CFA二级模拟试题（2020）1：题目+答案.docx

QuestiCnSl-6relatetoEthics,，Questions7-12relatetoQuantitativemethod6Questions13-18relatetoFinancialRepolIingjflalysis10Questions19-24RelatetoFinancialRepollingandAnalysis14Questions25-30relatetoCol-porateFinance.18Questions3136relatetoEquity.22Questions37-42relatetoEquity.26Questions43-48relatetoFixedIncome30Questions4954relatetoDclivative33Questions55-60RelatetoPolIfolioManagement,.36RrstName:DateQuestions1-6relatetoEthicsCase1:TeaCaseScenarioC力口StianMathewCFA,isanequityj11lystspeciajfn11ginthebeveragemdusti%GuptaAssetMa血gers(GUPt),ap。ItfOiio皿血gementbasedmMflHhaiMathewisplamlingahiptoSriLankatoresearchtheteamdus叨MmaliPtemadOSaCFA,as'节em,"isaresearch11UystabrollllgAshokaBrokerheadqualteredmColomb(Sri1.akaMathewcontactsntohelpai丁扣IgevisitstospecifcallyidentifiedteaestatesofpubliclyCohpalliesmthehighlandscfSriLaaka.阳m,wantingtoenhancethebusmessrelatiol6hiwithGUPlaarrangesalld,SlitobePciidforbyAshokaThesecostsincludefoodhotelandThisStTangementisbasedthe皿derst扣汕ngthatallsecmityip455actiolisresultingMathewsniptoSLankaWiIIbeexecutedtlnougllAshoka沁hokabcrmnissirisaretypicallySimilartoitsbutitcantakeafewdaystoexecutelaigvolmncsofadesAshokaisnewtothebrokeragebusinessFVemsetstheitmeraiy,WithplallStoVisitanliimumofaxSriLankateaC(IIlPniIeSillttetleeregionSMathewtothevisitsandasksPLemtocl、eatealistcfquestiolistoasktlieofeachtowhichhewilladdRscprestiollSMalllewasksIVenltodelaythereleaseanyresearchreporthewritesonthesixSriLaakatheyvisittogetheruntilsuchtimettGuptaIifiShadanopportunitytoactontot螂KandyTeaEstateLimitedhfonnationisExhibit1.Exhibit1KandyTeaEstateLimitedDate:December2012Analyst:MuraIiPremadosaCharteredFinaialAnalystRecoui)eiaton:LongtenbuywithassociatedIiighconuiiodityrisksupportedbylargegrowthprospectsforSriLankaaswellasliquidityriskbecauseitisathinlytradedconayinafrontiermarket.Exhibit1Conrd-TeaProductionbyCountry(millionkg)200820092010CAGR(2008-2010)Iudia980.8979.0966.4-0.7%SriLaiika318.7290.6331.42.9%Source:IndiaTeaBoardandSriLaiikaTeaBoardMatliewisimpressedwithPrem,sworkethicandresearchabilities.KnowingGuptawantstohireanalystsforitsnewColombooffice.MathewasksPremifhewouldbeinterestedincIiangingenloyersandbuildingaresearchteamPremisexcitedabouttheprospectandtoshowhisworthtoGupta,Premundertakestkfollowingactionsathisofficeafternormalworkinghours:ActionECreatesalistofalltleworkliecoletedatAshokaontuspersonallaptop.Action2:Photocopiesresearchreportsherecentlycompletedontheteaindusty.Actiou3:MakesIiaiidwrittenexcerptsfrompreviousresearchmeeting>tes.UponMatlew,sreturntoMumbai,liedeliverstohisclientshisInvesunentreportwitha“Buy"recommendationforKandyTeaEstatelimited,alongwithteasanleshecollectedwhileuiSriLaiika.WheIIbuyingKandysIiaresforIiisclients.Matliewalsobuyshesamesharesforhispersonalaccount.Hehaddisclosedhisplantopurchasethesharesforhisownportfolioalongsidehisclientsbeforehebouglttheshares.However.MatliewisforcedtoselltleSameslarestwoweekslatertopayforamedicalemergency.MathewreceivedpermissionfromGupta,scomplianceofGcerforbothtransactions.LIstoelihancebusillessrdatisconsistentwiththeCFAInstituteCodeofEthicsandStand1Conduct?出ofA.YesB.NqUithregardtobestexecutionC.NqWithrcgardtoilldcpendenccandobjcctivitytoveViolatcdCFA扣idMathcwtheinfcrmationprovddedbythempany4.PIcmSresearchreportillExhibit1leastIikellyViolateSwlichCFAInstituteStandard?A.B.UseofCFAttionC.CommunicationWithClients5WhichoftheactionsthatPIcmundettakestoshowvaluetoGuptaisnsistentWiththeCFAStandaid>?6Matfewsac±ionsuponhisre血血。MuEtlJaiViQIateCFAStandardswithregardstohis:A.disclosuretoclients.B.personalteainvestments.C.giftsofteasanlestoclients.Questions7-12relatetoQuantitativemethodCaSe2:LiheukoConsultuigCaseScenarioYiinLitveiikoisIhefbulerandprimaryanalystforLitvenkoConsulting,afintlalspecializesinanalysisandmodelingforinvestmentadvisories.Litvenkohasrecentlytakenonanewclient.LiiidaEpstein.EpsteiiimanagesanequityfhndandisseekingnewstrategiestlatwillIielpIierexcelinpickingcompaniesforIhefundthatwillout-performthemarket.LitvenkosuggestsaquantitativeapproachtoSelectuigsecunties.Accordingtohisresearch,amultipleregressioncanprovideausefillscreenfornewstocks.Heproposesthefollowingmodel:&+1=bQ+b1×(RmtR介)+fe2xSMBt+%xHMLt+h4×Dt+fe5×RltWhere%.=theeectedreturnonthesecurityintlenextperiodRmt=thereturnontherelevantuarketindexRft=tlerisk-freerateSMBt=theexcessreturnoftl>esmallestdecilemarket-capstocksoverthebiggest-decileonesHMLt=theexcessreturnoftleliglest-decilelxx)k-to-uarketstocksoverthelowest-decileonesDt=tlecurrentdividendyieldR/=theconany'searningsreinvestmentrate1.itveukotellsEpsteinthatliewillusefiveyearsofquarterlyhistoricaldatatoestimatetheu)delandadviseshertoselectthosesecuritieswithreturnsabovehertargetthresholdforfirtheranalysis.Asanexanle.l)eestuiwtestlemodelforStorcon.Inc.abmldigconstructionfirmandprovidestheresultsshownillExhibit1.Exliibit1SelectedRegressionDataforStorcoiLInc.CoefficientIutValueIntercept(0)0.040Marketindex(Rmt)-Risk-freerate(Rft)0.780(0.161-0.034)Smallminusbig(SMBt:fromFama-FreiKhModel)0.025296Higliniinuslow(HMLt:fromFama-FrenchModel)0.132-048Dividendyield(Dt)0.1200.054Reinvestmentrate(RIt)0.0500.586Epsteiiiremarksthattheu)delisfine,butitdoesn'tseemparticularlyunique.Additionally.SheiscoemedastoMielberitmattersthatsomeofthevariables,suchasdivideiyieldadreuivestiiientrate,appeartoberelatedtoeachotler.EpsteinasksLitvenkowhetheritispossibletoidentifyconaniesthatarelikelytoOiitperfonntheInarketilltl)enextperiodratlerthanjsttryingtopredictthereturnforacompany.HerepliesthatIiisnlelasstatedwouldnotbeasuitableapproachforidentifyingOinperformers,buttherearewaystoconductsuchananalysis.1.itveiikotellsEpsteiiitlatliecanuseadatasetIiarvestedfromsociali)edatodevelopbetterpredictivemodelsbasedonbehavioralfactors.VFhiIebehaslimitedcomputingpowerandhasnotyetworkedwithHiedata,liebelievestlaiitoflersaiqueopporhniitytoinplei)eti>vativestrategiesiftherighttlsareused,Epsteinagreestoatrialwiththenewdata,andLitvenkoconsidersbowbesttoapproachtheproblemsmgInaChineIeaniing.HebeginsbycreatingthedatadescriptiontableshowninExhibit2forthosevariableshewouldliketoinclude,withthegoalofcreatinga>deltopredictwhichnid-capstockswilloutperfontheindexAllvariableswillbemeasuredcontinuouslyoverafour-yearperiod.Exliibit2ListofVariablestoBeUsedillMacluiieLeaniingTrialRusseilNlidcapIndex%changePro-goveuwentposts,likes,shares/retweetsAti-goveuentposts,likes,stares/retweetsRussellMidcapIndexindividualcomponentstockpositivetweets,negativetweetsSelectednid-capcompanystockreturnsListofud<apconaueslabeledastoWhethertheyoutperformedtheindexornotBeforebecanviewmeaningftlresults.LitvenkorealizesheWiilhavetotrainthemachinelearningodelsothatitfollowstbecorrectpath.BecauseheisnewtotheIuaChIneIeaniiiigapproach,bebeginsbyidentifyingtheprinciplesofuodelspecificationandn)deltrainingHemakestl>efollowinglistofIhestepsliebelievesareinvolvedintheIiiacliiiieIeaniingn)deltrainingprocess:1.Filtheappropriateuierlymgeco)iictleory.2.Establishtrainingandvalidationsamples.3.ImprovetheclassificationaccuracyofIhemodel.1.itvenkolaterstudiestbemodelcreatedbytheconuter.Whilebeisgenerallysatisfiedwithitsfit.heiscoemedthattbelargeIIuInberofvariablesusedmaymeanthatheis*ioverfitting''hismodel,withsouevariablesaddinglittletoitsexplanatorypower.HeisalsoconviiicedthatlherelationshipsheisobservingbetweentlbinaryoutcomeandtheelanatoryvariablesareIbliiiear.Heconsidersalternativestohisnlelingapproachtoaddresstheseconcerns.7.Basedontl)einfonmtionprovidedinExhibit1,EpsteiifsestimateofthenextperiodreturnonStorcon.Inc.isclosestto:A.18.5%.B.22.5%.C.27.3%.8.Epsteiifscouceregardingtberelationshipbetweenthedividelyieldandtbereinvestmentratevariablesismostappropriatelyaddressedbyevaluatinghe:A.R2and!-statistics.B.Drbin-tsonstatistic.C.Breusch-Pagantestresults.9.Then>stappropriatewaytoaddressUeOUtperfbniianceissuediscussedbyEpsteiiiandLitvenkoisto:A.useaprobitmodel.B.addadumyvariabletotl>eregression.C.replaceOneormoreoftleUidependentvariableswithitsIogaritluiuctransfbr11)aton.10.GivenLitveiiko,sresourcesandejerienceandusingthevariablesshowninExhibit2.thetypeofIiiacliiiielearninglieshoulduseisbestdescribedas:A.deeplearning.B.servisedlearning.C.unsupervisedlearning.11.TheitemfromLitvenko'slistthatbestdescribesastepintheuachiuelearningmodeltrainingprocessis:A.Item1.B.Item2.C.Item3.12.TheconcernsLitvenkohaswithhismachinelearningmodelcanbestbeaddressedusingwhichofthefollowingalternativemodelingapproaches?A.CARTapproachB.ClusteringalgorithmC.PenalizedregressionIeclniiqueQuestions13-18*elatetoFinancialRepoilingAnaIySiSCaSe3:BardeinCaseSceuaiioJavierCasado,aanalystWhOIiiaiiagesfiulsforhigl-net-worthinvestors,isevaluatingBardemS.A.(Bardem)asapossibleadditiontoalargeinvestmentportfolio.Bardem.basedinMadrid.SpaiiLisaInanUfctungfirmtlatspecializesiPaCkagingmaterials.TliecompanyreportsusingIFRS,anditsreportingcurrencyistheEuro.On2January2016.BardempureIiasedan18%stakeinthenewbondissueofPapelco.aSpanishmakerofspecialtypapersfromwhomBardembuysinventory.Thebonds,whichmanireon31December2023.payinterestannuallywithacouponrateof4%.Bardempaid5.000.000fortl>edebt,whichhadaparvalueof4.800.000reflectingayieldtomaturityof3.4%.Bardemclassifiestheinvestmentasamortizedcost.CasadoistryingtodeteminetheinactofthePapelcopurchase,audwondershowitwillaffectBardem,sGnanCialstatements.CasadoIeanistlatBardemacquireda25stakeinArianaShippingS.A.(Ariana)ou1January2017.Ariaiia,whichisbasedinGreece,liasbougltpackagingsuppliesfromBardeniinthepastbasedoncatalogprices.CasadobelievesthatthepurchasewillchangetherelationshipbetweenthetwoconanesandwillalsoaffectBardenfsfinancialreporting.Henientionstoacoworker.AnaDomingues.IhatIhepricepaidbyBardemforIheArianashareswas£80millioaDonnnguestellsCasadoIhalBardenfspureIiaseofAriaiia,sequitywilllikelyallowBardeintoinfluenceAriana,sfinancialandoperatingperformance.Asaresult,shestates.Bardemwillberequiredtousetheequityetbodofaccoutingforthisinvestment.CasadorepliesthattleequityUietbodofaccoutigisonlyrequiredwiderIFRSforjointventuresorWhentheinvesteeholdsaseatontheassociate'sboardofdirectors.Bardempreparesthefollowingtabletoexauii)ethepurchasemoreclosely.Exhibit1:BookV¾luesandFairVhesofArianaShippingAssetsandLiabilitiesasof31December(millions)BookvalueFairvalueCurrentassets1515Plamalequipnent230275Land100115345405LiabilitiesIlOIlONetassets235295DoiuiiigiiessaysIbatsheiscoemedthatBardemdidn'tsufficientlyinvestigateAriaiiabeforeIhepurchase,giveueconomicWicertaiutysurroundingGreekconaues.SheasksCasadowhatwillIiappentoBardenfsfiaialstatementsifthevalueofAriaiiaisPermanenHyimpairedduetobusinesslossesorotherdemonstrableevents.Casadorepliesthatiftheequitymethodisnotrequired,tlentlerewillbenoiact.However,iftl)eequitymethodisused,liestates:1.Goodwillmustbeseparatelytestedforinainent.2.Impar11)entlossescam)lbereversedeveniffairvaluelaterincreases.3.harentlossesexceedinghegdwillvalueareallocatedpro-ratatoIheuit'sassets.CasadohasIearuedfromBardemsmanagementthattheyareconsideringthepurchaseof60%ofAslievilleIndustries.Iiic.(Aslieville).aUS-basedmanufacturerofComigatedcardboard,inastock-for-stockacquisitionBardemtlinksthatAshevillewillprovideaconsistentsupplyofmaterialforitsboxproductionline.Ashevillerqx)itsIuKkrUSGAAP.CasadonotesthatthisacquisitionwillaffectIhevaluationmodelshehascreatedforBardemandwondersWhethertheconanywillstillbeagoodcandidateforIheinvestmentportfolio.HepreparesaSimmiaryofbalancesleetdatainadva>ceOftheacquisition,withAsheville'siiifbrnmtionejressedii)eros.(Exhibit2).a>dstudiesitcarefully.Exhibit2:SelectedBardemandAslievilleBalanceSlieetItemsasof31December2016(Uiillions)BardemAshevilleBOOkvalueBookvalueFairvalueCash20.03.03,0Accountsreceivables75.05.0ZOPP&E(Net)110.024.052DoiuiuguesinformsCasadoofafinalpieceofinformationrelevanttohisevahiatioaToincreaseliquidity.BardemisCousideringborrowing£70Magainstaccountsreceivable.Asanalternativetoborrowing,tleycouldsecuritizethereceivablesbycreatingaspecialpurposeentity(SPE)overwhichtheywouldexercisecontrol.Todoso.theywouldinvest5MintheSPE.TheSPEwouldthenborrow70M.andwouldbuy75MinreceivablesfromBardeiiLDoiiiiiigiiescommeutsthatsecuritizationusinganSPEwouldimpactBardemsreportedfinancialconditioninthreeways.Itwould:1.reducethecostofborrowing.2.increasethelevelofcurrentassets.3.improvebalaeSheelratios.13.TlieinvestmentincomethaBardeiuwillreporti2016fromthePapelcodebtisclosestto:A.A£170.000.B.Bfl92,0.C.C200.000.14.InthediscussionaboutusingtheequityIDetbodtoaccountforBardemspurchaseofAhaa.wlichStateiiieiitismostaccurate?Tliestatementby:A.Domingues.B.Casadocoemigjointventures.C.CasadoConCeruingboardofdirectors*positions.15.IfBardemdoesusetleequitymethodofaccoutigforitsPurchaSCofAriana,usingExhibit1.thevalueofgoodwill,inmillions,arisingfromIhepurchaseisclosestto:A.£625.B.21.25.C.15.00.16.WliichofCasado'steestatementsregardingthepotentialinaii)entoftheinvestmentinAriaiiaismostaccurate?Statement:A.2B.1C.317.IfBardempurchasesAslieville.usingtheiiifbniiationinExlribit2,Ihevalue(inmillions)ofPP&Eontheconsolidatedbalancesheetimmediatelyaftertheacquisitionwillbeclosestto:A.162.B.134.C.141.18.IfBardemcreatesaspecialpuposeentityralertlanborrowingagainstitsreceivables,whichofDoiiiiiigues,conuentsisu)staccurate?ConnDentA.1B.2C.3Questions19-24RelatetoFinancialRepoilingaudAnalySiSCaSe4:PauoiainaInvestineutPaituenCaseSceiiaiioIitsideIheofficesofPanoraniaInvestmentPartners.AisliaIsluiiaelaiLiamLeiuliaii.pripalsatthefirm,aremeetingtodiscusssomeinvestmentdecisionsfortheirflagshipequityfond.NewlyIiiredanalystBrandonBurgessjoinedhemeetingtoobserveandtoprovidesoueUifbniiatioiiliehadgatheredresearchingthepotentialinvestments.Tbetwoconanestheyarediscussingarenetworkingequipmentmakers.ZipTechnologiesLtd.(ZipTech)audEuronetGmBH(Eiironet).bothofwhichrecentlyreportedresultsforthefiscalyeareling31December2017.EhiuaelstartsoffbyIueutioniugana>ualysheIiadpickedUPonwlilelisteningtoIheanalystcallsofOetWorkandteleconuiiuiucatiousproviders.WhiCharecustomersofthenetworkingequipnientmakers.SeveralofthesecustomerorganizationshadreportedIugher-tlan-origi»aUy-forceastedcapitalspendiuginthefinalthreemonthsof2017,andafewhadbraggedaboutthefavorablepricing:beyhadbeenabletonegotiate.IShluaelfiherobservesthatallthosewiththeunexpectedlyhigherspendingwereknowntouseZipTechastheirprimaryequipmentprovider.B