?

a. Treynor ratio

b. Sharpe ratio

c. Jensen’s alpha

d. Sortino ratio

2012.20 Practice Exam

20. Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5 Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 5% What is Jensen's alpha for portfolio A?

a. 0.5%

b. 1.0%

c. 10%

d. 15%

2010.2 Practice Exam

Portfolio Q has a beta of 0.7 and an expected return of 12.8%. The market risk premium is 5.25%. The risk-free rate is 4.85%. Calculate Jensen’s Alpha measure for Portfolio Q.

a. 7.67%

b. 2.70%

c. 5.73%

d. 4.27%

2009.Full Exam 1.2 Practice Exam

2. You are asked by your boss to estimate the exposure of a hedge fund to the S&P 500. Though the fund claims to mark to market weekly, it does not do so and marks to market once a month. The fund also does not tell investors that it simply holds an ETF which is indexed to the S&P 500. Because of the claims of the hedge fund, you decide to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the S&P 500. Which of the following properties correctly describes a property of your regression estimates?

a. The beta of your regression will be one because the fund holds the S&P 500.

b. The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.

c. The intercept of your regression will be positive, showing that the fund has a positive alpha when estimated using an OLS regression.

d. The beta will be misestimated because hedge fund exposures are non-linear.

2008-2.11 Practice Exam

11. Assume that a portfolio underperformed its benchmark by 2% in the most recent month, in this scenario,

a. Alpha is “2%” as it refers to the Outperformance/ Underperformance Gap.

b. Due to underperformance Alpha is definitely negative and cannot be positive.

c. Alpha may be positive or negative depending upon Beta and Risk Free Rate.

d. Alpha is 2%

Handbook(6th edition)1.5

Example 1.5: FRM Exam 2007－Question 132

Which of the following statements about the Sharpe ratio is false?

a. The Sharpe ratio considers both the systematic and unsystematic risks of a portfolio.

b. The Sharpe ratio is equal to the excess return of a portfolio over the risk-free rate divided by the total risk of the portfolio.

c. The Sharpe ratio cannot be used to evaluate relative performance of undiversified portfolios.

d. The Sharpe ratio is derived from the capital market line.

步驟六：將歸納完成的Practice Exam，一面讀，一面整理重點。

以下是我自己整理的重點筆記，分享給你們參考：

AIM: Calculate, Compare, and evaluate the Treynor measure, the Sharpe Measure, and Jensen’s alpha.)

壹、風險管理基礎(Foundation of Risk Management－Part 1 Exam )

一、績效的衡量(Measures of Performance)

Part I-Topic1-1- AIMS 1: 計算、比較並評估「崔諾比率」(Treynor measure, 或Treynor ratio)、「夏普比率」(Shape measure, 或Shape ratio)及「簡生α」(Jensen’s measure, 或Jensen’s alpha, 或α) 。

（1）投資組合的崔諾比率=投資組合的風險溢酬(risk premium)/ 投資組合系統風險(β,或systematic risk) 。

（2）投資組合的夏普比率=投資組合的風險溢酬(risk premium)/ 投資組合總風險(σ,或標準差) 。

（3）投資組合的簡生α=投資組合實際或預期報酬率超過CAPM所預測的投資組合報酬率之超額報酬率。

總風險(σ)=系統風險(β又稱為市場風險或無法分散風險)＋非系統風險(又稱為資產特定風險或可分散風險)

夏普比率以總風險為分母，乃計算承擔每一單位總風險可獲得的超額報酬率，是由「資本市場線」(Capital Market Line, CML)發展出來。較適用於衡量歷史績效(historical performance)，並為所有投資組合的績效衡量方式。

崔諾比率以β為分母，乃計算承擔每一單位系統風險可獲得的超額報酬率，是由「證券市場線」(Security Market Line, SML)發展出來。較適用於衡量充分分散風險的投資組合，並為具有前瞻性(forward-looking) 的績效衡量方式。

簡生α較適用於衡量有相同β的投資組合之績效。

α為投資組合之實際報酬率或預期報酬率與由CAPM定價模型所算出來的理論報酬率之間的差異。

這三個指標皆是越高越好。

步驟七：在整理Practice Exam的重點時，也可以參考Handbook與Schweser Study Notes的相關內容，但是一定要以Practice Exam的重點為主。而且歷年Practice Exams題數越多的AIM，要儘早準備，因為這表示那是出題最高的AIM。

步驟八：每做完一個AIM，再如法泡製以上步驟，進行下一個Practice Exams題數次多的AIM。