Kaplan考试和QBank二级（考友版）：Heckpoint考试3：学习环节 （题目+解析）15-17.docx

CFALevel11Questions#1-6of36Questions1-6relatetoIGS.TheNewYork-basedIrWinGoldreichSchmidt(IGS)isamid-sizedprivateequityfirmwith$300millioncapitalraisedfromitsinvestorsmidaturbulentyeathefirmhasrecentlydroppeditsunsuccessful$100millionbidforaNorwegianmediacompanyandisnowaggressivelysearchingfornewventureorbuyoutinvestmentsintheEurozone.Afterseveralmonthsofintensesearch,IGSbelievesitidentifiedtwopotentialinvestments:1.SverigarapidlyexpandingSwedishStartrupconstructioncompany.2LOffrGasnugglingFrenchdepartmentstoreinexistencesincethelateIdthCenturyFoIIowingseveralroundsofsuccessfulnegotiations,ESmakesa$20millioninvestmentinSveriganda$100millionleveragedbuyoutinvestmentinCOffircommittingtoanadditional$100millionforpossiblefuturecapitaldrawdowns.ItretainsallcfSverigsmanagersbutreplacesCOffresmanagementteamwithexperiencedIGSmanagers,manyofwhomareformercompanyseniorexecutives.IGSalsosetsupSverig-EOffrePrivateEquityFund(SLPEF),afundtomanagebothfirms.Thefundmanagerscompensationissetat20%ofprofitsnet戌feesIGSalsospecifesthatthemanagersprofitsarecalculatedontheentireportfoEowhenportfoliovalueexceedsinvestedcapitalby30%.Despitethemarket*Srecentturbulence,Sverigsoriginalfoundersareextremelyoptimisticandbelievethefirmcouldbesoldfcr$400millioninsixyears.Toachievethis,theyspeculatethefirmneedsanothercapitalinfusionOf$40millioninfouryearsinadditiontothe$20millioncapitalinvestmenttoday.Giventhehighriskfthefirm,SLPEF9sprivateequityinvestorsdecidethatadiscountrateof40%forthefirstfouryearsand30%forthelasttwoyearsisappropriateThefoundersofSverigwanttohold5millionshares.Question#1of36QuestionID:1214399IftotalproceedsnetoffeestoSLPEFareworth$180millionuponexitinayear;thefund*sgeneralpartner(GP)underthetotalreturnusinginvestedCaPitalmethodwouldreceiveacompensationof:A)WB)$12milliC)$36million.An appropriate equity valuation technique for Sverig and C Offre respectively, would be the:SverigQ Relative value approachB) Venture capital methodC) DCF methodI： OfIVenture capital methodDCF methodR el ative value approachQuestion #3 of 36Question ID: 1214401Co m mon risk factor(s) faced by both IGS investors and the managers of the private equity firm is (are):A) market risk but not agency risk.B) agency risk but not market risk.C) both market and agency risk.Question #4 of 36Question II): 1214402SLPEF* s general partner s (GP s) share of fund profits, <md management, s right to sell their equity interest ri the event f an acquisition, respectively; are called:PrOfitS to the G PQ Carried interestB) RatchetC) Carried interestUanaReinenfs right tc sellRatchetDistribution waterfallTagalong, drag-along clauseQuestion ID: 1214403Question#5of36Sverigspost-moneyvaluationatthefirstroundoffinancing,usingIheNPVventurecapitalmethod,isclosestto:A)$61.61millionB)$50.08millionC)$51.20million.Question ID: 1214404Question#6of36TheappropriatestockpriceafterthefirstoundoffinancingforSverigsfirstoundinvestorsisclosestto:A)$624B)$8.32.C)$6.02.Questions#7-12of36Questions7-12relatetoJeffMarkgrafCFA.JeffMarkgrat；CFA,isthemanagingdirectoratAlphaAlternativesLLP.MarkgrafhasasuccessfultrackrecordofinvestinginrealestateforhisinstitutionalclientsMarkgrafisseekingtodiversifyhisscopeandislookingintoinvestingincommoditiesandinprivateequityMarkgrafreachesouttohiscollegefriend.BillSmallwhomanagesaprivateequityfundspecializinginleveragedbuyoutsMarkgrafasksSmallaboutwaysinwhichprivateequityfundsaddvaluetotheirportfolioinvestment&MarkgrafconcludesthatfuturescontractsOfiferIhebestmechanismforhimtogainexposuretothecommoditiesmarketHeseekstodevelopfurtherunderstandingofthecomponentsoftotalreturnofaportfolioinvestedincommodityfutures.MarkgrafisintriguedbytheuseofswapstogainexposuretocommoditiesUponinvestigationMarkgrafdiscoversthataswap(the"TZswap*)isavailablefi'omAlpha*Sbrokersthathasavariablepaymentbasedonthedifi'erenceinpricebetweentwocommodities.MarkgrafobservesthatcattlefuturespricesaregreaterthanthespotpriceswhilethecornfuturespricesarelessthanthespotpricesMarkgrafalsoreadthatfuturespricesmaybeinfluencedbyweather.MarkgcifwantssomeexposuretopreciousmetalsandexpectstousesilverfuturescontractstoaccomplishthisMarkgrafwillrollovermaturingcontractstothenextshortestavailablecontractMarkgrafbelievesthatsilverwillhelpdiversifyhisoverallportfolio,especiallysincesilverfuturespricesarelessthansilverspotprices.Question#7of36QuestionID:1214406WhichofthefollowingwouldbeleastappropriateasapartofSmaIrSresponsetoMarkgrafIsquestion?A)Optimizingfinancialleverage.B)CreatingoperationalinprovementC)TncentirizingthegeneralpartnerQuestion ID: 1214407Question#8of36Relativetoseasonalityinthedemandfornaturalgas,seasonalityindemandforoilismostlikelytobe:A)aboutthesame.B)greaterC)lowerQuestion#9of36QuestionID:1214408Earlyfrostinsomepartsofthecountryhasresultedindamagetocorncropsandatemporaryshortageinthesupplyofcorn.Underthetheoryfstorage,relativetothespotprices,futurespncesaremostIikeIyIqbe:A)thesame.B)higher.C)lower.Question#10of36QuestionID:1214409The"TZswap"thatisavailableGromAlpha*Sbrokersismost2eZya(n):A)excessreturnswap.B)basisswap.C)totalreturnswap.Question#11of36QuestionID:1214410WhichtheoryisleastEkelyloexplainthepricingrelationshipinthecattlefuturesmarket?A)TheinsuranceperspectiveB)ThehedgingpressurehypothesisC)Thetheoryofst<rage.Question#12of36QuestionID:1214411Markgrafspositioninsilverfuturescontractsismostli<elyIoproducearollreturnthatis:A)zeraB)negativeC)positive.Questions#13-18of36Questions115through120relatetoPortfolioManagement.MillenniumInvestmentsCaseScenarioMillenniumInvestments(Ml),aninvestmentadvisoryfirm,ProVideSassetallocationrecommendationsforitsclients,RichieSheparsenioranalystatMI,isusingatwcrfactormacroeconomicmodeItoevaluateaportfoliooftwostocks:WMBandRELThetwofactorsinthemodelaresui'prisesininflationandinrealGDPgrowthrate(bothgiveninpercentages).TheportfoHoisinvested60%inWMB.FactorsensitivityandotherinformationforthetwostocksareshowninExhibitLExhibit1:VMBandRELStockE(R)InflationGDPGrowthRateWMB9%-22+3.0REL10.8-LO+3.3Anotherstock(notintheportfolio),PSL,hasafactorsensitivityd-0.9toinflationand+1.2toGDPgrowthrateShepardisalsolookingatevaluatingthreeportfoliosusingasingle-factormodeLInformationaboutthethreeportfoliosisshowninExhibit2Exhibit2:PortfolioFactorSensitivityandExpectedReturnPortfolioExpectedReturnFactorSensitivityX0.101.00Y0.121.25Z0.151.50ShepardismeetingWithaclienttodiscussinclusionofactivelymanagedfundsinthatCiienfsportfoliaToprepai'eforthemeeting>Shepardpreparesapresentationtoillustratethemeritsandrisksfthischange.Shepardcannotrecallthetethatisusedtocapturethesumofactivefactorriskandactivespecificrisk.ShepardfeelsthattheeconomyisfinallyoutofrecessionandPoiSedforrobustgrowthoverthenextthreetofiveyears.Question#13of36QuestionID:1214413UsingtheinformationinExhibitI1theexpectedreturnontheportfolioisclosestto：A)8L4.B)9.2%.C)9l7%,Question#14of36QuestionID:1214414CsinginformationinExhibit1,theportfoliossensitivitytoinflationisclosestto：A)LLB)-L7.C)-22Lastyear;PSL?sactualreturnwas8%(O.5%unexplainedbythemodel).InflationsurpriseaswellasGDPgrowthratesurprise；was+0.5%.PSL'sexpectedreturnwasclosestto:A)7.35%.B)7.50%.C)&50%.Question#16of36QuestionID:1214416UsinginformationinExhibittakingadvantageofanarbitrageopportunitywouldmost2Lrejzrequireshorting:A)portfolioX.B)portfolioYC)portfolioZ.Question#17of36ThetermthatShepardcannotrecallismostlikely.A)activetotalrisk.B)activerisksquared.C)alphariskQuestionID:1214417Question#18of36QuestionID:1214418BasedonSheparcfseconomicoutlook,itcanbemostappropriatelyconcludedthat:A)governmentbondswilloutperformcoi'poratebonds.B)higheratedcorporatebondsWilloutperformlower-ratedcorporatebonds.C)loweratedcorporatebondsWilloutperformhigher-ratedcorporatebonds.Questions#19-24of36Questions19-24relatetoTerryHoltandBillMcGuiraTerryHolt,CFA,isaninvestmentconsultantthatadvisesseveralinstitutionalClientSincludingpensionfundsandendowments.HoltisevaluatingtheperformanceofMagnaAlphafundHeobtainsthefuncfsactiveweightsandexpectedreturnsrelativetothebenchmarkasshowninExhibit1.Exhibit1:MagnaAlphaFundAssetQassG)PortfolioReturnE(RQBenchmarkReturnE(RB)ActiveWeightEquities13%12%10%Bonds7%5%-11%Cash3%3%1%BiUMcGuire,HOlfSsupenrisor;makesthefollowingstatements:1.TheoptimalriskyportfolioforanyinvestoristheoneWiththehighestSharperatioiresectiveoftherisktoleranceoftheclient2TheSharperatiowouldbethesameastheinfor*mationratioforamarket-neutrallong-shortequityfundthathastheriskeeassetastheportfoEosbenchmark.Holtthenobtainsdataonthreeactivefundsspecializingincommoditiesinvest!ng÷Exhibit2presentsdataonthesefunds.Exhibit2:FundDataFundPrimeReduxOptimusExpectedactivereturn240%L25%128%Activerisk6%5%4%McGuirerecommendsthatHoltinvestigatetwootherfunds,runbyactivemanagersAandB,asWeIIExhibit3showstherelevantinfonatioExhibit3:ActiveManagersAandBManagerA:hvestsinstocksandmakesbetsannually.HasaninformationcoefficientofQ20andtransferefficientof04.ManagerB:Unconstrainedoptimizationinvolvingmonthlybetsonmarkettiming(rotationbetweenequityandcash).ManagerBiscorrect55%ofthetime.HoltmentionstoMcGuirethatonehastobecarefulaboutactivelymanagedfundsthatareactuallyclosetindexfunds*Thesefundstendtobecharacterizedbyverylowactiveriskhighinformationratio,andaSharperatiothatisalmostthesameastheSharperatioforthefundsbenchmark.Question#19of36QuestionID:1214420UsingtheinformationinExhibitIttheexpectedactivereturnfromassetallocationforMagnaAlphafundisclosestto:A)Q68%.B)1.25%.C)1.93%.Question#20of36QuestionID:1214421RegardingMcGuiresstatements:A)bothstatementsarecorrectB)onlyonestatementisrrectC)neitherstatementiscorectQuestion#21of36QuestionID:1214422WhichcomponentQfthefundamentallawofactivemanagementcapturestherelationshipbetweenrisk-adjustedactiveweightsandrisk-adjustedforecastedreturns?A)TransfercoefficientB)InformationcoefficientC)InformationratioQuestion#22of36QuestionID:1214423CsingtheinformationinExhibit2whichfundwouldbemostsuitabIeforaninvestorwithaconstraintofmaximumactiveriskof5%?A)Prime.B)Redux.C)Optimus.Question#23of36QuestionID:1214424ToachievethesameinformationratioasManagerBkthenumberofstocksthatManagerAmustmakeindependentbetsonisclosestd:A)14.B)19.C)22Question#24of36QuestionID:1214425HoltisJeastJAeJytobecorrectaboutwhichfactorasanindicatorofaclosetindexfund?A)Lowactiverisk.B)HighinfoationratioC)SameSharperatioastiebenchmark.Questions25-30relatetoGlendaGarvey.GlendaGarveyisinterningatSamsonFinancialinthesummertoearnmoneyforherlastsemesterofMBAstudies.ShetooktheLevel111CFAaexaminJunebuthasnotyetreceivedherresultsGarveySworkinvolvespreparingresearchreportsonsmallcompanies.Garveyisatnchwithagroupfco-workers.Shelistenstotheirnversationaboutv<riousstocksandtakesnoteofacommentfromTonyTopel,aveterananalystTopelistalkingaboutValloEngineering,asmallstockhehastriedrepeatedlytoconvincetheinvestmentdirectortoaddtothemonitoredlistWhiletheinvestmentdirectordoesnotlikeVallQTopelhasfaithinthecompanyandhasgraduallyaccumulated5,OOOsharesforhisownaccountAnotheranalyst,MaryKennedy,tellsthegroupaboutKOraIKoatings>apaintandsealantmanufacturerKennedyhasspentmostMlhQlastweekattheofficedoingresearchonKoraLShehasconcludedthatthestockisundervaluedandconsensusearningsestimatesareconservative*However;shehasnotfiledareportforSamsorunordoessheintendtSheSaidshehaspurchasedthestockforherselfandadviseshercolleaguestodothesame.AftershegetsbacktotheOffiCeGarveypurchases25sharesofVaoand50sharesofKoralforherselfSamsonpaysitsinternsveryIittIeandGarveyworksasawaitressatadinerinthefinancialdistricttosupplementherincome.Thedinnercrowdincludesmanyanalystsandbrokerswhoworkatnearbybusinesses.Whilewaitingtablesthatnight,GarveyhearstwoemployeesofamajorbrokeragehousediscussingMetrona,ananotechnologycompany.TherestaurantpatronssaythatthebrokersstaranalysthasissuedareportwithabuyratingonMetronathatmorning.Thedinersplantobuythestockthenextmorning.AfterGarveyfinisheshershiftrestaurantmanagerMandyJones,alongtimeSamsonclient,askstospeakwithherJonescommendsGarveyforherhardworkattherestaurant,praisingherpunctualityandpositiveattitude,andoffershertwoticketstoaYankeesgameasabonus.Thenextmorning,Garveybuys40sharesofMetronafarherownaccountatthemarketopen.Soonafterward,shereceivesacallfromHaroldKoons,oneofSamsonslargestmoney-managementclientsKoonssayshegotGarveysnamefromBerthaWittwhomanagestheKoons,saccountKoonswantedtorewardtheanalystwhodiscoveredAnvilHammers,amachineH:oolcompanywhosestocksoaredsoonafteritwasaddedtohisportfoliGarveypreparedtheoriginalreportonAnvilHammers.KoonsoffersGarveytwofreeround-tripticketstothecityofherchoiceGarveythanksKoons,thenasksherimmediatesupervisor;KarlMay,aboutthegiftfromKoonsbutdoesnotmentionthegiftfromJones.MayapprovestheKoons,giftAftertalkingwithMay,GarveystartsaresearchprojectonZenithEnterpriseafrozen-Juicemaker.Garveysgathersquarterlydataonthecompanyssalesandprofitsoverthepasttwoyears.GarveyusesasimpIelinearregressiontoestimatetherelationshipbetweenGDPgrowthandZenitKssalesgrowthNextsheusesansensusGDPestimatefiomawell-knowneconomicdatareportingserviceandherregressionmodeltoextrapolategrowthratesforthenextthreeyearsGarveyisnotworkingatthedinerthatnight,soshegoeshometoworkonherbiographyforanonlineplacementservice.Initshemakesthefollowingtwostatements:Statement1:fmaLevelI11CFAcandidateandIexpecttoreceiveraycharterthisfallTheCFAprogramisagrueling,3-pargraduate-levelcourse,andpassagerequiresanexpertiseinavarietydfinancialinstruments,aswellasknowledgeoftheforcesthatdriveOUreconomyandfinancialmarkets.Statement 2:Texpecttogduate,ithmyMBAfromBraxtonCollegeattheendofthefallsemester;AsbothanMBAandaCFA,THbeinhighdemand.Hiremenowwheyoustillhavethechance.AkshayNagoree,CFA,isaportfoliomanagerfcrseveralpensionfundsatSamson.Hiswifeistreasui'erand15%shareholderofGatedonElectricThemarketValUeofMrs.Nagoree*sGatedonsharesisnow$2millionSamson'sresearchdepartmentisrecommending±estocktoitstrust,officersandpensionfundportfoliomanagers.Question#25of36QuestionID:1214385Duringthelunchconversation,whichCFAInstituteStandardofProfessionalConductwasmostlikelyviolated?A)I11(B)FairDealingB)IV（八）Loyalt¾C)V（八）ReasonableBasis.Question#26of36QuestionID:1214386DoesGarveysacceptanceofthegiftsfromKoonsandJonesolateStandardT(B)IndependenceandObjectivity?A)AcceptingKoOndgiftwasaviolationB)AcceptingJonedgiftwasaviolationC)Neithergiftwouldresultinaviolat