Kaplan考试和QBank二级（考友版）：V2阶段考试2 PM（题目+解析）.docx

CFALevel11Questions#1-6of60Questions61through66relatetoEthicalandProfessionalStandards.UnitedPartnersCaseScenarioConnorBurton,CFA,isthemanagingpartnerf(rUnitedPartners,asmallinvestmentadvisoryfirmthatemploysthreeinvestmentprofessionalsandcurrentlyhasapproximately$250millbnofassetsundermanagement,TheclientbasefInitedPartnersisvaried,andaccountsrangeinsizefromsmaUi'etirementaccountstoa$30millionprivateschoolendowmentInadditiontoBurtonsadministrativeresponsibilitiesasthemanagingp?irtner<tUnited,healsoservesasaninvestmentadvisortoseveralclients.BecauseUnitedPartnersisasmallfii'm,thecompanydoesnotempIoyanyresearchanalystsbutinsteadObtainSitsinvestmentresearchproductsandservicesfromtwonationalbrokeragefirms,whichinturnexecuteallclienttradesforUnitedPartners.ThearrangementwiththetwobrokershasenabledUnitedtoassureitsclientsthatthefnwillalwaysseekthebestexecutionforthembyhavingbothbrokerscompetitivelybidforInitedsbusiness.Aprospectiveclient,HaroldCrossley,hasapproachedBurtonaboutshiftingsomeofhispersonalassetsundermanagementfromMoneyCorptoUnitedPartnersBurtonprovidesCrossleywithapacketofmarketinginformationthatBurtondevelopedhimselfThepacketcontainsfiveyearsofhistoricalperformancedataforavalueweightedcompositeofthefirmsdiscretionaryaccounts.BurtonstatesthatthecompositesmanagementstyleandperformanceresultsarerepresentativeofthemanagementstyleandreturnsthatUnitedcanbeexpectedtoachieveforCrossley.AlsoincludedintheinformationpacketarebriefbiosoneachofUnitecfSthreeinvestmentprofessionals.CrossleynoticesthatallthreeofUniterfsinvestmentprofessionalsaredescribedasTFAcharterholders>*butheisnotfamiliarwiththedesignationInresponsetoCrossleysinquiry,Burtonexplainsthesignificanceoftheprogrambystatingthatthedesignation,whichisonlyawardedafterpassingthreerigorousexamsandobtainingtherequisiteyearsfworkexperience,representsaCOmmitmRnttothehigheststandardsofethicalandprofessionalconductAsaconditionofmovinghisaccounttoUnitedPartnerCrossleyinsiststhatallofhistradesbeexecutedthroughhisBrotheiHrHaw,abrokerforSecurityBank.SecurityBankisalarge,NewYork-basedbroker/dealerbutisnotoneofthetwobrokeragefirmswithwhichUnitedcurrentlydoesbusiness.BurtoncontactsCrossleySbmtherjin-lawanddeterminesthatSecurityBank*stradeexecutioniscompetitivebutCrossleysaccountalonewouldnotgenerateenoughvolumetowarrantanysoftdollaraangementforresearchmaterialslHoweverCrossleysbrotherdrrlawdoesofferforSecuiityBanktopayareferralfeetoBurtonfordirectinganyofUnitedSclientstoSecurityBank*Sretailbankingdivision.TobringCrossleyonasaclient,BurtonagreestothearrangementGoingforward,BurtonwilluseSecurityBanktoexecuteallMCrossleystrades.UnitedPartnerscurrentlyhasnoformalpolicyonproxyvoting.BurtonwantstodevelopapolicythatconformstotheCodeandStandards.Severalmonthslater;Burtonisinvitedtoaroadshowforaninitialpublicoffering(IPO)forSolutionWare,asoftwarecompany.SecurityBankisservingasleadunderwriteronSolutionWareSIPO.Burtonattendsthemeeting,whichisledbytwoinvestmentbankersandonesoftwareindustryresearchanalystfromSecurityBankwhocoversSolutiWaraBurtonnotesthatthebankersfromSecurityBankhaveincludeddetailedfinancialstatementsforSolutionWareintheofferingprospectusandalsodisclosedthatSecurityBankprovidesawarehouselineofcredittoSolutionWare.Afterthemeeting.BurtonCallsCrossleytocommendthepurchaseofSolutionWareequityCrossleyheedsBurtonsadviceandtellshimtopurchase5,OOOsharesBeforeplacingCrossleysier;BurtonreadstheSolutionWaremarketingmaterialsandperformsadetailedanalysisCfexpectedfutureearningsandotherkeyfactorsfortheinvestmentdecisionBurtondeterminesthattheofferingwouldbeasuitableinvestmentforhisownretirementportfoliUnitedPartners,beingasmallfc¼hasnoformalWrittenpolicyregardingtradeallocation,employeeparticipationinequityoffeiings,orestablishedblackoutperiodsfcremployeetrading.BurtonaddshisordertoCrossleySorderandplacesapurchaseorderforthecombinednumberofsharesWithSecurityBankBurtonislaternotifiedthatthedTeringWaSoversubscribed,andUnitedPartnerswasonlyabletoobtainroughly75%ofthedesirednumberofshares.Tbbefail；BurtonallocatesthesharesonaProTatabasisbetweenCrossleysaccountandhisownretirementaccountWhenBurtonnotifiesCrossleyofthesituation,Crossleyisnonethelesspleasedtohaveaposition,thoughsmallerthanrequested,insucha"hot"offering.Question#1of60QuestionID:1220742DidthemarketingmaterialspresentedtoCrossleybyBuitonviolateStandardI11(D)PerformanceP,esentationorStandardVI1<B)ReferencetoCFAInstitute,theCFADesignation,andtheCFAProgram?A)StandardHI(D)only.B)StandardVll(B)only.C)BothStandardIII(D)andStandardVll(B)areviolated.Question#2of60QuestionID:1220743AccordingtotheCFAInstituteStandardsofProfessionalCondUCLthetradingarrangementbetweenBurtonandSecurityBankismostHkely.A)aviolationbecausethepracticeofdirectedbrokerageviolatesthemembeFSdutyofloyaltytotheclientB)adolationbecausealthoughSecurityBanksexecutioniscompetitiveBurtonWiilnotbeabletoalwaysobtainthebestexecutionforhisclientC)notaviolationbecausethebrokerageisthepropertyoftheclientQuestion#3of60QuestionID:1220744AccordingtoCFAInstituteStandardsofProfessionalConduct,whichofthefollcwingstatementsbestdescribesthecircumstancesunderwhichBurtonmayenterintothereferralagreementWithSecurityBank?Buitonmayenterintotheagreement:A)undernocircumstancesB)onlyafterreceivingrittenpermissionfromclients.C)onlyafterfullydisclosingthereferralarrangementtoclientsandprospectiveclients.QuestionID: 1220745Question#4of60Whenformulatingtheproxyvotingpolicy,whichofthefollowingisleastappropriateforBurtontoinclude?A)Determinetheeconomicimpactfnon-routineproxyvotes.B)Treatallproposalsequallyasfarasproxyvotinggoes.C)Iftheclientpreferencediffersfromtheproxyvoterspreference,defertoclientWishes.Question ID: 1220746Question#5of60AccordingtoCFAInstituteStandardsOfProfessionalConduct,BurtonsrecommendationtoCrossleythathepurchasesharesoftheSolutionWareinitialpublicofferingismostlikely.A)inViOlationofStandardTTT(C)SuitabilityfornotdeterminingtheappropriatenessoftheinvestmentfartheportfolioandStandardI(B)IndependenceandObjecti,ityfornotmakingtheinvestmentrecommendationtoallofhisclientsattheSametimeB)inviolationofStandardV（八）DiligenceandReasonableBasisfornotthoroughlyanalyzingtheinvestmentbeforemakingarecommendationandinviolation&StandardI11C)Suitabilityfornotdetenuiningtheappropriatenessftheinvestmentfortheportfolio.C)inviolationofStandardV（八）DiligenceandReasonableBasisfornotthoroughlyanalyzingtheinvestmentbeforemakingarecommendationandinviolation&StandardI(B)IndependenceandObjectivityfornotmakingtheinvestmentrecommendationtoallofhisclientsatthesametime.QuestionID: 1220 7 4 7Question#6of60AccordingtoCFAInstituteStandardsofProfessionalConduct,ButtonsparticipationintheSolutionWareoffeingmostlikely.A)isinviolationoftheStandaidsbecausehisactionsadverselyafiectedtheinterestsofCross!ey.B)isinviolationoftheStandardsbecausehedidnotdisclosehisparticipationintheofferingtoSecurityBank.C)isnotinviolationoftheStandardssincetheShareSobtainedintheIPOweredistributedequitablyonaproatabasisQuestions#7-12of60Questions67through72relatetoQuantitativeMethods.MadisonConsultantsCaseScenarioErnieSmithandJamalSimsareanalysts,iththenofMadisonConsultantsMadisonrovidesstatisticalmodelingandadvicetoportfoliomanagersthroughouttheUnitedStatesandCanada.InanefforttoestimatefuturecashflowsandvaluetheCanadianstockmarket.Smithhasbeenexaminingthecountrysaggregateretailsales.Herunstwoautoregressiveregressionmodelsinanattempttodeterminewhetherthereareanypatternsinthedata,utilizingnineyearsofunadjustedmonthlyretailsalesdataOnemodelusesalagIvariableandtheotheraddsalag12variable.TheresultsofbothregressionsareshowninExhibit1andExhibit2Exhibit1:CanadianAutoregressiveModelWithLag1MultipleR0,91R-square0.83AdjustedR-SqUare"83Standarderror17,252.76Observations108.00ANOVAdfSSMSFSignificanceFRegressionLOO150,813,197,793150,813,197,793506.670.00Residual106.0031,551,7111544297,657,656Total107.00182,364,909,338CoefficientsStandardErrorT-statP-valueIntercept21,750.1610,379.772.100.04Lag10.92Qo42251QOOExhibit2:CanadianAutoregressiveModelWithLag1andLag12RegressionStatisticsfar2ndRegressionMultipleR0.96R-SqUare0.93AdjustedR-SqUare092Standarderror11,336.27Observations108.00ANOVARegressionResidual.00105.00168,87L246,75I13,493,662,58684,435,623,375657.0312511,072<0.01Total107.00182,364»909,338dfSSMSSignificanceFCoefficientsStandardErrorT-statPvalueIntercept-2486L287.872.56-a16<0.01Lag10.300,06522<ftlLag120.84“07IL85<Q01SimshasbeenassignedthetaskofvaluingtheU.S.stockmarketandusesdatasimilai'tothedatathatSmithusesforCanadaHedecides,howevethatthedatashouldbetransformedHRtakesIhQnaturallogofthedataandusesitinthefollowingmodel:lnsalest=b+瓦nsalest-1ParameterestimatesfortheautoregressivemodelandtheactualdataforthetwomostrecentmonthsareshowninExhibit3.Exhibit3:US.AutoregressiveModelIntercept0.0521.ag1coefficient0.684Actualsalesonemonthago(-1)270Actualsalestwomonthsago(2)6184SmithandSimSareconcernedthatthedataforCanadianretailsalesmaybemoreappropriatelymodeledwithanARCHprocess.Smithstates,thatin'dertofindout,hewouIdtaketheresidualsfromtheoriginalautcregressivemodelforCanadianretailsalesandthensquarethem.SimsstatesthattheseresidualswouldthenberegressedagainsttheCanadianretailsalesdatausingthefollowingequation:et-+b1Xvwhereerepresentstheresidualtermsfromtheoriginalregressionand¥representstheCanadianretailsalesdataIf%isstatisticallydifferentfromzero,thentheregressionmodelcontainsanARCHprocess.Smithalsoexaminesthequarterlyinflationdataforanemergingmarketoverthepastnineyears.HemodelsthedataUSinganautoregressivemodelwithalag1independentv<riablewhichhefindsisstatisticallydifferentfrcxzerHewonderswhetherheshouldalsoincludelag2andlag4terms,giventhemagnitudeoftheautocorrelationsoftheresidualsshowninExhibit4>assuminga5%significancelevel.ThecriticalLvalues,assuminga5%significanceleveland35degreesoffreedom,are203foratwcrtailtestandL69foraone-tailtestExhibit4:EmergingMarketAutoregressiveModel1.agAutocorrelation10.082920.129330.02274O.1882Simsisinvestig<tingtheperformanceof5-yearEuropeanandBritishbondsbasedontheactionsoftheU.S.FederalReserve.HeusestheU.S.FederalFundsrateThetworegressionsheusesare:E-bp+bjFFj3,t'%t=b°+b1FFljsjtwhere:FFistheFederalFundsrateintheUnitedStates(US),andBYisthebondyieldintheEuropeanUnion(E)andGreatBritain(B).Beforeherunsthisregression,heinvestigatesthecharacteristicsofthedependentandindependentvariables.HefindsthattheFederalFundsrateintheUnitedStatesandthebondyieldinGreatBiitainhaveaunitrootbutthatthebondyieldintheEuropeanUniondoesnotFurthermore>theFederalFundsrateintheUnitedStatesandthebondyieldinGreatBritainarecointegrated,buttheFederalFundsrateintheUnitedStatesandthebondyieldintheEuropeanUnionarenotQuestion#7of60QuestionID:1220749WhichofthefollowingmodelswouldbethebestformuIationfortheCanadianretailsalesdata?A)Xl-I+b1Xt-.B)Xt=blXt-+b2Xt-13C)Xt=b+bXt-+l½XtT2Question#8of60QuestionID:1220750TheestimateofforecastedsalesfortheUnitedStatesthismonth,usingSims'smodel,isclosestto:A)$6,329.B)$6453.C)$6,667.QuestionID: 1220751Question#9of60ArethecommentsofSmithandSimsontheconstructionofanARCHmodelrrect?A)BothcommentsarecorrectB)OnlySmithiscorrectC)OnlySimsiscorrectQuestion#10of60QuestionID:1220752RegardingSmith*Semergingmarketregression,shouldlag2andlag4termsbeincludedintheregression?A)Neitherlagshouldbeincluded.B)Onlylag2shouldbeincluded.C)Onlylag4shouldbeincluded.Question#11of60QuestionID:1220753WillSims,SregressionsofEuropeanandBritishbondyieldsontheI.SFederalFundsrateproducevalidresults?A)NeitherRegressionisvalidB)OnlyRegression1isvalidC)OnlyRegression2isvalidQuestion#12of60QuestionID:1220754Whichofthefollowingistheappropiiatetestforcointegration?A)Breusch-PagaruB)DurbirrWatson.C)Engle-GrangenQuestions#13-18of60Questions73through78relatetoEconomicsPlatinumAdvisorsCaseScenarioFrankHoskinsandPaulLanningareeconomistsforalargeU.S.investmentadvisoryfirm.PlatinumAdvisors.HoskinsandLanningusetheirindependentresearchonU.S.stocksandinternationalstockstoProVideadviceforthefi*msnetworkofadvisorsAstheSeniGreconomistatPlatinum,HoskinsisapartnerinthefirmandisLanningSsupervisor:LanninghasworkedforBlatinumf<rfouryearsLAta!inchmeeting,thetwoeconomistsdiscusstheusefulnessofeconomictheoryeconomicdata,andtheresultingforecastsoftheglobaleconomicandstockmai'ketactivity.HoskinsisinvestigatingthegrowthprospectsofthecountryofMaldfiviaMaldaviaisaformerlycommunistcountrywithapopulationof3millionlocatedinEasternEurope.TheMaldaviangovernmenthadbeenaggressiveininstitutingpoliticalreformandencouragingthegrowthoffrancialmarkets.However;duetorecentincreasesinstockmarketvolatility;theMaldaviangovernmentisnsideringreigning4ntradingvolumebyimposingataxonstockmarkettransaction*Hoskinsstatesthatthisdevelopmentisnotencouragingforfutureeconomicgrowth.1.anningisexaminingthecountryofPetiuPetraisauntryGf25millionlocatedinSouthAmericaandrichWithnaturalresources,includingoilTherecentlyelectedpresidentofPetraCarlosBaSiIGhasannouncedthathewouldliketoensurethatthecitizensofPetraenjoyIhebenefitsofitsnaturalresourcesratherthanforeignailcompanies,andthatthegovernmentwillnationalizetheseoilcompanies.LanningstatesthatthesechangeswouldnotbebeneficialforthefuturegrowthofthePetrianeconomy.Oneofthemanyitemstheystudywhenexamininganeconomyorstockmarketistheeconomicinformationreleasedbygovernmentsandprivateorganizations.HoskinsandLanningusethisinformationtoadjusttheireconomicgrowthf(recastsandtoaccordinglyadjustportfolioallocationstothebondandstockmarkets.ExamininginformationforMaldavia,HoskinshaslearnedthattheMaldavianprivatesectorhasembarkedonanambitiousplantoincreaselaborproductivitybypurchasingmoremachineryforitsfactoriesPlottingtheproductivitycurveforMaldaviaHoskinsstatesthatlaborproductiityshouldincreasebecausetheproductivitycurvewillshiftup.1.anningisexaminingthehricalrecordofeconomicgrowthinPetraHehasgatheredthedatainExhibit1todeterminepotentialeconomicgrowth.Exhibit1:EconomicDatafarPetrafrom20X1to20X7RealGDPgwthrate3.9%Growthrateincapital1.4%GrOWthrateinlaborforceL9%1.aborcosVotalfactorcostQ521.anningthenturnshisattentiontothecountriesofAliciaandFeliciaHenotesthattheGDPgrowthrateinbothcountriesiscomparable*AliciaScapit<JtolaborratioisUSD5,000.FeliciaScapitaltolaborratioisUSD2,800.Abciahasarelativelyyoungerlaborf<xreandthelaborcostrepresents35%oftotalfactorstBothcountrieshaveextensiverestrictionsonforeigndirectinvestmeritsintheireconomy.IthaslongbeenPlatinum*Spolicyforitseconomiststouselong-termeconomicgrowthtrendstofcrecastfutureeconomicgrowth,stockreturns,anddividendsinacountry;LanningalsoexaminestheeconomyofTiberiaTiberiahasapopulationof11milonandislocatedinnorthernAfricaItsecono