10.2019年6月CFA2级Mock Exam PM（试题版）

2019 Level II Mock Exam PM The afternoon session of the 2019 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 712Ethical and Professional Standards18 1318Quantitative Methods18 1924Economics18 2530Financial Reporting and Analysis18 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 2018 CFA Institute. All rights reserved. 22019 Level II Mock Exam PM 2019 LEVEL II MOCK EXAM PM Jacob Kostecka Case Scenario Jacob Kostecka, CFA, is a portfolio manager at Forkson Investment Management, an asset management and research focused organization. After obtaining his CFA charter last month, Kostecka was transferred to the private wealth management division at Forkson. Dharshi Bope, a private wealth client, was involved in a major motorcycle accident and is in critical condition, fighting for his life. Bope is a single parent with a daughter, Paveen Nathoo, in her mid- twenties. Since the accident, Nathoo has managed her fathers affairs, paying all expenses, including investment advisory fees. In several conversations with Nathoo, Kostecka highlighted Bopes low risk tolerance and invest- ment goal of capital preservation. Nathoo has indicated her interest in managing the account more aggressively and possibly moving to another management firm. Nathoo recently petitioned the court to appoint her full power of attorney to legally manage Bopes affairs. Prior to the court decision, Nathoo asks Kostecka to invest her fathers account in the initial public offering (IPO) of Chatterbox, a highly sought after social media company that has yet to generate a profit. The following week, the court approves Nathoos request to act on behalf of her father. Going through records in her fathers home, Nathoo discovers documents showing Bope embezzled several million dollars from his employer, a real estate development company. Most of these funds were placed directly into Bopes personal account, for which Nathoo is now responsible. Nathoo informs Kostecka about her discovery; however, Kostecka does not act on this information, however, because it is a large account for Forkson. Nathoo establishes a non- discretionary investment account at Forkson tied to her newly established business. Shortly thereafter, Kostecka joins the board of Jabbertalk. com, a smaller social media competitor to Chatterbox. Based on his knowledge of Chatterbox, Kostecka believes the stock of Jabbertalk is a good investment, even though it is not yet profitable. Buoyed by his faith in social media, Kostecka ultimately purchases shares of Jabbertalks IPO for Nathoos account, as well as for all clients he currently manages. When Kostecka informs Nathoo of the purchase, she expresses concern about her legal responsibilities and lack of accounting knowledge in over- seeing the account. Kostecka provides Nathoo a list of recommended professionals he has worked with in the past, including attorneys and accountants. When he was in college 10 years earlier, Kostecka was engaged to one of the attorneys but broke off the relationship prior to their wedding, and one of the accountants was Kosteckas college roommate. Since then, Kostecka has not had any contact with the lawyer and accountant. The Jabbertalk investment is profitable on the first day of trading, doubling from its opening price. Kostecka tells his clients the multifactor valuation model used by Forkson shows Jabbertalk stock is still undervalued. Forksons research report, due out the next day, will recommend investors hold their Jabbertalk shares. However, Kostecka tells all his clients simultaneously they should sell their shares because he believes Jabbertalk is overvalued and the stock price will fall soon. Kostecka notes he has followed through on this belief by selling his personal holdings of Jabbertalk shares. Nathoo ignores Kosteckas recommendation to sell Jabbertalk. Over the next week, the stock declines 75%. Watching Jabbertalks severe share price decline, Nathoo becomes furious with Kostecka because he did not sell shares of Jabbertalk in her account. She files a com- plaint with Kosteckas supervisor, Sally Fang, CFA, claiming she was misled on the value 32019 Level II Mock Exam PM of the IPO in the days immediately after the stock started trading. Kostecka responds to the complaint by telling Fang, “the analyst who wrote the hold recommendation on Jabbertalk has only passed his CFA Level II examination. As a charterholder, I have earned the right to use the CFA designation, so I am more qualified to manage clients investments.” In order to build his client base, Kostecka prepares performance information to show prospective clients. He includes the firms composite performance based on similar discretionary client portfolios that are in compliance with the GIPS Standards. In addition, Kostecka prepares his own composite performance, including all accounts he manages. This presentation includes Nathoos account assuming she had sold her shares of Jabbertalk. Along with his performance record, Kostecka provides a footnote disclosing the following language: “If your account is managed on a discretionary basis, you might expect results similar to those shown above.” 1 With regard to the investment request made by Nathoo to invest in Chatterbox, Kostecka should most likely: A follow Bopes investment goals. B seek advice from the court. C comply with her request. 2 By not acting on the information reported by Nathoo, which CFA Institute Standard of Professional Conduct has Kostecka least likely violated? A Loyalty, Prudence, and Care B Duties to Employers C Knowledge of the Law 3 With regard to investing in Jabbertalk and recommending experts, Kostecka most likely needs to disclose conflicts related to his: A attorney relationship. B board membership. C accountant relationship. 4 In relation to Kosteckas handling of the Jabbertalk stock recommendation, which of the following CFA Institute Standards of Professional Conduct did he least likely violate? A Priority of Transactions B Fair Dealing C Communication with Clients 5 When Kostecka defends himself against Nathoos complaint, he most likely vio- lated the CFA Institute Code of Ethics and Standards of Professional Conduct concerning the: A reference to candidacy in the CFA Program. B misrepresentation of the meaning of the designation. C right to use the CFA designation. 6 Kosteckas performance presentation most likely conforms to CFA Institute Standard III(D)Performance Presentation with regard to: A disclosure in the footnote. B composites representing similar discretionary investment portfolios. C fair and accurate representation of performance. 42019 Level II Mock Exam PM Northside Capital Advisers Case Scenario Brian Patrick, CFA, has recently joined Northside Capital Advisers (Northside) as the firms assistant compliance officer. Northside manages individual accounts with conservative mandates for a variety of retirements funds, as well as individual accounts for high- net- worth investors with long investment horizons. Kyle Sang, CFA, is Northsides chief compliance officer and Patricks supervisor. Sang has been with the firm since its inception and wrote the firms original Code of Ethics and Compliance Manual. Sang provides Patrick with a copy of both documents and asks Patrick to review them. He instructs Patrick to highlight any areas he feels should be revised or enhanced. Patrick lists the items that need to be addressed. The first item on his list is the lack of whistle- blowing guidance for an employee who could potentially find herself in a position of needing to report the firms activities. The second item Patrick adds to his list concerns the responsibilities of supervi- sors. Although the information contained in the Compliance Manual is accurate, he believes it needs to be augmented so the firms supervisors have a clear understanding of their responsibilities. He advises adding the following items to the firms Compliance Manual, recommending Supervisors should do the following: Recommendation 1:Conduct an initial review of the firms Policies and Procedures, and review as necessary to ensure they are con- sistent with applicable laws and regulations. Recommendation 2:Incorporate a professional conduct evaluation as part of the employees performance review. Recommendation 3:Review the actions of all the firms employees, and identify violators. Patrick believes he needs a better understanding of the investment process before he makes any investment- policy- related recommendations. He meets with Staci Canton, the firms chief investment officer. Following his meeting with Canton, Patrick suggests the following enhancements to the firms Compliance Manual related to investment research: Proposal 1:Develop criteria for assessing analysts research quality and contribution, including the accuracy and timing of their recommendations. Proposal 2:Appoint a supervisor to review and approve communication material. Proposal 3:Develop detailed, written guidance that establishes the due diligence procedures. Patrick asks Canton to provide him with a copy of a recent research report that would have been distributed to the firms clients. Patrick is provided a copy of the PT Matias (PT) report, written by Amanda Burt, CFA. PT is involved in the manufacture of aluminum cans supplied to the soft drink industry. She mentions that PT has recently gone through a reorganization and is in a turnaround situation, so the potential returns are quite large. The shares were recently purchased for all client portfolios in a block trade. After reviewing the report, Patrick meets with Burt to discuss her approach to researching companies, meeting with company management, and determining earn- ings estimates. Burt explains to Patrick how carefully she documents her meetings with management and shares her notes with him. He compares the meeting notes with Burts recent report and notices she has included managements guidance for earnings and margins along with her own estimates. While talking with Burt, Patrick asks if she ever plays a role when the marketing department makes new business presentations. She tells him that because of her stock selection track record, she is frequently involved in those types of meetings. She adds 52019 Level II Mock Exam PM that she typically reviews the methodology used to research a company and deter- mine a recommendation. They discuss the potential clients, and she jokes that she even made a presentation to an investment committee for the retirement assets of a company under her coverage. The firms business development manager was unhappy that she had a sell rating on the potential clients stock when the sales pitch took place. Patricks review of the firms Code and Compliance Policies and Procedures is almost complete. The final item to review is how the firm handles employees trading. He notices the current Policies and Procedures are lacking. He notes that the firm currently restricts employee participation in IPOs, has a very narrow blackout period for employees trading securities on their buy list, and ensures personal trading policies are kept confidential. Sang tells Patrick of the difficulty he experienced in trying to get more robust personal trading policies and procedures approved. The board has historically been reluctant to put restrictions in place that limit the staffs ability to invest their personal funds. 7 Under CFA Institute Standard IV: Duties to Employers, with regard to the subject matter of the first item on Patricks list, whose interest is least likely of importance? A Northsides B The capital markets C Northsides clients 8 Which of Patricks recommendations is most likely insufficient to comply with Standard IV(C): Responsibilities of Supervisors? A Recommendation 1 B Recommendation 2 C Recommendation 3 9 To indicate the area of the investment research process he wants to address, Patrick should most likely label the proposals as follows: A Proposal 1 = Compensation, Proposal 2 = Reasonable Basis, Proposal 3 = Distribution B Proposal 1 = Reasonable Basis, Proposal 2 = Distribution, Proposal 3 = Compensation C Proposal 1 = Compensation, Proposal 2 = Distribution, Proposal 3 = Reasonable Basis 10 Which of the following CFA Institute Standards of Professional Conduct has most likely been violated in relation to the research report and purchase of PT Matias? A Suitability B Fair Dealing C Misrepresentation 11 Has Burt most likely violated the CFA Institute Standards of Professional Conduct during the new business presentations? A No B Yes, with regard to Duties to Clients C Yes, with regard to Disclosure of Conflicts 12 Which of Northsides current personal trading policies is least consistent with CFA Institute recommended procedures for Standard VI(B): Priority of Transactions? A IPO restriction 62019 Level II Mock Exam PM B Policy confidentiality C Blackout trading window Jorge Reyes Case Scenario Jorge Reyes is a financial analyst with Valores de Playa SA de CV, located in a suburb of Mexico City, Mexico. Two nights a week he works as an adjunct professor at a local technical institute, lecturing on investments and serving as a consultant in statistics and related fields. During one of his lectures, Reyes points out that regression plays an important part in many empirical studies in finance. As an exercise, Reyes presents the results of a regression of returns (Rt) on the company that owns the Mexican stock exchange (ticker symbol BOLSAA.MX) against the US dollar/Mexican peso exchange rate (Et). The data cover the period from late 2011 through early 2012. There are 64 daily observations in the study. Exhibit 1 reports the results of the regression. Exhibit 1 Regression Results: Rt = b0 + b1Et + t CoefficientStandard Error Constant (b0)0.00110.0019 USD/MXN exchange rate (b1) 0.57890.2221 Number of observations used in the regression 64 Critical t-value at the 5% level of significance (two- tailed test that the coefficient equals zero) 2 R2 Adjusted R2 Standard Error of the Estimate Durbin WatsonF-Value Significance of F-Value 0.09870.08420.01532.34346.79270.0114 One of the students asks Reyes about the adjusted R2 reported in Exhibit 1. Reyes explains that adjusted R2 adjusts for the effects of serial correlation in the data. A second student recalls that the presence of heteroskedasticity affects interpre- tation of the test statistics computed by a regression. Reyes confirms that that is true and suggests the students examine a plot of the predicted BOLSAA return values minus their actual values (the BOLSAA residuals) against the independent variable (USD/MXN exchange rate). Exhibit 2 provides such a graph. 72019 Level II Mock Exam PM Exhibit 2 Plot of BOLSAA Residuals against the USD/MXN Exchange Rate X = USD-MXN exchange rate Y = BOLSAA residuals Interpreting the graph, Reyes states: The presence of heteroskedasticity is indicated when there is a systematic relationship between the values of the residuals and the independent vari- able. As shown in Exhibit 2, there is no systematic relationship between the BOLSAA residuals and the USD/MXN exchange rate. Therefore, het- eroskedasticity does not appear to be a problem in this regression. In a later exercise, Reyes asks his students to consider a time series of weekly prices of Maya 22 crude oil. A substantial proportion of Mexicos oil production is Maya 22 heavy crude. The period of the study is from January 1997 to July 2008. At Reyess suggestion, the students first model the prices as an exponential trend (log- linear model). They test for correlated errors from the model using the DurbinWatson statistic. The results are reported in Exhibit 3. Exhibit 3 DurbinWatson Test: Log- Linear Model DurbinWatson test statistic3.97 DurbinWatson critical values for the null hypothesis that: there is no positive serial correlation (at the 5% level)1.651.69 there is no negative serial correlation (at the 5% level)2.35 Reyes next suggests they use a first- order autoregressive model AR(1). To reduce the effect of the exponential trend, the students continue to use the natural logarithms of the prices, but now they also take the first differences of these logarithms of the prices (xt). They fit an AR(1) to the differences of logs. The results of the regression are reported in Exhibit 4. 82019 Level II Mock Exam PM Exhibit 4 Regression Results: xt+1 = b0 + b1xt + t+1 where xt = ln(Pt+1) ln(Pt) CoefficientStandard Errort-Statistic Constant (b0)0.0023810.0020561.1582 xt (b1)0.2355460.0397785.9214 Number of observations used in the regression 599 Because nonstationarity or heteroskedasticity would negatively affect use of the AR(1) model, Reyes asks the students to test for the presence of each. Results of the unit root test for nonstationarity and of a test for the presence of heteroskedasticity are reported in Exhibit 5. Exhibit 5 Unit Root Test for Nonstationarity and the Test for Heteroskedasticity Unit root test statistic18.7402 Unit root test critic