5.2014年6月CFA2级Mock Exam AM（试题版）

June 2014 CFA Level II Mock ExaminationMorning Session(Note: This session has 11 cases, given 198 minutes, while the actual exam has 10 cases, given 180 minutes)Study Session 1, 2 Ethical and Professional Standards (1-6) Q=6Theresa LeCompte, CFA, is an equity analyst for Topaz Group, a full-service financial firm that offers insurance, investment banking, brokerage and investment management services through its various divisions. Topaz has adopted the CFA Institute Research Objectivity Standards to demonstrate their commitment to managing and fully disclosing conflicts of interest to all investors with access to the firms research. LeComptes primary responsibility is to follow the information technology sector for the firms research department that provides the research to Topaz clients and sells it to outside parties. She is working on two follow-up reports for NanoMem and UniFlash. Topaz makes markets in both companies securities and LeCompte owns a small position in NanoMem only. LeCompte has an excellent relationship with company officials at NanoMem, and her past research reports made favorable recommendations regarding NanoMem. In appreciation for her work on NanoMem, last December LeCompte was invited to attend a company-sponsored event held at an exclusive beach resort overseas. NanoMem paid all expenses related to the trip and provided some excellent entertainment activities for attendees. Prior to participating, LeCompte disclosed the agenda for the trip to her supervisor at Topaz, but did not mention details concerning expenses since they were not what she considered material. Shortly after LeCompte returned from this trip, Topaz was named the lead underwriter for NanoMems upcoming secondary offering. LeCompte believes her excellent relationship with NanoMem played a large part in securing this business. LeCompte, however, considers her relationship with UniFlash to be contentious since company officials appear reluctant to share as much information with her as they have in the past. She believes this change in behavior is a direct result of her recent less-than-favorable reports she wrote on UniFlash. Prior to publication of her follow-up reports on both NanoMem and UniFlash, LeCompte shares her report on NanoMem in its entirety with top management at NanoMem. UniFlash management on the other hand is provided only the factual information component of LeComptes UniFlash report. LeComptes compensation at Topaz includes an annual salary plus a bonus based on both the accuracy of her recommendations over time and the overall profitability of the group. Topaz makes public disclosure of the extent to which research analyst compensation in general is dependent upon the firms investment banking revenues, identifying the exact dollar amounts moved from one unit to the other. Following the release of her reports in early March, LeCompte is invited to appear on a television program to discuss her recommendations. During her appearance, she makes the following statements: Statement 1. My firm makes markets in the securities of both NanoMem and UniFlash, and I personally own a position in NanoMem. Statement 2. Although my report on UniFlash issued last quarter reflected a neutral rating, after meeting with management yesterday, I now believe a sell rating is more appropriate. I am finalizing an updated research report for UniFlash that I will release tomorrow.When she returns to her office the following day, LeCompte is informed by her supervisor that a company official at UniFlash called to express his disappointment and anger regarding the negative remarks she made about UniFlash during her television appearance. LeCompte states she believes her deteriorating relationship with UniFlash will make it difficult to effectively cover the company in the future. Privately, she wonders if she should revise her recommendation, ask permission of her supervisor to discontinue coverage of UniFlash, or request another analyst be assigned to the company.Question1 Before attending the company-sponsored event, which of the following actions is least appropriate for LeCompte to take to avoid violating any CFA Institute Standards?A. Disclose the costs of attendance to her immediate supervisor.B. Decline the invitation.C. Request her company pay costs related to her attendance.Question2 In sharing her research material with the subject companies, LeCompte most likely violated CFA Institute Research Objectivity Standards with respect to her report(s) on:A. Both NanoMem and UniFlash.B. NanoMem.C. UniFlash.Question3 Regarding LeComptes compensation structure, is Topaz most likely in violation of CFA Institutes Research Objectively Standards?A. Yes, with respect to overall profitability of the group.B. Yes, with respect to accuracy of analyst recommendations.C. No.Question4 According to the CFA Institute Research Objectivity Standards, does LeComptes first statement made during her television appearancemost likely provide all the recommended disclosures relating to potential conflicts of interest?A. No, only with respect to NanoMem.B. Yes.C. No, only with respect to UniFlash.Question5 Does LeComptes second statement during her TV appearance most likely meet the CFA Institute Research Objectivity Standards recommendations? A. No, with regards to the timing of her updated research reportB. No, with regards to her inconsistent recommendationsC. YesQuestion6 With respect to LeComptes coverage of UniFlash, according to CFA Institute Standards, the least appropriate course of action for Topaz to take would be to:A. discontinue coverage.B. upgrade recommendation.C. change assigned analyst.Study Session 8 9 Corporate Finance (7-12) Q=6Cindy Scott is reviewing cash flow projections for a $300,000 capital investment for adaptable equipment to service her companys manufacturing efforts. After careful study, analysts have determined that when put to the best use over the next five years, the incremental contribution of the equipment produces a positive net present value (NPV) of $183,109, assuming a 15% annual discount rate (see Exhibit 1).Exhibit 1Forecasted Cash FlowYear 1Year 2Year 3Year 4Year 5Sales$370,000$425,500$510,600$663,780$531,024Variable cash expenses185,000212,750255,300331,890265,512Fixed cash expenses30,00050,00050,00050,00050,000Depreciationa60,00060,00060,00060,00060,000Operating income before tax$95,000$102,750$145,300$221,890$155,512Tax (40%)38,00041,10058,12088,75662,205Operating income after tax$57,000$61,650$87,180$133,134$93,307After-tax operating cash flow117,000121,650147,180193,134153,307Salvage value20,000Salvage value after tax12,000Total after-tax cash flow$117,000$121,650$147,180$193,134$165,307Straight-line over five yearsNPV (15% annual discount rate) = $183,109Scott receives a request from her manager, Pat Stevens, to calculate both economic and accounting income using the cash flow analysis in Exhibit 1. Scott learns that the equipment is to be financed entirely with a loan at 12%, with interest paid annually for five years and the full principal paid at the end of the fifth year.Scott asks Ted Ludlow, another coworker, for additional suggestions about the analysis. Ludlow makes the following three suggestions:1. Consider the analysis in Exhibit 1 as a base case, and then produce two additional analyses, an optimistic and a pessimistic case, assuming different possible economic environments.2. Produce these different analyses with a five-year modified accelerated cost recovery system (MACRS) accelerated depreciation schedule (Exhibit 2).3. Calculate operating income after tax minus the dollar cost of capital (i.e., the weighted average cost of capital (WACC) multiplied by the capital investment). Exhibit 2MACRS Schedule Five-Year MACRS ScheduleYear 1Year 2Year 3Year 4Year 5Year 620.00%32.00%19.20%11.52%11.52%5.76%While applying the suggestions from Ludlow, Scott is informed about a competing project that performs the same task over a three-year period. The new project has an NPV of $128,146 with the same discount rate and capital investment as the project in Exhibit 1 (five-year project). Scott starts to consider the merits of the new project (three-year project) relative to the five-year project.Question 7The economic income for Year 3 is closest to: A. $109,877.B. $57,407.C. $48,365.Question 8The accounting income for Year 2 is closest to:A. $25,650.B. $61,650.C. $40,050.Question 9Ludlows first suggestion is best described as an example of:A. scenario analysis.B. Monte Carlo simulation.C. sensitivity analysis.Question 10Following Ludows second suggestion, the first years after-tax operating cash flow will most likely:A. remain unchanged.B. increase.C. decrease.Question 11Ludlows third suggestion is best described as the calculation of:A. economic profit.B. free cash flow to equity.C. residual income.Question 12When comparing the two projects, Scott should most likely accept:A. only the three-year project.B. both projects.C. only the five-year project.Study Session 4 Economics (13-24) Q=12Daltonia is a medium-sized developing country. Government policies have gradually opened the borders for international trade and the flow of capital. Trade is now substantial with members of the EU and is often denominated in euros (). During the early 2000s, privatization of some publicly owned industries; creation of a new free-floating currency, the Dornan (DRN); and sound policies implemented at the central bank put the economy on a track for steady growth and stability.Minister of Finance Naim Birol is preparing his annual report on the state of the economy and currency markets for the legislative branch of government. He will examine the long- and short-term trends in GDP growth, per capita income, inflation, and exchange rates. He is also responsible for recommending policy initiatives for the legislature to consider to promote overall economic prosperity for Daltonian citizens. To estimate long-term GDP growth, Birol examines the data in Exhibit 1 and intends to use Solows growth accounting equation. Exhibit 1Long-Term Trends of Daltonian EconomyGrowth due to capital deepening2.3%Growth in labor productivity1.7%Population growth3.4%Growth in capital6.1%Growth rate of total factor productivity0.6%Share of GDP paid to labor65%Birol consults his colleague Ziya Pamuk to review the policy choices facing the Daltonian government and the possible effects on economic growth and per capita income. Pamuk states: Daltonias politicians are debating the effects of growth rate policies focused on three outcomes: higher rates of saving and investment, importing more technological innovations, and greater investment in research and development (R&D). Pamuk concludes: The impact from these policies will cause a long-term increase in the economys growth rate and the standard of living. Furthermore, if we emphasize R&D spending, then higher rates of saving and investment are unlikely to encounter diminishing marginal returns. Birol believes Daltonia needs to address a recent increase in inflation and appreciation in the exchange rate. If these trends accelerate, the countrys present prosperity could be threatened. Birol and Pamuk discuss policy alternatives.Birol states:Because Daltonia allows capital to flow freely, the clearest choice is to implement expansionary monetary and fiscal policies to stop the appreciation of the currency according to the MundellFleming model. Pamuk replies: Applying the Taylor rule, the proper long-term policy regarding monetary policy should consider whether inflation is above the target rate, the size and sign of the output gap, and the relative size of the policy response coefficients that the central bank and the European Central Bank normally follow. Birol adds: There is also a timing dimension to consider. According to economist Rdiger Dornbusch, with inflexible domestic prices in the short run, any decrease in nominal money supply will induce an increase in the domestic interest rate. This response will encourage capital inflows and cause the exchange rate to overshoot to the upside in the short run, until domestic prices have a chance to react. Birol considers three suggestions from his colleagues to address concerns that the DRN is overvalued and inflation is too high as a result of robust capital inflows: Suggestion 1: Daltonia should follow a sterilized intervention that includes selling domestic securities to the private sector. This approach will offset any excess liquidity created by the intervention and keep the monetary base and short-term rates from rising. Suggestion 2: Implement an unsterilized intervention in order to directly reduce inflation but not discourage capital inflows. Suggestion 3: Daltonia should implement capital control policies instead, which would lead to a more independent monetary policy, especially because capital inflows have been large and persistent. In examining the currency markets, Birol is concerned that local currency dealers are being taken advantage of by arbitrageurs from Europe. He analyzes the rate quotes in Exhibit 2 for evidence of triangular arbitrage and carry trade opportunities by European hedge funds. Exhibit 2Interbank and Dealer Currency Quotes and RatesCurrency PairBid (spot)Offer (spot)Projected Spot in One YearOne-Year LIBOR RatesInterbank Market:EUR/USD0.80450.80650.8200EUR 0.8%DRN/USD1.20501.21001.2280USD 0.9%Daltonian Dealer:DRN/EUR1.51401.5190DRN 2.1%Question 13Using the specified growth accounting equation, which is the most appropriate conclusion Birol can make from his data on trends in the economy?A. Daltonias economy is performing at a steady state rate of growth.B. Output per worker is falling.C. GDP growth is primarily driven by labor.Question 14Pamuks conclusion regarding the growth policy debate is most consistent with which model of economic growth?A. ClassicalB. NeoclassicalC. EndogenousQuestion 15Which of the statements regarding policy alternatives discussed between Birol and Pamuk in response to Daltonias recent increase in inflation and deterioration in exchange rate is least accurate?A. Birols statement regarding Rdiger DornbuschB. Birols statement regarding MundellFleming modelC. Pamuks statement regarding the Taylor ruleQuestion 16In reviewing the three suggestions to address concerns that the DRN is overvalued and inflation is too high, which of Birols colleagues suggestions is most accurate?A. 3B. 1C. 2Question 17Based on the exchange rate quotes in Exhibit 2, an opportunistic European hedge fund interested in triangular arbitrage between the dealer and interbank markets is most likely to:A. buy EUR in the interbank market and sell EUR to the Daltonian dealer.B. buy EUR from the Daltonian dealer and sell EUR in the interbank market.C. discover that no triangular arbitrage opportunity exists.Question 18Using the data provided in Exhibit 2 for the interbank market only, a European investor who enters into a normal one-year carry trade based on a EUR100,000 position will achieve a net profit in EUR closest to:A. 1,318.B. 1,865.C. 1,065.Study Session 4 Economics Louise Tremblay is a portfolio manager for a global equity fund domiciled in the United States. She wants to add positions in foreign stocks from Canada and also stocks from either Brazil or Ecuador. Tremblay calls Hal Baroque, the firms economist, to arrange a meeting to discuss his outlook for these economies and issues related to foreign exchange relations and international asset pricing. During the meeting, Baroque presents the information he gathered in preparation for their discussion, as shown in Exhibit 1. Exhibit 1Selected Currency Exchanges and Market RatesCountryCurrencySpot Exchange RateaOne Year Risk-free RateExpected Annual Inflation RateUnited StatesUS$NA4.80%2.30%CanadaC$1.21381.22594.10%1.90%BrazilReal (BRL)2.38442.40828.80%6.30%EcuadorUS$bNA6.40%4.50%aNumber of foreign currency units per one U.S. dollar.bEcuador uses the U.S. dollar as its official currency.Baroque begins his discussion by reviewing some basic relations that are useful in understanding the interplay between exchange rates, interest rates, and inflation. He remarks: Theoretically, the nominal yield spread between two countries should be equal to the expected inflation rate differential over the term of the interest rates. Tremblay provides two justifications for adding Brazilian stocks rather than Ecuadoran stocks to her portfolio. She believes:1.Brazil is sufficiently developed to be considered part of the group of developed nations but Ecuador is not. Investing in countries with lower per capita incomes that are members of the developed nations group should, over long periods of time, provide a higher rate of return than investing in countries with higher per capita income.2.Brazil is more open than Ecuador is to importing technology from advanced countries. Baroque agrees that Brazil is more open. In particular, he notes that Brazil is more open to foreign direct investment (FDI) tha