Course Errors Found in 2021/2022 Study Materials P2.T9. Investment Management

[Nicole Seaman]

Please use this new thread to let David and I know about any errors, missing/broken links, etc. that you find in the 2021/2022 materials that are published in the study planner under P2.T9. Investment Management. This will keep our forum much more organized. We appreciate your cooperation!

PLEASE NOTE: Our Practice Question sets already have links to their specific forum threads where you can post about any errors that you find. This thread is for any other materials (notes, spreadsheets, videos, etc.) where you might find errors.

Information needed for us to correct errors:

• Reading
• Page number
• Error

 

[Rblc]

Hello I think there is an error on the reading Page 10 of the study note on Bodie's Performance evaluation.
The 3% here should be the sample estimate of non-systemic risk and not the standard error?



+

 

[RSchwarzer]

Hi all,
I am not sure if that is a mistake. In the study notes of Ang´s Chapter 7 "Factors" on page 28 the Farma-French HML factor is explained.


I am confused about the details given on Value and growth stocks there. I expected the correct phrase would be something like this:

"The variable generally captures the strategy of either buying stocks when prices are low (as measured by a high book-to-market value) or when prices are high (as measured by a low book-to-market value)."

Value stocks have a high book-to-market ratio and therefore are "undervalued", their price are relatively low. Growth stocks have a low book-to-market value and therefore are "overvalued", their price are relatively high.

Best
Roland

 

[Shau_2207]

In the attached page of chapter 3 of Ang page 51 in BT study notes: -
It says "Sharpe Ratios of high beta stocks were higher than the Sharpe ratio of low beta stock"- shouldn't it be other way round i.e. as the entire para says high beta stocks has high volatilities ie high SD so in that case shouldn't the Sharpe ratio be lower denominator being higher?

This is in the last Paragraph of page 51

 

[Shau_2207]

Sorry it might be something very simple i am missing-
can someone please help me understand highlighted transaction cost from Page 104 Portfolio construction Grinold?

why do we have 0.75,1.50,1.50,1.50, .... i understand transaction cost is amort for 24 months every 6 months shouldn't it be 0.75, 1.5, 2.25...

 

[David Harper CFA FRM]

Hi @Shau_2207

Re last paragraph of page 51, apologies but I can see we made a mistake and it should match what Ang says (emphasis mine): "The beta anomaly is not that stocks with high betas have low returns—they don’t. Stocks with high betas have high volatilities. This causes the Sharpe ratios of high beta stocks to be lower than the Sharpe ratios of low-beta stocks."

Re Grinold's transaction example, that's Grinold's dumb (in my opinion) example:

• Time zero: buy Stock 1 @ transaction cost of $0.75
• T + 0.5 (+ six months): Sell Stock 1, Buy Stock 1B (for lack of better nomenclature as Grinold does not name it) @ transaction cost of $1.50 (i.e., sell plus buy)
• T + 1.0 (+ one year): Sell Stock 1B, Buy Stock 1C @ transaction cost of $1.50
• T + 1.5 : Sell Stock 1C, Buy Stock 1D @ transaction cost of $1.50
• T + 2.0: Sell Stock 1D @ transaction cost of $1.50

It's hard to decipher but that's four different stocks (Stock 1, Stock 1B, Stock 1C and Stock 1D).

Total transaction costs = 0.75 + (2 * 0.75) + (2 * 0.75) + (2 * 0.75) + 0.75 = $2.0
Each trade gained $2.0 for pre-transaction gain of $2.0 * 4 = $8.0 and profit of $8.0 - $6.0 = 2.0.

I hope that's helpful, thank you for spotting our error so we can correct it!

 

[Shau_2207]

Thank you, David!

Understood the concept now.

 

[Shau_2207]

@David Harper CFA FRM @Nicole Seaman , Is there a place where we can see all the error's noted in the study notes at one place complied?

 

[Nicole Seaman]

@David Harper CFA FRM @Nicole Seaman , Is there a place where we can see all the error's noted in the study notes at one place complied?

@Shau_2207 For the study notes, there are error threads for each topic: https://forum.bionicturtle.com/threads/report-errors-in-materials.23317/. Please make sure to post any errors that you find in those threads. You can also look through them to see if anyone else has pointed out the same error. For the practice questions, errors will be in the individual practice question threads.

 

[Shau_2207]

Hello I think there is an error on the reading Page 10 of the study note on Bodie's Performance evaluation.
The 3% here should be the sample estimate of non-systemic risk and not the standard error?
View attachment 3637


+View attachment 3639

@Rblc yes thats even i noticed that...

 

[Shau_2207]

@David Harper CFA FRM @Nicole Seaman - I know its took much of an ask but for students like me who is a working professional it become a tedious task to check/ verify errors in the forum for respective topics.
Can you please see if you can consolidate this in a PDF which can be verified by David. It will help us saving sometime.

For EG ; one of the error mentioned in this thread -https://forum.bionicturtle.com/threads/errors-found-in-2021-2022-study-materials-p2-t9-investment-management.23689/

I had to go back and check few readings plus BT forum which takes some time of value reading.

Thanks In Advance!

 

[Shau_2207]

Another point is some errors can be obvious while few others not obvious if i am reading a topic for the first time ever which can go wrong while sitting for exams

 

[enjofaes]

Not a mistake but:
ch8:
last bullet points = penultima bullet point

 

[enjofaes]

Ch9: LOS not in the book

Update, it is in the LOS though.... So don't know why GARP removed it or never added it in the books: https://www.garp.org/hubfs/Website/FRM/PDF/Study Materials/2023/FRM2023-Learning-Objectives.pdf

 

[enjofaes]

Ch9:
bullet point is 3 instead of 4