CFA二级模拟试题（2020）2：题目+答案.docx

The2020LEVEL11TestExam2sessionofthe2020LevelChalteredFinancialAnalystxMockExaminationhas60questions"bestsimulatetheexamdayexpeiencQcandidatesareadvisedtoallocateanaverageof18minrtesperitemsete>icequest"QuestionsPnS)ftralotalOfI80Minute(3k>5s)fcrthSeSSionOfthelTOPlC?XfHft1-6Ethics187-10QuantitativeMethods1211-16Economics1817-20FinancialRepoHi11gandAnalysis1221-24ColpcrateFinance1225-30Equity1831-34Equity1235-40FixedIncome1841-46FixedIncome1847-521853-56PoltfoEoM11Pagement1257-60PoltfolioM11Pagemerit12Total180andmultiple令业来旬Ior%钓投Add/上海市松花2539号复旦科技园1号楼,2号楼（20入！Tel/Web/EthicsTHEFOLLoWlNGINFORMATIONRELATESTOQUESTIONS1-6KyraJohnson.CFA,wasrecentlyhiredbySedgwickInvestmentManagement(Sedgwick)asitsnewchiefexecutiveofficer.Sedgwick'sparentcompanyownsseveralsubsidiariesinthefinancialservicesindustyAlthoughtherearerrentlynooutstandingcom-pIianceissues.Sedgwick'seloyeeshaveahistoryofunethicalbeiaviorandalwaysseemtobeondiebrinkofadditionalviolations.Sedgwick'sboardofdirectorshastaskedJohnsonwithbringingthefirm'spoliciesandproceduresintoconIiancewiththeCFAInstituteCodeofEthicsandStandardsofProfessionalConduct.ShortlyafterJohnsonwashired,thefallowingauomceentappearedillamajorfinancialnewspaper:TheboadofdhectorsofSedgwickInvestmentManagementispleasedtoannomcethehiringofMs.KyraJohnson,CFAasthecoaynewcliefexecutiveofficer.ShehasdemonstratedtheabilitytoSuccessfiillycompletearigorousandmprehesivestudyprogramdemandedbytheCFAdesignation.ThecredibilityofherCFAcha11erai)dtheskillstleCFAProgramcultivatesarekeyassetsMs.JohnsonbringstoSedgwick.AsaCFAcha11erholder.Ms.Johnsonhasseriorqualitiestomanageourclients*investmentsai)dguidetheinvestmentprocess.WearethrilledtohaveMs.KyraJohnson.CFAasamemberoftleSedgwickInvestmentManagementteam.OueofthefusttilingsJoIuisoudidafterarrivingatthefinwastomeetwithCoreyTao,CFA.thefirm'schiefcomplianceocer.Taohadbeenwitl(liefinonlyafewmonths.HetoldJohnsontlepreviousviolationshadpiimarilyrelatedtoequityresearch,equitytrading,adclientconfidentiality.AfterreviewingtheSiinunaryofviolationsai(liefin,sexistinghandbook.JolmsonadTaodecidedtosubmitdiefollowingrecommendationsregardingthefirn,shadeallocationproceduresforblocktradestoIlieboardofdirectorsforapproval:Recommendation1:Allaccountsparticipatinginablockwadeshouldreceivethesameexecutionpriceandpaythesamenunissionrate.Recommeudation2:Orderswillbeexecutedouafirst-in.fi*st-outbasis,withconsiderationgiventobundlingordersforefficiency.EMiiiiigthemeetingTaoalsomentionedtoJohnsonthattheColuPanyhandbookfailstoaddressanareawherehehassomencemsandsuggestedthefollowingpolicyaddition,breakingitdownintothreepoints:Point1:Tradersaeprohibitedfromengagingincommunicationwithbrokersordealerstlatwouldartificiallycauseastock'spricetoriseorfall.Point2:Researchanalystsarenotallowedtocommunicateunrealisticexpecta-tionsregardingacompany'sresultsthatmayaffectthemarketpriceofastock.Point3:Portfoliomanagersarenotallowedtoenterintoanagreementtopro-motethestockofanypubliclylistedcompanySeveraldaysaftereirmeeting.TaobringstoJohnson'sattentionthedetailsofaphonecallhereceived.Heexplainedthataveryupsetclientcalledtolodgeacomplaint.TlieclienthadreceivedapromotionalletterinthemailfromacompanycalledSedgeFinofferingavaietyoffinancialservices.TaoexplainedtotheclientdiefirmwasunawareoftleletteradthatSedgeFinwasanewsubsidiaryofSedgwickInvestmentManagement'sparentcompany.AftersomeCheCking,TaoIeaniedtleletterUirgetedSedgwick'sclients,botldomesticandiiiteniational.TaoreassuredtheclienttlathisonlycontractwaswitlSedgwickandabsolutelynoinvestmentinformationhadbeenprovidedtoSedgeFin.TaolaterreceivedacallfromanewsreporterWhOrequestedaninterview.TaoisoneofseveralpeopleatthefirmautlorizedtospeakWithtlepress.TliereporterwasinterestedinwritingapieceaboutJohnsonadthecircumstancesbdidherjoiningthefirm.TheyscheduledatiueforthecallandTaoforwardedtothereporteracopyoftl)eboard'spressrelease.Priortotheinterview.JohnsontoldTaotoaddressthereporter'squestionstthfillybutnottoprovideanydetails.Wlienaskedduringtleinterviewabouttleftfshistoyofunethicalbehavior.Taoresponded.ktOneofMs.Johnson'sfirstactswastostrengthenthefifsCodeofEtlics.adaltlouglIherehadbeenafewpriorincidencesofquestionableconduct,theywereexaggeratediutlepressandhappenimostinvestmentfirms."Shortlyafterthepressinterview,JolmsonstoppedbyTao,sofficeto>tifyhimslewouldbeunavailableoverthenextseveraldays.SheexplainedtlatfortlelastseveralyearsshehastauglttheethicsportionsoftheCFAProgramexam,atalltlreelevels,forai)examprepcourseofferedbythelocalsociety.ShetoldhiuslehadalwaysenjoyedteachingandisnicelycompensatedforthisworkbuttypicallydonatesherpaytoCFAhstitteResearchFowidation.Sheplannedtodonateherconensationagainthisyear.TliisistlefirsttimeTaohasIieardaboutherteaching,andheconuueiited.*"Yburealizeyoumigl11beiviolationof(lieStandaidIV(B):AdditionalCompensation.Vrangements.'1.WhichstatementiuSedgwick'siingaunouncementisInoSilikelyaninectreferencetotheCFAProgxamortheCFAdesignation?Thestatementreferencing:A.theskillstheprogramltivates.B.thedemandsoftheStUdyprogramfortleCFAdesiguation.C.herabilitytomanageivesttnentsandguidetleprocess.2.Aretherecommendationssubmittedtotheboardofdirectorsmostlikelycon-sistentwiththeCFAInstituteRecommendedProceduresforCompliancewithStandard11I(B):FairDealing?A.YesB.NowithregardtoRecommendation1C.NowithregardtoRecoiuiueiidation23.Wliennside*ii)gtheflreepointsofTao'snewpolicyasawhole,whichCFAbstitteStandardOfProfessionalConductishemostlikelyaddressing?A.StaiidaidVI:ConflictofInterestB.Staiidaid11:IntegrityofCapitalMaiketsC.StandardV:InvestmentAnalysis,Reconuneiidations.adActions4.DidaviolationoftheCFAInstituteStandadsOfProfessionalConductmostlikelyoccurasaresultoftheSedgeFinpromotionalletter?A.NoB.Yes.withregardtoStandardVI:ConflictsOfInterestC.Yes.witlregardtoStaiidaidIV:DutiestoEmployers5.WliohasmostlikelyviolatedtheCFAInstituteStandardsofProfessionalConductregardingdienewspeinterview?A.TaoB.JohnsonC.BothTaoandJohnson6.InadditiontobeinginviolationofStandardIV(B):AdditionalConensationArrangements,whichotherCFAInstituteStandardsOfProfessionalConducthasJohnsonmostlikelyviolated?A.StandardV（八）:LoyaltyB.Standard11I（八）:Loyalty.Pnidence.andCareC.BothStandardIV（八）:LoyaltyandStandard11I（八）:Loyalty.Prudence,andCareQUantitativeMethodsTHEFOLLOWINGINFORMATIONRELATESTOQUESTIONS7-10CarlosMai血，arecent护adualeofthefinancialPrO包amatawell-knownUniVU氏ithasjustbeenbyJubilaci6nSL,aMadrid-basedfnIDSPeC呻龙SretirementplanningHehasbeenaskedtodevelopamachinetltohelpeachclienttooneoffn画Sfivesategicinvestmentportfolios.Tobuildthetrainingsetwith50define<300randomlyselectedworking-ageqUestionsbyLllciaam畔UtrcSeaiCheEaboutriskproference¾andeachthesampletooneofthefivepotfolioHinitiallyplanstopeIfoIDmachino1inganalysisaidusemodeltonewclientstotheappropriatepoItfoliobasedonIhCIrresponsestothequestionsbringsasamplesetofbacktoMjthdiscussionSIetellshimthatintheintelviewsessions11oftheresponsesshehasobtainedaremlexandsubjectiveFQrexamplemostsheintelviewsaienotcleaiaboutthencetofrisktoleranceandprovidecomparisonsorahsn,actconceptsratherthanspecificnumbersOloflossseem:stoincreaseatanratesomeItindecideshewillhaveIoreviewtheserisktoleranceresponsesintoriskcategoriesdeliversthemplctedsetof1telviewdatatoAftersomepreliminaI5analysisItindecidesthatheisreadytodevelopalgoriththechatbotwillusetoadviseclientsastowhichofitsfivestegicinvestmentportfoliosisbestEjfHementgoalsnotesthatthefmaldatasethas50featureandheissomeofthemaielikelytobeCmrnlatedwhichmayleadtomodelmisstatementlieconsiders血eemethodstoadessthisissue:1Combinevariablesusingthemodel2Usethebootstrap(bagging)method3EmployprincipalanalysisNlt in s initial planned mac hi noailtlysisisbestdcsaibedasafolmofWeb /.Add/上海市松花S!2539号复旦科技园I号楼尤号楼（20JlTcl/8.IfMartinweretouseak-nearestneiglbormodel,thevalueforkwouldbeclosestto:A.5.B.50.C.300.9.ThemostpropriatemodelforMartintouseanalyzingtheresponsesto(lierisktolerancequestionsisa:A.neuralnetwork(NN)×ieLB.supportvectormacliue(SVM)model.C.leastabsoluteSliriiikageadselectionoperator(LASSO)model.10.WliichofdienedodsMartinconsiderstoaddresspotentialfeatureelationistlemostsuitable?A.Metliod1B.Method2C.Metliod3EconomicsTHEFOLLowlNGINFORMATIONRELATESTOQUESTIONS11-16CharlesHollingsworthisauinvestmentstrategistatDrawbridgeAssetPaiuiers(Drawbridge),aninternationalinvestmentfin.HeismeetingwithequityanalystAndrewGillibrandaudfixed-incomeanalystElianaNavaotodiscussnewinvestmentOppommitiesandtheenomicfactorstheyshouldnsiderastheymaketheirinvestmentselections.HolliiigsworthbeginsthemeetiiigwithtlefollowingStateiuent:44Befbrewelookatnewinvestmentopportunities.Iwaintoreviewsomepriortransactions.Afewmonthsago.Drawbridgeenteredintoacayhadeinasetofcurrencies.Thismoniiiig,wewereUiifbiliinatelyforcedtocloseoutthepositionatasizablelossasaresultofmexpectedmarketvolatility.,Hollingsworthcontinues:44Earlierintheyear.DrawbridgehedgedalongexposuretotheAustraUandollar(AUD)bysellingAUD5millionforwardagainsttheUSdollar(USD);theall-illforwardpricewas0.8940(USD/AUD).Itisnowthreemonthspriortotlese11lementdate,andIwaintomarietleforwardpositiontomarket."Exliibit1providesifonationaboutcurrentratesintleforeignexchangemarkets.Exhibit1CurrentForeignExchangeDataSpotrate(USD/AUD)0.9062/0.9066Three-monthpoints-36.8/-36.4Three-monthLibor(AUD)2.88%Three-monthLibor(USD)0.23%Onmpletionoftheagendaitemsrelatingtotheforeignexchangemarkets.Holliiigswoilliadhisteammoveontonewinvestmentopportunities.Theybeginwithadiscussionabouttherelationshipbetweeneconomicgrowandtheperfbaceofequityanddebtmarkets.Gillibrand:fcfcWlienweconsiderourequityinvestmentsoverthelongten.orprimaryfocusshouldbeOntherateofGDPgrowth.Forlongertimehorizons,changesiuearningsandthepriceeaigsmultiplearerelativelylessimpo11atindeteimiiiiiigappreciationillthestockmariet.*Navarro:'*Whenwelookatourfixed-incomeinvestments,weshouldkeepinmindthathigherratesofpotentialGDPgrowthwilltranslateintohigherrealinterestratesandhigherexpectedrealassetreturns.”Holliiigsworth:"AnticipatingchangesipotentialGDPcanbequitelucrativeforusbecausecreditratiugagenciesoftenusethegrowthofpotentialGDPasaninputinevaluatingsovereignrisk.Ingeneral,thereisaninverserelationshipbetweenestimatedpotentialGDPgrowthandCreditquality/*TheeconomicgrowthprojectionsfortwoofthecountriesinwhichDrawbridgeisconsideringmakingnewinvestmentsarepresentedExliibit2.Holliiigswortl)preferstheSolowgrowthaccountingequationtocalculatepotentialGDPgrowthratherthanemoresimplisticlaborproductivitygrowthaccomtingequation.Exhibit2Long-TermGrOwthProjectionsCountryIuflationRate(%)GrorthinTotalFactorPnxhictixity(%)OutputElasticityofCapitalGrOWthRateofCapital(%)GrowthRateofLabor(%)CouiitryA1,7L50.33.20.4CountryBL81.30.43.70.5Theconversationthenturnstothetopicofnvergence.Navanosays:fcfcEventhoughCountryB'spercapitagrowtlisexpectedtoexceedthatofCountryAforsometime,accordingtothenclassicalmodel,eventuallybothcountrieswillexperiencethesamegrowthratebecausethemodelassumesallcountrieshaveaccesstothesametechnology."Hollingsworthpresentsthelong-termrelativeperformanceofCountriesCandD.showniExhibit3.Althougl)bothcoutrieshadbelow-avagelevelsofpercapitaGDP50yearsago,ovatime,thepercitaGDPgrowthrateofCountryChasrisenrapidlyandfornearly20yearshasbeenwellaboveaverage.ThegrowthrateforCountryD.Iiowever.hasrismoreslowly.Today.CountryCranksamongtheadvancedeconomieswhereasCountryDremainsadevelopingnation.Exhibit3RealPerCapitaGDPGrowthCountryGDP/Capita50arsAgoGDP/CapitaTodayGDPGrowthRateoverPast50YearsCountryC6.95035.1903.30%CountryD8,24020,4101.83%11.TlieprimaryfactorttatwasmostlikelytlecauseofDrawbridge'soutcomeinitscarrytradewas:A.stop-lossorders.B.fliglttosafety.C.leverage.12.Themark-to-maricetvalueforDrawbridge'sforwardpositionisclosestto:A.-USD44.774.B.-USD44,800.C.-USD42.576.13.Wliichofthestatementsabouteconomicgrowthanddieperformanceofequityaddebtmarketsistheleastaccurate?A.Navarro,sB.Hollingsworth'sC.GillibrandvS14.BasedonthedataiExliibit2,theGDPgrowthrateiuCoiuitiyAusingHolliiigswortlfsprefenedmethodofcalculationisclosestto:A.2.74%.B.2.94%.C.2.86%.15.Navarro'sstatementabouttheconvergenceofgrowthbetweenCountryAadComitryBisbestdescribedas:A.conditionalconvergence.B.clubnvergence.C.absoluteconvergence.16.CountryD'scuenteconomicstatuscanbestbee)lainedbypastgovernmentpoliciesthatencouraged:A.domesticsubstitutes.B.foreigninvestment.C.freetrade.FinancialReportingandAnalysisTHEFOLLoWlNGINFORMATIONRELATESTOQUESTIONS17-20JavierCasado,ananalystuomanagesfluidsforhigh-net-worthinvestors,isevaluatingBardemS.A.(Bardem)asapossibleadditiontoalargeinvestmentportfolio.Bardem,basedinMadrid.Spain,isamanufacturingfirmthat叩ecializesipackagingmaterials.ThecompanyreportsusingIFRS,anditsreportingcurrencyistheEro.CasadoIeanistlatBardeinacquireda25%stakeiAriaiiaShippingS.A.(Ariaiia)on1January2020.Ariana,whichisbasediGreece,hasboughtpackagingspliesfromBardemitlepastbasedoncatalogprices.CasadobelievesthatthepurchasewillchangedierelationshipbetweenthetwoconaniesadwillalsoaffectBardenfsfinancialreporting.Hementionstoacoworker,AiiaDoIningties,tlatdiepricepaidbyBardemfortleAriaiiashareswas80million.DominguestellsCasadothatBardem'spurchaseofAiiaiia'sequitywilllikelyallowBaidemtoinfluenceAriana'sfinancialandoperatingpfbuance.Asaresult,Shestates,Baidemwillberequiredtousedieequitymethodofaccountingforthisinvestment.CasadorepliestlattheequitymethodofaccountingisonlyrequiredunderIFRSforjointvahresorwhentleinvesteeholdsaseatontleassociate'sboadofdiectors.Bardempreparesthefollowingtabletoexaminethepurchasemoreclosely.Exhibit1Book%lesandFairhlesofA*iaaShippingAssetsandLiabilitiesasof31December2019(millions)BookValueFair'blueCurrentassets1515Plantandequipment230275Land1115345405LiabilitiesIlOIlONetassets235295DomiiigiiessaystlatsheisncemedthatBardemdidn'tSiifTicientlyinvestigateArianabeforediepurchase,giveneconomicuncertaintysn*oudiugGreekcompanies.SheasksCasadowhatwillhappentoBardein,sfinancialstatementsifthevalueofArianaispeuanentlyimpakedduetobusinesslossesootherdemonstrableevents.Casadorepliesthatiftheequitymethodisnotrequired,thentherewillbenoimpact.However,iftheequitymethodisused,hestates:1Goodwillmustbesq>aratelytestedforinainnet.2Impaiimentlossescannotbereversedeveniffairvaluelaterincreases.3Impairmentlossesexceedingthegdwillvalueareallocatedpro-rat