CFA二级模拟试题（2020）3：题目+答案.docx

2020LEVELHTestExani3Thesessionofthe2020Level11Cha如edFinancialAnalyst®MockExaminationhas60questions不bestSimulatetheexamdayexperience,candidatesareadvisedtoallocateanaverageof18minutesperitemsetandmultiplechoicequestions)Icratotalof180minutes(3hours)forthissessionoftheexam.QuestionsTOpic1-6187-12Ethics1813-18Quantitative1819-22FinancialRepollingandAnalysis1223-28FinancialandAnalysis182+32ColporaLeFinance1233-36Equity1237-42FixedInme1843-48Derivatives1849-541855-60PoltfolioM11Pagement18Total_180/UA】29令业来向钓投入！Add/上海市松花g2539号旦旦科技园1号楼出号楼（2071Tel/H,ebIEthicstheFollovmnginformationrelatestoquestionsi-6ForsterInvestmentAdvisors(Forster)isasmallassetmanagementmmanagingfundsforbothretailandinstitutionalclients.Forsteralsoundertakesinvestmentbankingactivities,includingmarketnakng.butonlyfortleslaresofafewuaiestlatitfollowsclosely.Forster'sfinancedirector,whoalsoservesasthefirm'scolianceofficer,hasgivennoticetlathewillretireiuonemontl,stime.Forster'smanagingdirectorasksTerryMcGuinn.CFA.ifhewouldbeinterestedinbeingthecomplianceofficerafterthefinancedirectorretires.McGuinii4aindependentconliaceconsultantwhoseclientsmostlyiucludepensionfinds.agreestomeetthemanagingdirectortodiscusstheposition.Attlemeeting,McGiiiniiistold,*TorsteradoptedtleCFAListitiiteCodeadStandards10yearsago.TlieoutgomgfinancedirectorassuredusatthetimethatweadopteddieCodeadSIandardStlatallofForster,spoliciesandproceduresmettlerequirementsmostoftleFecomnieudatioiisaswell.Asaresult,wementioncom-pliaewitltleCodeadStandardsiallofourmarketingmaterial.Weencourageyoutoimplementnewchanges,buttheimplementationwillneedtobecoordinatedtlrouglthehumanresourcesdeartmenl."Afteragreeingonwri11enspecificdutiesadresponsibilitiesfortlerole.McGuinnacceptstheoffertoactasForster,scom-pIianceofficeronapart-timeconsultancybasis.Onhisfirstdayasthenewcomplianceofficer.McGuinnimmediatelyreviewsadraftresponsetoarequestforproposal(RFP)tobesubmittedthenextdaytoapotentialpensionRIndclient.TlieproposalisidenticaltoaotlerRFPsentouttlreemonthsagoandincludesForster,sorganizationalchart.ai)in-depthdescriptionofitsivestuentprocessandtleOccasioualuseoftlid-partyresearchproviders,andaguaranteeofaminimum5%investmentre11andreturnofprincipalth>uglaguaranteedStnictiiredsavingsproduct,underwi11enbyaninvestment-gradelifeinsur-miceconay.McGuinnapprovestheRFPdocmuentwitloutnakmganychanges.Tliatsaueday.ColleenColliiis,aresearchanalyst,approachesMcGuinn,con-cemedtlatShemaybeinpossessionofinsidermfbuation.CollinsrelatesthatshewasatapartythenightbeforeadoverheardaconversationbetweentwoCEOsofcompeting,publiclylistedmaufacnringcompanies.TheCEOsdiscussed,butdidnotexpresstieiropinionson.thevalidityofarecentarticlepublishedillanonlineindustrynewsletter,whichwasspeculatingouIhebenefitsofamergerbetweentheirtwocompanies.Thenewsletterisavailablebysubsaiptiononly.Oneofthesecom-paniesisonForster'srecounendedbuylist.Followingthisconversation.McGtiinnfeelsitisnecessarytoenhanceForster'slesandprocedureswhendealingwithpossibleinsiderifbnation.Herecommendsthefollowingchangestothempany'spoliciesandprocedures:Recommendation1:Stopmarket-makingactivitieswhenipossessionofmate-rialnonpublicinfbrmaon.Recommendation2:Regularlyreviewemployeeandproprietarytrading.Recoiumendatiou3:Requireallemployeestoattendai)annualrefresliercourseonhowtoidentifyandhandlematerialnonpublicinfbnation.AfterreviewinghowForsterchsesandretainsitsstockbrokerseveryyear,McGuiimmakesseveralchangesinthepolicy.Thefollowingguidelinesareimple-mentedandComuiimicatedtoclients.Stockbrokerselectionmustbebasedon(liebrokers'abilityto:Guideline1:provideaccomtigsoftware.Guideline2:executeclienttransactionsefficiently.Guideline3:obtaininvitationstoinvestmentconferencesforloyalclients.AfterUiideiiakiiiginvestigationsbasedonaanonymousreport.McGuiimcon-firmstlatseveralForsterudmanagerswerewitnessedbeingwilledanddiedoverthepastfewweeksbylargebrokeragefinustryingtogetForster'sbusiness.Tliesameemployeeshavenotnotifiedhinaboutthesedimers.aviolationofForster'sinternalpolicies.McGuiimnotifies(lieemployeesiwritingtlattleyhavebeenviolatingtlecompanypolicy.Inthele11erofnotication.herequiestheenloyeestoabidebythepolicyinthefiture.1.IsMcGiiiiui'sproposeduIiaiiceofficerStnictiueuostlikelynsistatwitltleCFAInstiUiteCodeandStandards?A.No.withregardtoauthorityadreonsibility.B.Yes.C.No,witlregaidtopoliciesandprocedures.2.Whichitemiutherequestforproposal(RFP)isleastlikelyconsistentwithStandaidI(C)-Misrepresentation?A.GuaranteedinvestmentreturnB.Thefirm'sorganizationalStnictiireC.Useofthird-partyresearchproviders3.DidCollinsmostlikelyreceiveinsidermfb*matiouasdefinedbytleCFAInstituteCodeandStandards?A.No.becausetheinfrmatiouisconsiderednon-material.B.Yes.C.No.becausedieiufbnnatiouisconsideredpublic.4.WliichofMcGuinn'srecommendationsisleastappropriatetoinpleme11asperrecommendedproceduresforconlianceofStandardII（八）-NlaterialNonpublicIiifbrmarion?A.Recommendation1B.Recommendation2C.Recommendation35.WliichguidelineWithregardtochsigStockbrokiiigservicesismostlikelyconsistentwithStandardI11(A-DtytoClients?A.Guideline2B.Guideline3C.Guideline16.Withregardtothefluidmanagersunderinvestigation,themostpopriateadditionalactionMcGuiimshouldtakeisto:A.monitortheirfitreactions.B.eportthemisconductupthechainofmmaud.C.requireastatementstatingthebehaviorwillcease.EthicsTHEFoLLOWINGINFORMATlONRELATESTOQUESNS7-12FionaO,Connor.CFA,uoisbasedinEhibliiLnnstheassetmanagementfirmthatmanagestheassetsfortheSieplSocialImpactPrivateEquityFuiid(theFund),whichisregisteredinIreland.Thegeneralpa*tnerof±eFundhasaskedO'ConnortomeetwithEliseJensen.CFA,apensionassetconsultant,tofindoutwhetherJenseuwillpitchtheFundtoherinstitutionalclientslookingforanenvironmental,social,andgovernance(ESG)approach.JensenSPeCialiZeSinworkingwithntientalEuropean-basedpensionfunds,manyofwhichareSwisspensionftndsrequiredbySwisspensionregulationstoundertakeanESGassessmentpriortomakinganinvestment.Inaddition,allherclientshavearelativelylowriskprofile,becausetleyaresmallfinds.Thefewpensionfi11dsJaisenworkswitlthatdonotrequireaESGassessmentstillincludetledesirefortlistypeofevaluationintheirinvestmentmandate.Duringanintroductorymeetingthatlastsaboutanhour,JensenasksO'ConnortogiveanoverviewoftheFund.O,Conormakesfilefollowingtlreestatements:First,asyouareaware,tleStepUpFllndisaglobalsocialimpactfiud.Tlierefbre,wehaveallocated85%ofcmpoltfoliotoeducatimandhealthCaraInadditio止someoftheCo名aidesweinvestinofferscholarshipsCreeadvicestothosewhocannotrffOrdthe>IselvicesAsaneSllour*investmeitretnsmaynotbeashighasthoseofthathaveasti迁，frpf''investmentstidegy,butwestilltrackourFundagainstESGindexesWehavealsodeasetof"sodalHRpact"me订icsd11ltoshowtheFlmdhasapositive11T1pactonpplesEvesDetailsoftheandhowweselectinvestmentsareclearlyandextensivelydescdbedinourfbndInaddition,investcrsainotifedpriortoanychangesbeingmadeOurinvestmentprocessSecond,letmeexplainhowweselectinvestmentsllgiveyoutoo,yourbecauseitctainsalltfedetails1andtheyrequiteextensiveWemaroundtheglobethroughomownanalysts*reseaichwithintheeducationandhealthcareindustriesWealsouseth；工dpai1yagentstofmdpotentialIfwemakeaninvestlnetithetheypresenttous,wepayCbnsultantsnthemaf蓝'sfoeOnesuchagentweAConsiltingfrmthathasadoptedtheCFAInsdouteCodeandStandardsFinally,Iala）wanttodisclosetoyoumpensationaflhngementstheassetmanagement理sixinvestmentanalysts,alofwhomrcp<xttomedctly.TwooftheanalystsworkPaJ卜t11T,becausetheymadeearliermmitmentswithassetmanagementfnmsbeforcIftndthem.ButtheydonotworkfirothersocialnnpactsofmOKwiththisbecauseweconsiderCOn订actorsWedisclosethisotherfolmsofmanagementallclientsandpotentialclientsAUtheanalystsarepaidmonthlyandpalticipateintheyear-endbonusTuevalueofthebonuspoolisdetelminedbyhowwellthe?companyhasPriortotheendofmeeting,O'Comlcrinvitestojoinherandoneof陋analystsonanupcomingtoZ皿HabWc,toUndeltakeanannualESGassessmentoneofSOCiaI皿PaetTheFundhasinvestedinaprivateuniversitythat.WaSacoupleofyearsago,with40%oftteStlldentsiningfiom小O'Connoradds,Thisway,youcanseeomInvestlnentprocessinaction"expressesinterestingoingtoZnnbabweas俨tofherduediligenceprocessandasks/1Whopaysfimytr,expenses/Duringthcf*ptonbabwe,0,ConnorandJensenmeetwiththeunive%yschieffmancialofficeraboutincreasingsuccessoftheschoolthennpocttheschoolarehavingonthe>IstudentsexpressesherexcitementaboutthepotentialofIheschoolandcannotwaittohometopresenttteSChoOlasapotentialinvestmenttoherdietsAfterhome,Jensenmakesh三*fastpresentationtosmallestCiienLwithassetstotalingmiIUionShemakesthefollowingstatementIjustgotbackfromadediligencetiptoZimbabwewithFionaO'Connor,dieportfoliomanageroftheStepUPFundwhichhasanESGinvestmentmandate.Wevisitedanamazingwomensuniversitythathassoliciteddonationsforascholarshprogramfordisadvantagedwomen.Theschlisverywellm.ai)dwiththenewscholarshipprogram,investmentreturnsareexpectedtoincrease,becausetleywillnolongerneedtosubsidizetuition.vebeenassuredtheotherholdingswithintheStepLFundareofequalcaliber.IgottoknowO,ConorduringthetripaudfeelshehasagdgraspofESGissues.IreallybelieveyoushouldinvestintheStepLFmicLbecauseitIlIeetSyorinvestmentobjectives.IwouldstartwitlaEUR5millioninvestment.7.Basedonlyoutheinformationgiven.Whenprovidinginvestmentadvicetoherclients.JensenshouldmostlikelyadleretowhichofthefollowingtoavoidviolatingStandardI（八）:KnowledgeoftheLaw?A.IrishlegislationB.SwissregulationsC.CFAInstituteStandardsOfProfessionalConduct8.GivenO'Connor'sfirststatementabouteassetallocation,expectedreturns,andstrategyoftheSteplSocialImpactPrivateEquityFund,doesO'Connormost11kelyviolatetheCFAInstituteStandards?A.NoB.Yes,withregardtoStandardI11（八）:Loyalty.Pnidence.andCareC.Yes,withregardtoStandardV(B):CommunicationwithClientsandProspectiveClients9.GivenO,Comor,ssecondstatementtoJens.whichfirtheractionShOlIIdO,ComorleastlikelytaketoplywitlrequiredorrecommendedproceduresfortheCFAbstihteStandaIdSofFxTofessionalConduct?A.Monitortheconsultants'couliaepolicyexecution.B.Disclosetlefinder'sfeearraugementindiefluidprospectus.C.Notifyclientsofthefinder'sfeepolicyonasemiannualbasis.10.Withregardtodieassetmanagementfirm'smpei)sationarrangementsfortheinvestmentanalystsasmentionedinO,Connor'sfinalstatement,doesO'ComormostlikelyviolateanyCFAInstituteStandards?A.NoB.Yes,relatiugtothebonusplC.Yes.relatingtothepart-timepolicy11.ToavoidviolatinganyoftleCFAInstihiteStandardsOfProfessionalConduct,howSlioukiO,ConormostlikelyreplytoJaisen,squestionregardingdietr>toZimbabwe?A.MyfirmB.YourclientsC.TheStUPFund12.DiiriugJensen'smeetingWithherclient,didShemostlikelymakeanyinappropriatecommentsrelatedtoStazidaid11I(C):Suitability?A.NoB.Yes.withregardtoduediligenceC.Yes.withregardtodediligenceandassetaltocationQuantitativeMethodsTHEFOLLoWINGINFORMATIONRELATESTOQUESNS13-18BrendanDennehyworksforTransonInvestments.PLC.aDublin-basedhedgeftndwithsigicatequityinvestmentsintechnologycouaiesiAsia,NortliAmerica,andEurope.Transonisconcernedabouttherecentprperformanceofoneofthefimd,sChiiwseinvestments,WinstonCommunications,anassembleroftelecommunicationsequipmt.Transon,schiefofinformationtechnology(IT)isSeanMalloy.Yesterday.XMnston'sITofiicesentMalloydatarelatedtotleassemblyprocessandaprintoutofananalysisofthenumberofdefectiveassembliesperhour.Winston'sITpeoplebelievethattlenumberofdefectiveassembliesperhourisaAmctionoftheoutsideairtemperatureandthespeed(productionrate)oftheassemblylines.MalloyrecallsthatDennehyhashadsubstantialtrainingiStaristicswhileworkingonhisMBA.HeasksDeiinehytohelphiminterprettheregressionresultssuppliedbyWinston.Exhibit1RegressionResultsDf=b°+bjArt+b+的CoefficientStandardErrorConstant(b°)0.0160.0942Outsideairteneratre(1)0.(XX)60.lAssemblylinespeed¢2)0.59840.3Numberofobse,ationsusedintheregression384CrifiCaIfvalueat5%significance(t½,o-tailtestwhere.%coefficientequalszero)StandardErrorofR2theEstimateDurbin-WatsonStatisticF*StatisticSignificanceOfF0.4140.3331.89157.699ODurbin-WatSOn1.631.72criticalvalues(5%significance)Correlationbetweenoutside0.015airtemperatureUsingthedataprovidedinExhibit1.Dennehyteststhehypothesisthatthecoefficientsforoutsideairtemperatureandassemblylinespeedaresignicatlydifierentfromzero,usingaSiguificaucelevelof5%.DeiMiehyalsousestheresultsgivenillExliibit1toevaluatethepotentialforInulticollineaiityiuthedata.Finally.Dennehywouldliketoconfirmtlatnonstationarityisnotaproblem.TotestforthisheconductsDickey-Fullertestsforaunitrtoneachofthetimeseries.TheresultsarereportedinExhibit2.Exhibit2ResultsoftheDlckey-FullerTestsTimeSeriesValueoftheTestStatisticStandardError(-StatisticSignificanceoftDefectiveassemblies0.36O.231.5910.1123perhourOutsideair-0.4230.0724-5.8460temperatureASSeni)Iylinespeed-0.5860.043-13.5100DennehytellsMalloyabouttheDickey-Fullertestresults,stating:“Wfecansafelyuseregressiontoestimatetherelationshipbetweentledependentvariableandtheindependentvariablesif1)noneofthethreetimeseriesexhibitaunitrootor2)allthreetimeseriesexhibitaunitrootbuttheyarealsomutuallyCointegrated.',13.BasedonExhibit1audstatisticaltests,thebestconclusionDeniiehycamakeistlattleregressionefificientissignificantlydifieretfromzerowithrespectto(liecoefficient(s)for:A.assemblylineeed(b2)only.B.bothoutsideaitemperature(bl)andassemblyIiiiespeed(b2).C.outsideairteneralure(bl)only.14.Theu>stappropriateitepretatiooftheresultsreportedillExhibit1isthat:A.theF-statisticoftheregressionisnotsignificantB.predictionsofdefectiveassembliesperhourmadeusingtheregressionhaveonlyabouta41%chanceofbeingcorrect.C.variationsintheindependentvariablesexplainapproximately41%ofthevariationinthedefectiveassembliesperhour.15.WhatisthemostpropiateinferencefromtheDurbin-WatsonstatisticreportedinExliibit1?TlieDwibiii-Watsontest:A.isinconclusive.B.rejectsthenullhypothesisofnopositiveserialcorrelation.C.failstorejectthenullhypothesisofnopositivesaialcorrelation.16.TlieresultsreportedinExhibit1aremostacratelyiHepretedasdicatingflat:A.tlereportedR2isspurious.B.Iinilticoniiiearityisnotprest.C.theregressioncoefficientshaveinflatedstandardeors.17.Assuminga5%levelofsignificance,themostappropriateconclusionthatCanbedrawnfromtheDickey-Fullerresultsrqx>rtedillExhibit2isthatthe:A.testforaunitrtisinconclusiveforthedependentvaiable.B.independentvariablesexhibitunitrootsbutthedepadtvariabledoesnot.C.dependentvaiableexlibitsaunitroot