8.2017年6月CFA2级Mock Exam PM（试题版）

2017 Level II Mock Exam PM The afternoon session of the 2017 Level II Chartered Financial Analyst Mock Examination has 60 questions. To best simulate the exam day experience, candidates are advised to allocate an average of 18 minutes per item set (vignette and 6 multiple choice questions) for a total of 180 minutes (3 hours) for this session of the exam. QuestionsTopicMinutes 16Ethical and Professional Standards18 712Quantitative Methods18 1318Economics18 1924Financial Reporting and Analysis18 2530Equity18 3136Equity18 3742Fixed Income18 4348Derivatives18 4954Alternative Investments18 5560Portfolio Management18 Total:180 By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam prepara- tion only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose. 2017 CFA Institute. All rights reserved. 22017 Level II Mock Exam PM 2017 LEVEL II MOCK EXAM PM Amanda Austin Case Scenario Amanda Austin is the CEO and founder of Austin Research Consultants. The firm advises investment banks on how to establish and sustain profit- making research divi- sions. Her latest client is a newly established investment bank, Evergreen Investment Bank (Evergreen). As part of her consultancy assignment, she has been asked to implement policies and procedures to help Evergreen claim compliance with the CFA Institute Research Objectivity Standards (CFA Institute ROS). Austin subsequently drafts an Independence and Objectivity of Research Policy and Procedures Manual. To ensure that all staff members understand Evergreens new research policies and procedures, Austin holds a training session for the group to discuss the requirements of the CFA Institute ROS. She starts off the session describing the objectives of the standards. “The CFA Institute ROS helps firms implement and enforce policies and procedures to eliminate analysts conflicts of interest, thereby ensuring their indepen- dence and objectivity. Adopting the standards also supports self- regulation by creating specific, measurable, and demonstrable standards as well as by providing a favorable work environment that supports, and encourages ethical behavior by the analysts.” Austin continues and informs Evergreens staff that once the policy and procedures manual is finalized, she will communicate its availability to all of the firms clients and prospective clients to assure them that the firm is acting in an ethical and professional manner. In addition, a hard copy of the manual will be sent to all research analysts and their supervisors to ensure the implementation of and ongoing compliance with the policy and procedures. Austin proceeds to talk about the specifics of the CFA Institute ROS and discusses Standard 6.0 Relationships with Subject Companies. In her draft policy, she made the following suggestions for implementation: Suggestion 1 Evergreens analysts should not promise a subject company a specific target price or rating. Suggestion 2 Only factual portions of the report should be sent to the subject company prior to publication for verification. Suggestion 3 Material gifts or entertainment provided by the subject company should be accepted only if allowed by the firms policies. Austin continues by explaining the new personal trading policies. She states that Evergreen requires all employees to report all of their transactions, except for those in diversified investment companies, that are subject to trading restriction periods of 30 days before a report issuance and 5 days after an issuance, unless significant news has been announced. In addition, those same employees can make trades that are contrary to the firms investment recommendation only when under financial duress; however, evidence of the duress must be supplied and approved in advance by the compliance officer. During the question and answer session, Ted Osram, one of Evergreens research analysts, says to Austin, “I am often invited to appear on investment- related televi- sion programs to discuss my recommendations. Should I fully disclose my spouses shareholding in the company I am speaking about in addition to my own? I see from your draft policy that I need to disclose only my personal investments and trading when making public appearances.” Christine Shera, a research analyst, states that she would like to discuss her last research report as it relates to the CFA Institute ROS. She continues, “I recently issued a research report on a company that was based on a report I received from a 32017 Level II Mock Exam PM sell- side analyst whom I know to be thorough and competent. I liked her ideas, so with her permission and acknowledgement, I replicated portions of her report. The sell- side analysts report was so thorough I did not have to add much to my report. But I did add my own recommendation, risk rating, and a time frame over which I think her target price will be met. Her report was published just two days after she visited the companys management, and I sent my report to our clients only one day after I received her report, so I know the information was timely.” 1 Austins description of the objectives of the CFA Institute ROS is least likely correct with regard to the impact of: A policies and procedures. B self- regulation. C the firms work environment. 2 Does Austins communication plan for the Independence and Objectivity of Research Policy and Procedures Manual most likely meet the requirements of the CFA Institute ROS? A Yes B No, with regard to distribution to the analysts and their supervisors C No, with regard to the availability to clients and prospective clients 3 Which of Austins suggestions regarding Standard 6.0 Relationships with Subject Companies is most likely a CFA Institute ROS requirement rather than a recommendation? A Suggestion 1 B Suggestion 2 C Suggestion 3 4 Which of Evergreens personal trading polices is most likely stricter than required or recommended by the CFA Institute ROS Standard 7.0 Personal Investments and Trading? A The types of transactions that need to be reported B Trading contrary to the firms recommendation C Trading restrictions for all employees 5 What is Austins most appropriate response to Osrams question with regard to the CFA Institute ROS requirements? A “No, you are required to fully disclose any investments of the firm or what you own personally only when a direct conflict of interest is present.” B “You should disclose your spouses interests. I will revise the policy to reflect this requirement.” C “You need to make a disclosure regarding your spouses interests only when you are actively marketing the company you are discussing.” 6 Which of the CFA Institute ROS did Shera most likely violate by issuing her last research report? A Standard 8.0 Timeliness of Research Reports and Recommendations B Standard 11.0 Rating System C Standard 3.0 Reasonable and Adequate Basis 42017 Level II Mock Exam PM Garfield Case Scenario Jordan Garfield, an analyst for a firm that specializes in international equities, is investi- gating the behavior of HighTech Inc., a technology stock. He believes its returns should be influenced by the return on the NASDAQ index, as many analysts suggest. Garfield collects five years of monthly returns from 2005 to 2009 for the NASDAQ index. Garfield estimates a simple linear regression using the NASDAQ return to explain the variation in HighTechs return. The summary output from this analysis is shown in Exhibit 1. Exhibit 1 Garfields First Regression Model Summary Output Regression of HighTech Returns on NASDAQ Index Returns, 20052009 CoefficientStandard Errorp-Value Intercept0.0017950020.0072095890.804260285 NASDAQ return1.0860056610.1306208350.000000000 ANOVA Degrees of Freedom (DF)Sum of Squares (SS)Mean Square (MS) Regression10.2147436450.214743645 Residual580.1801810240.003106569 Total590.394924669 Multiple R0.737399823 R-squared0.543758499 Standard error of estimate Observations60 Garfield presents the regression results to the investment committee with the following three conclusions: 1 The regression intercept is statistically significant. 2 The model explains more than half of the variation in HighTechs returns. 3 The NASDAQ index return and the HighTech return are positively correlated. The committee asks Garfield whether he can use the model to predict the return on HighTechs stock. Ram Gupta, a committee member, asks: “What would HighTechs return be in a month when the return on the NASDAQ index is 0.05633?” Another committee member, Riko Samora, thinks that the simple regression model omits important factors that might affect HighTechs performance. Samora believes that because more than 40% of HighTechs customers are in Tokyo, the value of the Japanese currency should influence HighTechs sales and that the models significance would considerably improve if Garfield considers this fact. Following Samoras suggestion, Garfield runs a multiple linear regression adding the change in the JPY/USD exchange rate as a second independent variable. The results from this regression are shown in Exhibit 2. 52017 Level II Mock Exam PM Exhibit 2 Garfields Second Regression Model Summary Output Regression of HighTech Returns on NASDAQ Index Returns and JPY/USD Changes, 2005- 2009 Coefficient Standard Errort-Statisticp-Value Intercept0.0002140.0071276490.0300250.976152 NASDAQ return1.1220960.1302162568.6171730.000000 JPY/USD change0.28642620.2917001440.9819190.330289 ANOVA Degrees of Freedom (DF) Sum of Squares (SS) Mean Square (MS) Regression20.2244261490.112213075 Residual570.1704985190.002991202 Total590.394924669 Multiple R0.753840729 R-squared0.568275844 Adjusted R-squared 0.553127628 Standard error of estimate 0.054691883 DurbinWatson (DW) 2.02 Observations60 Garfield presents the new results to Samora, who asks him two questions: 1 Are the results of this second regression significant? 2 Do you suspect that the model has problems with multicollinearity or serial correlation? Garfield responds to the Samoras questions by examining the F-, t-, and DW statistics in the regression output to see whether they are significant. 7 The standard error of estimate of the regression model shown in Exhibit 1 is closest to: A 0.0031. B 0.1802. C 0.0557. 8 Which of Garfields conclusions to the investment committee about the findings from his first model (Exhibit 1) is least likely correct? Conclusion: A 1 B 2 C 3 9 In response to Guptas question about predicting HighTechs return, Garfields prediction (in decimal form) will be closest to: A 0.06118. B 0.04333. 62017 Level II Mock Exam PM C 0.06297. 10 Using the results shown in Exhibit 2, the value of the F-statistic is closest to: A 9.63. B 37.51. C 16.76. 11 Based on the results of the regression model shown in Exhibit 2, the best conclusion Garfield can make about a hypothesis that the coefficient JPY/USD change is zero is to: A reject the alternative hypothesis. B reject the null hypothesis. C fail to reject the null hypothesis. 12 In preparing his response to Samoras second question, Garfields most appro- priate conclusion is that the model: A has multicollinearity but not serial correlation. B has serial correlation but not multicollinearity. C does not have either multicollinearity or serial correlation. CapFX Partners Case Scenario Alexandra Beauregard was recently hired as an analyst at CapFX Partners, a United States based currency trading firm that maintains offices in major financial centers around the world. Beauregard assists CapFX foreign currency strategist Robert Thibodeaux. The firm executes trades for clients and manages a foreign currency investment fund. Beauregard is meeting with Thibodeaux to discuss the characteristics of the foreign exchange markets. Thibodeaux explains that knowing what establishes a currencys real long- term equilibrium value helps investors manage risk exposure. “To better serve our clients and maximize the performance of our investment fund we need to be able to filter out the short term noise in exchange rates so that we can better understand their likely direction over the long term.” He notes that the International Monetary Fund (IMF) uses a three- pronged approach to assess the long- run equilibrium value of exchange rates. “Of the three, I prefer the approach that is based on several economic factors including trends in a countrys net foreign asset position and terms of trade.” Beauregard has concerns about the firms experiences during currency crises. She recalls reading a study produced by the IMF that an impending currency crisis is signaled by numerous economic variables. She makes the following statements with regard to some of these variables: 1 Trade balances exhibit substantial decline prior to the crisis. 2 A country has distinctive economic growth patterns ahead of the crisis. 3 Inflation is significantly higher in the pre- crisis period. Thibodeaux notes that while fundamental- based models are useful in explaining longer- term trends in exchange rates, they are of limited value when it comes to explaining short- term trends. He explains: “Technical analysis, as well as order flow, sentiment, and positioning indi- cators have been more successful for short- term exchange rate forecasting,” 72017 Level II Mock Exam PM The discussion of short- term exchange rate forecasting continues with the fol- lowing comments: Beauregard:“Technical analysis is not likely to benefit our emerging market trades because the currencies are thinly traded.” Thibodeaux:“Utilizing trend following in our carry trade strategy should protect us from experiencing losses in a market unwind.” Beauregard:“Monitoring market sentiment by following the trend in risk reversals should enable us to predict and confirm cur- rency rate movements on our trades.” Thibodeaux and Beauregard discuss some of CapFXs recent trades using the cur- rency quotes and rates provided in Exhibits 1 and 2. For all currency pairs provided the notation used is, for example: USD/AUD: US dollars per Australian dollar. Based on the data in Exhibit 1, a European client recently entered into a one- year JPY/EUR carry trade based on the projected outlook for the two currencies. A Hong Kong based client producing electronic components, signed a long- term contract to deliver components to a Canadian aircraft parts manufacturer. The client wanted to estimate the hedging cost for a sale scheduled to close in nine months. Based on the data presented in Exhibit 2, the client entered into a nine- month (270- day) HKD/CAD forward contract. Exhibit 1 Interbank Currency Quotes and Libor Rates Currency Pair Bid (Spot) Offer (Spot) Projected Spot in One Year One- Year Libor Rates USD/AUD0.70500.70830.7148JPY 0.15% USD/EUR1.08511.08731.0984USD 0.90% JPY/USD117.62117.66118.32EUR 1.40% AUD 1.75% Exhibit 2 Interbank Currency Quotes and Libor Rates Currency PairBid (spot)Offer (spot) 270- Day Libor (Annualized) HKD/CAD5.60195.6037HKD 0.50% CAD 2.16% 13 The approach preferred by Thibodeaux to assess the long- run equilibrium value of exchange rates is best described as the: A reduced- form econometric model. B macroeconomic balance approach. C external sustainability approach. 14 Which of Beauregards statements regarding a currency crisis is the most accurate? 82017 Level II Mock Exam PM A Statement 3 B Statement 2 C Statement 1 15 Which of the comments about short- term exchange rate forecasting is the most accurate? The comment by: A Beauregard regarding their emerging market trades. B Beauregard regarding monitoring market sentiment. C Thibodeaux regarding their carry trade strategy. 16 Based on the data in Exhibit 1, the bid EUR/AUD cross- rate implied by the interbank market is closest to: A 0.6497. B 0.6484. C 0.7650. 17 Based on the data in Exhibit 1, the expected net investment return on a one- year carry trade based on the JPY/EUR currency pair, measured in JPY terms, is closest to: A 2.86%. B 3.10%. C 3.01%. 18 Using Exhibit 2, the mid- market forward premium (discount) for a 270- day forward contract for HKD/CAD is closest to: A 0.0686. B 0.0697. C 0.0913. Rhine AG Case Scenario Claus Petersen, a pension fund equity analyst, is preparing an analysis of Rhine AG (Rhine) for the upcoming quarterly fund meeting. Rhine is a German based manu- facturer that operates three distinct divisions: Childrens Products (infant car seats, strollers, cribs, etc.), Recreational Products (bicycles, bicycle trailers, etc.), and Home Furnishings (contemporary furniture). All three divisions sell through retail outlets around the world. The company has been pursuing an aggressive growth strategy, achieved through both foreign acquisitions and organic growth. Petersen is interested in determining how well Rhine is allocating its resources between the three divisions and the effects of the foreign acquisitions on overall performance. Exhibit 1 summarizes selected divisional and corporate data for 2013 and 2012. Exhibit 1 Rhine AG Selected Divisional and Corporate Data (in millions) Total for 3 divisionsChildrens Products Recreational ProductsHome Furnishings 20132012201320122013201220132012 Revenues2,837.12,775.51,176.21,236.21,034.1930.0626.8609.3 Gross profit621.4640.8296.6337.6246.0220.378.882.9 Operating profit172.7219.464.7115.772.9 92017 Level II Mock Exam PM Total for 3 divisionsChildrens Products Recreational ProductsHome Furnishings 20132012201320122013201220132012 Earnings before taxes 136.6170.0 Net earnings after tax 109.9132.3 Total Assets2,498.02,479.51,270.91,249.6961.5948.5265.6281.4 Capi