5.2014年6月CFA2级Mock Exam PM（答案版）

June 2014CFA Level II Mock ExaminationAfternoon Session Answers(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 (1-12) Q=121.Correct answer：The information disclosed about the exams by either Sobhani or Miyagawa is not confidential CFA Program information so they are not in violation of Standard VII. Sobhanis information was based upon his analysis of the readings and is his opinion,and Miyagawa referenced the practice exam, which does not reflect content in the actual CFA exam.2014 CFA Level IIGuidance for Standards I-VII, CFA InstituteStandard VII(A)2.Correct answer：The market environment forecast is stated as an opinion, not fact, and as such is not a violation of Standard V(B)-Communication with Clients and Prospective Clients. But, Sobhanis asset allocation recommendation, a 60% equity allocation is risky and does not relate to the long-term objectives and circumstances of Poundston, so, is in violation of Standard III(C)-Suitability. A high equity allocation for a sick and elderly client who plans to retire soon is not a suitable recommendation, especially to a client whowho is risk averse and seeking preservation of capital. Finally, Sobhani has violated Standard V(A)-Diligence and Reasonable Basis because his recommendation that Poundston invest a large percentage of her assets in equities in an already highly priced market does not appear to be based on any evidence or analysis.2014 CFA Level IIGuidance for Standards I VII, CFA InstituteStandard III(C)-Suitability, Standard V(A)-Diligence and Reasonable Basis, Standard V(B)-Communication with Clients and Prospective Clients3.Correct answer：Standard IV(C)-Responsibilities of Supervisors has been violated. As toit requires members and candidates with supervisory responsibility to understand what constitutes an adequate compliance system for their firms and to make reasonable efforts to see that appropriate compliance procedures are established, documented, communicated to covered personnel, and followed. Adequate procedures are those designed to meet industry standards, regulatory requirements, the requirements of the Code and Standards, and the circumstances of the firm. Once compliance procedures are established, the supervisor must also make reasonable efforts to ensure that the procedures are monitored and enforced. By not updating his compliance policies and procedures since founding his company, Sobhani has violated this standard.2014 CFA Level IIGuidance for Standards I-VII,CFA InstituteStandard IV(C)-Responsibilities of Supervisors, Standard V(C)-Record Retention4.Correct answer：Sobhani has only stated historical returns for these types of investments based on research of other similar investments. In addition, he has not promised a specific return. Thus Sobhani is not in violation of Standard III(D)-Performance Presentation. But, Sobhani is in violation of Standard III(A)-Loyalty, Prudence, and Care becausehe is required to identify the actual client, which in this case would be Purce and the trust beneficiaries, the twins. From the information provided, there is no evidence thatSobhani knows or has considered the twins investment objectives and constraints and thus is also in violation of Standard III(C)-Suitability.2014 CFA Level IIIGuidance for Standards I-VII, CFA InstituteStandard III(C)-Suitability, Standard III(D)-Performance Presentation, Standard V(A)-Diligence and Reasonable Basis5.Correct answer：Standard VI(C)-Referral Fees requires Members and Candidates to disclose to their employer, clients, and prospective clients, as appropriate, any compensation, consideration, or benefit received from or paid to others for the recommendation of products or services before entry into any formal agreement for services. In this case,Sobhani advises clients of the referral fee arrangement after the fact,thus violating Standard VI(C).2014 CFA Level IIGuidance for Standards I-VII, CFA InstituteStandard III(B)-Fair Dealing, Standard VI(C)-Referral Fees6.Correct answer：Sobhani has not violated Standard VI(A)-Disclosure of Conflicts because disclosure of his relationship with Wilder is not required because it would not impair Sobhanis independence and objectivity nor interfere with his respective duties to clients.But, by not following local law and reporting his cousins malfeasance, Sobhani violated Standard I(A)-Knowledge of the Law and as a result also violated Standard I(D)-Misconduct because his actions reflect adversely on his professional reputationand integrity.2014 CFA Level IIGuidance for Standards I-VII, CFA InstituteStandard I(A), Standard I(D), Standard VI(A)Study Session 1, 2 Ethical and Professional Standards7.Correct answer：There was no violation of Standard II(A) Material Nonpublic information. However, when Natali conducted a thorough analysis that convinced her to sell the Cyclical stock and then reversed her decision and followed the request by an Omega Funds director to hold Cyclical without having a reasonable basis for doing so, she violated both Standard II (A) Loyalty, Prudence, and Care and Standard V(A) Diligence and Reasonable Basis.2014 CFA Level IIGuidance for StandardsVII, CFA InstituteStandard II(A) Material Nonpublic Information, Standard III(A) Loyalty, Prudence, and Care, Standard V(A) Diligence and Reasonable Basis8.Correct answer：Statements made by both Natali and Libra are consistent with the Standards. According to Standard III(A) Loyalty, Prudence, and Care voting proxies is an integral part of the management of investments and a fiduciary who fails to vote proxies may violate the Standard. The Standards of Practice Handbook also states that a cost-benefit analysis may show that voting all proxies may not benefit the client, so voting proxies may not be necessary in all instances. Members and candidates should disclose to clients their proxy-voting policies, which Natali has done.2014 CFA Level IIGuidance for Standards I-VII, CFA InstituteStandard III(A)9.Correct answer：Disclosure of soft dollar amounts paid is not a requirement. However, Standard III (A) Loyalty, Prudence, and Care, Soft Commission Policies requires disclosure of the methods or policies followed in addressing the potential conflicts of soft dollar arrangements.2014 CFA Level IICFA Institute Soft Dollar Standards, CFA InstituteStandard III(A) Loyalty, Prudence, and CareSoft Commission Policies10.Correct answer：Natali stated Principle 1 correctly. According to the Soft Dollar Standards, 6(I)A Principles, brokerage is the property of the client.2014 CFA Level IICFA Institute Soft Dollar Standards, CFA InstituteSection 6(I)A Principles11.Correct answer：Both Policies 1 and 2 are inconsistent with the Research Objectivity Standards. According to the Research Objectivity Standards, firms must establish and implement salary, bonus, and other compensation for analysts that do not directly link compensation to investment banking or other corporate finance activities on which the analyst collaborated (either individually or in the aggregate). The Standards also state that research analysts are prohibited from directly or indirectly promising a subject company or other issuer a favorable report or specific price target, or from threatening to change reports, recommendations, or price targets.2014 CFA Level IICFA Institute Research Objectivity Standards, CFA InstituteSection 412.Correct answer：Policy 3 is inconsistent while Policy 4 is consistent. Section 4, Requirement 6 outlines specific information, which must not be communicated including proposed recommendation, rating, or price target. However, factual historical information such as a list of directors or historical financial results may be disclosed in advance of publishing a research report.2014 CFA Level IICFA Institute Research Objectivity Standards, CFA InstituteSection 4Study Session 16 17 Derivative Investment (13-24) Q=1213.Correct answer：The value of a long position in a forward contract at any time isVt=StF(0,T)/(1 +r)(Tt)whereS= the underlying priceF= the forward pricer= the risk-free rateT= the time to expiration at contract initiationt= the time elapsed since initiationThen,Vt= 75 80/(1.06)0.25= $3.84, but this is the value of the long position. The value of the short position has the opposite sign and is $3.84.2014 CFA Level II“Forward Markets and Contracts,” by Don M. ChanceSection 4.214.Correct answer：The formula for the price of a forward contract on an equity index is:F(0,T) = S0e-(c)Te(rc)TwhereF(0,T) = the price of a forward contract initiated at time 0 and expiring at timeTS0= the spot price of the underlyingc= the continuously compounded dividend yieldrc= the continuously compounded interest rateT= 180/365 = 0.4932, which is the time to expiration of the contract in years.Then,2014 CFA Level IIForward Markets and Contracts, by Don M. ChanceSection 4.215.Correct answer：The formula for the forward exchange rate is:F(0,T) =S0(1 +r)T/(1 +rf)TwhereF(0,T) = the forward exchange rate of a forward contract initiated at time 0 and expiring at timeTS0= the spot pricer= the domestic risk-free raterf= the foreign risk-free rateThe formula assumes the currency quote is dollars per yen. If the quote is yen per dollar (as is the case here), then the forward price isS0(1 + rf)T/(1 +r)T, soF= 112(1.01/1.06)90/365= JPY110.67/USD.Note that the continuous formula,F=S0erf TerT, can be used. Converting the given rates to continuous rates givesrf= ln(1.01) = 0.00995 andr= ln(1.06) = 0.05827.F= 112e(90/365)(0.009950.05827)= JPY 110.67/USD.2014 CFA Level IIForward Markets and Contracts, by Don M. ChanceSection 4.416.Correct answer：At expiration, if the market value of the contract is positive (Manager B sold the yen at a higher price than she could sell it at expiration), Manager B will only receive the agreed-on price if the other party does not default.2014 CFA Level IIForward Markets and Contracts, by Don M. ChanceSection 517.Correct answer：The value of a futures contract before it has been marked to market can be greater than or less than zero. The value is the gain or loss accumulated since the last mark-to-market adjustment.2014 CFA Level IIFutures Markets and Contracts, by Don M. ChanceSection 7.1.218.Correct answer：The futures price formula isf0(T) =S0(1+r)T+ FV(CB,0,T), where FV(CB,0,T) represents the future value (FV) of the costs of storage minus the convenience yield. Thus the convenience yield decreases the futures price.2014 CFA Level IIFutures Markets and Contracts, by Don M. ChanceSection 7.1.7Study Session 16 17 Derivative Investment19.Correct answer：2014 CFA Level II“Forward Markets and Contracts,” by Don M. ChanceSection 4.220.Correct answer：According to putcall parity: Long bond + Long call = Long stock + Long putBond = 98.04 = 100/1.02360/360(must be calculated from option data table)Long call = $10.35 (given)Long put = $9.25 (given)Synthetic underlying stock = $99.14 = Long bond + Long call + Short put (“+ Short put” is another way of expressing “ Long put”) = 98.04 + 10.35 9.252014 CFA Level II“Option Markets and Contracts,” by Don M. ChanceSection 5.521.Correct answer：Holding all other option factors constant, an increase in interest rates causes call prices to increase and put prices to decline.2014 CFA Level II“Option Markets and Contracts,” by Don M. ChanceSection 7.322.Correct answer：Gamma is a measure of the sensitivity of delta to a change in the stock price. Gamma is largest for options that are at the money near maturity because of the uncertainty about whether the option will expire (1) in the money (delta is 1.0) or (2) out of the money (delta is 0.0).2014 CFA Level II“Forward Markets and Contracts,” byDon M. ChanceSection 7.3.123.Correct answer：Swap 2 represents a $100,000 liability to Toye as the receiving counterparty.Index returns:S&P 500 = (1537.5/1500) 1 = 2.5%Russell 2000 = (913.5/900) 1 = 1.5%NASDAQ = (2991.5/3100) 1= 3.5%Swap value = Notional amount (Pay) return of the pay index + (Receive) return of the receive indexSwap 2 = $100,000 = ($2,000,000) ( 1.5% + 3.5%). The negative value properly represents a liability.2014 CFA Level II“Swap Markets and Contracts,” by Don M. ChanceSections 4, 4.2.324.Correct answer：The swaption should be exercised because it is in the money.2014 CFA Level II“Swap Markets and Contracts,” by Don M. ChanceSections 6.16.4Study Session 10 11 12 Equity Investments (25-42) Q=1825.Correct answer：First, use SRNCs data to find its unlevered equity beta. Next, use SRNCs unlevered beta and PRBIs debt ratio to find PRBIs equity beta. The formulas are as follows:2014 CFA Level IIReturn Concepts, by Jerald E. Pinto, Elaine Henry, Thomas R. Robinson, and John D. StoweSection 4.1.226.Correct answer：Using the PVGO and assuming that the company has no positive net present value (NPV) projects, the PVGO Model is:$70 = $49.43 + PVGOPVGO = $70 - $49.43 = $20.572014 CFA Level II“Discounted Dividend Valuation,” by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 4.527.Correct answer：Using the H-model:H= 1/2 of the life of high-growth period = 10/2 = 5 years2014 CFA Level IIDiscounted Dividend Valuation by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 5.328.Correct answer：Raman is most accurate with respect to his comments on the CAPM. In portfolios, the idiosyncratic risk of individual securities tends to offset against each other leaving largely beta (market) risk. For individual securities, idiosyncratic risk can overwhelm market risk and, in that case, beta may be a poor predictor of future average return. Thus the analyst needs to have multiple tools available.2014 CFA Level IIReturn Concepts, by Jerald E. Pinto, Elaine Henry, Thomas R. Robinson, and John D. StoweSection 4.1.2Discounted Dividend Valuation by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSections 4.5, 5.329.Correct answer：Statement 3 by Raman is most accurate. The residual income model, also called the excess earnings method, does not have the same weakness as the FCFE approach, because it is an estimate of the profit of the company after deducting the cost of all capital: debt and equity. Further, it makes no assumptions about future earnings and dividend growth.2014 CFA Level IIFree Cash Flow Valuation, by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 3.7Residual Income Valuation, by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 3.2Private Company Valuation, by Raymond D. RathSection 4.330.Correct answer：Using a multi-stage residual income model and the data in Exhibit 3:Equity charge = Equity capital Cost of equity capital = 20.97 0.124 = $2.60 millionResidual income of the more recent year = Net income Equity charge = 8.00 2.60 = $5.40 millionRamans assumed growth rate during the forecast period of five years = 15%Annual residual income during the no growth period (after Year 5) = 5.40 (1.15)5= $10.86Present value (PV) of the residual income from perpetual period, as atT= 5 = ($10.86/0.124)=$87.58PV of the perpetual period residual income atT= 0 = 87.58/(1.124)5=$48.822014 CFA Level II“Residual Income Valuation,” by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 3.4Study Session 10 11 12 Equity Investments 31.Correct answer：The comparable transactions method uses details from recent takeover transactions for comparable companies to make direct estimates of the target companys takeover value. However it is not necessary to separately estimate a takeover premium as this is already included in the multiples determined from the comparable transactions.2014 CFA Level IIMergers and Acquisitions, by Rosita P. Chang and Keith M. MooreSection 732.Correct answer：The fact that the products are designed to meet specific customer requirements and require extensive set-up and trainings costs would make customer switching costs high which reduces the threat of new entrants. Due to the advanced technology and high degree of product reliability required customers would have low bargaining power. Module manufacturing involves small production runs, low profit margins and should not be attractive to this high profit margin specialized industry.2014 CFA Level IIThe Five Competitive Forces that Shape Strategy, by Michael E. PorterSection 233.Correct answer：E0/S0= the businesss long-term profit margin = 8.0%(1b) = the projected payout ratio = 0.20g= the long-run earnings growth rater= required rate of return2014 CFA Level IIMarket-Based Valuation: Price and Enterprise Value Multiples, by Jerald Pinto, Elaine Henry, Thomas Robinson, and John StoweSection 3.3.234.Correct answer：Real required rate of return = Country return + Industry adjustment + Size adjustment Leverage adjustmentReal country return8.60%+ Industry1.60%+ Size1.45% Leverage0.85%Required rate of return10.80%2014 CFA Level II“Retur