8.2017年6月CFA2级Mock Exam PM（答案版）

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. KEY = A CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 3 Study Session 1- 3-a Explain the objectives of the Research Objectivity Standards. A is correct. Conflicts of interests are not eliminated through the implementation of the CFA Institute ROS. One of the CFA Institute ROS objectives is to promote policies and procedures that minimize and manage conflicts of interests that may jeopardize a Research Analysts independence and objectivity. 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 KEY = B CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 4 Standard 1.0 Research Objectivity Policy Study Session 1- 3-b Evaluate company policies and practices related to research objectivity, and distin- guish between changes required and changes recommended for compliance with the Research Objectivity Standards. B is correct. The CFA Institute ROS requires the formal written policy on the inde- pendence and objectivity of research to be disseminated to all employees of the firm, not just those involved with the preparation of research reports and their supervisors. 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 42017 Level II Mock Exam PM KEY = A CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 4 Standard 6.0 Relationships with Subject Companies Study Session 1- 3-b Evaluate company policies and practices related to research objectivity, and distin- guish between changes required and changes recommended for compliance with the Research Objectivity Standards. A is correct. Standard 6 Relationships with Subject Companies prohibits research analysts from directly or indirectly promising a subject company a specific price target or rating. This is a requirement of Standard 6, not just a recommendation. 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 KEY = C CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 4 Standard 7.0 Personal Investments and Trading Requirements and Recommendations Study Session 1- 3-b Evaluate company policies and practices related to research objectivity, and distin- guish between changes required and changes recommended for compliance with the Research Objectivity Standards. C is correct. Evergreens trading restrictions for all employee transactions is stricter than that required or recommended within Standard 7.0 Personal Investments and Trading. Evergreen requires all employees to report all transactions, whereas Standard 7.0 only requires covered employees to report their transactions. Standard 7.0 does not require or recommend that transactions in diversified investment companies be reported. The trading restriction period is consistent with recommendations for Standard 7.0 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.” KEY = B CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 4 Standards 2.0 Public Appearances, and 7.0 Personal Investments and Trading Study Session 1- 3-b 52017 Level II Mock Exam PM Evaluate company policies and practices related to research objectivity, and distin- guish between changes required and changes recommended for compliance with the Research Objectivity Standards. B is correct. Standard 2 Public Appearances requires the disclosure of personal and firm conflicts of interests to the host or interviewer and where possible to the audience. Since Osram is in a position to benefit personally from his spouses interests in the firm he is recommending, the spouses investment position should be disclosed. 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 KEY = C CFA Institute Research Objectivity Standards Modular Level II, Vol. 1, Reading 3, Section 4 Standards 3.0 Reasonable and Adequate Basis, 8.0 Timeliness of Research Reports and Recommendations, and 11.0 Rating System Study Session 1- 3-b Evaluate company policies and practices related to research objectivity, and distin- guish between changes required and changes recommended for compliance with the Research Objectivity Standards. C is correct. By using another analysts research information, Shera violated Standard 3 Reasonable and Adequate Basis. Firms must be able to provide supporting information for the investment recommendation to investing clients. Shera would not be able to provide this as she did not do her own research, prepare her own financial model to determine the target price, nor did she independently verify the information in the sell side analysts report. 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 (continued) 62017 Level II Mock Exam PM 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. 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 Exhibit 1 (Continued) 72017 Level II Mock Exam PM ANOVA Degrees of Freedom (DF) Sum of Squares (SS) Mean Square (MS) 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. KEY = C Correlation and Regression, Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA Modular Level II, Vol. 1, Reading 9, Section 3.3 Study Session 3- 9-f Calculate and interpret the standard error of estimate, the coefficient of determination, and a confidence interval for a regression coefficient. C is correct. SEE SSE = = = n2 0 1802 58 0 00310 0557 1 2 1 2 . . 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 Exhibit 2 (Continued) 82017 Level II Mock Exam PM C 3 KEY = A Correlation and Regression, Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA Modular Level II, Vol. 1, Reading 9, Sections 3.2, 3.4, and 3.5 Study Session 3- 9-f, g Calculate and interpret the standard error of estimate, the coefficient of determination, and a confidence interval for a regression coefficient. Formulate a null and alternative hypothesis about a population value of a regression coefficient, and determine the appropriate test statistic and whether the null hypothesis is rejected at a given level of significance. A is correct. The p-value of 0.80 for the intercept implies that there is about an 80% chance that the true value of the intercept is not significantly different from zero. Therefore, conclusion 1 is incorrect. 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. C 0.06297. KEY = C Correlation and Regression, Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA Modular Level II, Vol. 1, Reading 9, Section 3.7 Study Session 3- 9-h, i Calculate a predicted value for the dependent variable, given an estimated regression model and a value for the independent variable. Calculate and interpret a confidence interval for the predicted value of a dependent variable. C is correct. The predicted value equals the intercept plus the coefficient times the value of the independent variable: 0.001795 + (1.08601 0.05633) = 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. KEY = B Multiple Regression and Issues in Regression Analysis, Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA Modular Level II, Vol. 1, Reading 10, Section 2.3 Study Session 3- 10- g Calculate and interpret the F-statistic, and describe how it is used in regression analysis. 92017 Level II Mock Exam PM B is correct. The F-statistic is calculated as follows: (Reading 10, equation 4) F k nk = +() = MSR MSE RSS SSE 1 0 2244 2 0 1705 57 0 1122 0 0030 3 . . . . 7 7 51. where MSR = Mean regression sum of squares MSE = Mean squared error, SSE/n