cfa 二级 考试复习资料

CFA Society Boston CFA Level II 2018 Practice Exam Morning MULTIPLE CHOICE RESPONSE FORM A B C A B C 1 0 0 045 0 0 0 2 0 0 046 0 0 0 3 0 0 047 0 0 0 4 0 0 048 0 0 0 5 0 0 049 0 0 0 6 0 0 050 0 0 0 7 0 0 051 0 0 0 8 0 0 052 0 0 0 9 0 0 053 0 0 0 10 0 0 054 0 0 0 11 0 0 055 0 0 0 12 0 0 056 0 0 0 13 0 0 057 0 0 0 14 0 0 058 0 0 0 15 0 0 059 0 0 0 16 0 0 060 0 0 0 17 0 0 0 18 0 0 0 19 0 0 0 20 0 0 0 21 0 0 0 22 0 0 0 23 0 0 0 24 0 0 0 25 0 0 0 26 0 0 0 27 0 0 0 28 0 0 0 29 0 0 0 30 0 0 0 31 0 0 0 32 0 0 0 33 0 0 0 34 0 0 0 35 0 0 0 36 0 0 0 37 0 0 0 38 0 0 0 39 0 0 0 40 0 0 0 41 0 0 0 42 0 0 0 43 0 0 0 44 0 0 0 2018 CFA Society Boston 1 CFA Society Boston Level II 2018 Practice Exam Morning Session 9 00AM 12 00PM All rights reserved No part of this paper may be reproduced stored in a retrieval system or transmitted in any form or by any means electronic mechanical photocopying recording or otherwise without the prior written permission of the copyright holder CFA is a licensed service mark owned by CFA Institute 2018 CFA Society Boston 2 Please Note The CFA Society Boston Level II 2018 Practice Exam may be updated with an addendum to this CFA Society Boston Level II 2018 Practice Exam is the exclusive property of CFA Society Boston This Practice Exam and all related materials are protected by federal copyright law This Practice Exam is for your personal noncommercial use No other use of the Practice Exam is permitted without the written consent of CFA Society Boston You will not distribute copy reproduce or share this Practice Exam or any part thereof in any form or by any means with any other party CFA Society Boston makes no representations about the accuracy reliability completeness or timeliness of the material on the Practice Exam or about the results to be obtained from using the Practice Exam You use the Practice Exam at your own risk Candidates are expected to adhere to the CFA Institute Code of Ethics Standards of Professional Conduct and Rules of Procedure for Proceedings Related to professional Conduct and other conditions requirements procedures and policies set forth by CFA Institute By purchasing and using the Practice Exam you signify your understanding of an agreement to these Terms and Conditions Any violation of the above by you may result in the revocation of your license to use this Practice Exam and appropriate legal action by CFA Society Boston Please note that this Practice Exam and your use thereof is also subject to and governed by the terms the domestic currency would appreciate B incorrect the domestic currency would depreciate C incorrect the effect on the domestic currency is indeterminate 2018 CFA Society Boston 14 ITEM SET 4 FINANCIAL REPORTING AND ANALYSIS Questions 19 through 24 are allocated 18 minutes Taylor plc is a UK headquartered retail company that prepares its financial statements according to the IFRS standards In 2014 Taylor held a 15 passive equity interest in CF plc another retailer with operations in Wales CF plc is classified as available for sale During 2016 the value of its investment in CF fell by 2 million In December 2016 Taylor plc announced that it would be increasing its stake in CF to 60 allowing it to exercise significant influence over CF effective 1 January 2017 In addition to its investment in CF plc Taylor has invested in the following bonds issued by three other UK companies at par CN Rail BP Shipping TD Chemicals Classification Available for sale Held to maturity Held for trading Cost 000 30 000 45 000 56 000 Market value 31 Dec 2016 33 000 42 000 55 000 Market value 31 Dec 2017 32 000 51 000 60 000 Below are the abbreviated financial statements for Taylor plc and CF plc Extracts from the financial statements for Taylor plc millions Year ending 31 December 2016 2017 Revenue 2 800 3 010 Operating income 250 290 Net income 125 140 Dividends 35 40 As of 31 December 2016 2017 Total assets 2 400 2 700 Shareholders equity 1 150 1 250 Extracts from the financial statements for CF plc millions Year ending 31 December 2016 2017 Revenue 1 900 2 100 Operating income 160 180 Net income 80 90 Dividends 30 45 As of 31 December 2016 2017 Total assets 1 600 1 700 Shareholders equity 900 945 2018 CFA Society Boston 15 19 In 2016 the contribution from CF to Taylor s earnings before tax is closest to A 0 3 million B 2 0 million C 4 5 million 20 If Taylor classified its investment in CF as held for trading instead of available for sale the contribution from CF to Taylor s earnings before tax in 2016 is closest to A 2 5 million B 4 5 million C 6 5 million 21 The impact of the increase in equity interest in CF at the beginning of 2017 on Taylor s 2017 net income will be an increase closest to A 0 B 41 million C 54 million 22 Following the increase in equity interest in CF and the consolidation of accounts the operating margin of the combined entity in 2017 will most likely be A lower B the same C higher 23 The balance sheet carrying value of Taylor s investments in its bond portfolio at the end of 2017 is closest to A 129 million B 133 million C 137 million 24 If the CFO of Taylor wants to report higher earnings before tax in 2017 the CFO would most likely A reclassify CN investment as held for trading B reclassify BP investment as held for trading C reclassify TD investment as held to maturity 2018 CFA Society Boston 16 ITEM SET 5 CORPORATE FINANCE Questions 25 through 30 are allocated 18 minutes Eco Touch Systems ETS develops manufactures and markets a complete line of touch screen and touch monitor products for gaming and casino applications Due to the worldwide decline in demand for gaming ETS is scaling down its operations in gaming and expanding its manufacturing of touch screen products for medical and healthcare applications In order to transition smoothly into this market segment ETS is considering replacing a piece of its existing production equipment with a new and more technologically advanced unit The company has commissioned a team of consultants to do a feasibility study for this replacement project spending 300 000 for the study The existing machine was purchased five years ago at a cost of 12 million and has been depreciated using the straight line method over a ten year period with zero salvage value This machine could be sold today for 8 million The results of the feasibility study indicate that the firm must spend 20 million for the new equipment and an additional 2 million for modifying the new equipment to make it operational for touch screen products in medical applications The new equipment has an expected useful life of 10 years The consultants also estimate that the benefit to ETS from the new equipment will be substantially reduced after 5 years due to its rivals stepping up their own production in this market Therefore they suggest using a 5 year horizon for this capital budgeting project The new equipment will be depreciated using the straight line method over ten years with zero salvage value and has an estimated sale price of 10 million at the end of five years The consultant s report predicts that the new machine will increase computer sales by 4 million per year while operating costs will increase by 1 2 million per year Because the new equipment is more efficient ETS will need less work in progress in inventory resulting initially in a saving of 400 000 The inventory account however will return to previous levels at the end of the project The marginal tax rate of ETS is 30 and the project s cost of capital is 14 Assuming that the company purchases the new equipment at the end of 2018 the first year of operating the new equipment will be 2019 and the last year is 2023 ETS is also considering acquiring a small rival company Advanced Touch An analyst has been assigned the task of estimating the fair market value of Advanced Touch using the discounted cash flow approach Advanced Touch has 2 million shares outstanding The analyst has estimated current pre merger free cash flow for Advanced Touch to be 1 million Post merger free cash flows for Advanced Touch are expected to increase by 25 for the next three years after which the analyst expects cash flows will grow at a rate of 5 indefinitely The analyst has determined that Advanced Touch WACC is 12 The analyst presented the fair market value of Advanced Touch to the board of ETS A board member makes the following two statements Statement 1 I believe that using the comparable company analysis we may come up with a more accurate value for Advanced Touch than the discounted cash flow method 2018 CFA Society Boston 17 as the takeover value is determined from values that are recently established in the market The discounted cash flow method relies on too many assumptions and estimates Statement 2 We may also want to consider using the comparable transaction approach The advantage of this approach over the comparable company approach is that the value is based on the acquisition price and thus implicitly accounts for any takeover premium With the comparable company approach we need to estimate the takeover premium 25 ETS s initial net investment outlay for this replacement project is closest to A 14 200 000 B 15 000 000 C 16 000 000 26 ETS annual net incremental cash flows for years 1 4 and the total net cash flows for year 5 including the disposition cash flows are closest to Net CF Years 1 4 Net CF Year 5 A 2 260 000 13 310 000 B 2 260 000 12 510 000 C 2 620 000 12 880 000 27 The IRR and NPV of the company s replacement project as well as the company s budgeting decision are most likely to be IRR NPV Decision A 11 49 237 080 Reject B 12 45 702 213 Reject C 14 28 123 395 Accept 28 Using the constant growth model the terminal value for Advanced Touch in 3 years is closest to A 23 43 million B 27 90 million C 29 30 million 2018 CFA Society Boston 18 29 The analyst s current estimated value per share of Advanced Touch using the discounted cash flow approach is closest to A 10 79 B 11 80 C 12 30 30 Regarding the board member s two statements about the three valuation methods A Both statements are correct B Statement 1 is correct but statement 2 is incorrect C Statement 1 is incorrect but statement 2 is correct 2018 CFA Society Boston 19 ITEM SET 6 EQUITY VALUATION Questions 31 through 36 are allocated 18 minutes HESC Investments equity analyst Fred Furtado initiated coverage on three micro cap technology firms last week In preparing for an upcoming research meeting Furtado summarized his research in the following notes COGS Inc profitability has varied from year to year but the firm has material cash reserves The management team has been stable and has demonstrated an ability to react positively to the fast changing industry environment Management rightly anticipated the recent demand shift and updated its software products appropriately Indications are that this helped to ensure near term profitability but longer term profitability is not as stable Tech Ventures profitability is up for the fourth consecutive year although only at a 4 CAGR which is below its peers Return on assets is also below industry average and its cash flow while positive is weak Management was recently successful in completing a significant line of credit agreement at market rates Octocog has been struggling since it was spun off by Oracle three years ago Profitability has been negative mainly because of some accelerated accounting charges which are now fully expensed Cash flow is positive and growing and has been for past three years Octocog has committed significant resources to artificial intelligence and has some promising product developments However it may be missing out on the virtual reality segment At the research meeting Furtado explained that COGS Inc was the only one of the three firms that had multiple divisions producing different products Furtado explained that he intended to use HESC s standard intrinsic value methodology for valuation work on COGS In addition Furtado was adamant that in order to best value the company he needed to assess the firm s quality of earnings Furtado explained the balance sheet position of COGS Inc Statement 1 COGS is in a strong position with 350 million of cash on its balance sheet and material but manageable leverage The firm currently has 2 800 000 shares of common stock trading at 8 55 per share vs our price target of 9 75 Also last week they sold 52 000 7 year bonds at 990 The firm tax rate is 35 Furtado listed several criteria for selecting a valuation model for Octocog Statement 2 This firm s future earnings are extremely difficult to predict and probably unreliable The valuation model to use should assign only a small portion of Octocog s total present value to future earnings Exhibit 6 1 shows a summary schedule of company data 2018 CFA Society Boston 20 Exhibit 6 1 Summary of Company Data COGS Inc Tech Ventures Octocog Inflation rate 1 25 1 25 1 25 1 month T bill rate 0 20 0 20 0 20 Risk free rate 1 25 1 25 1 25 Adjusted beta 0 82 0 95 0 96 Equity risk premium 6 25 6 25 6 25 Size beta 0 150 0 200 0 135 Size premium 1 15 2 35 1 80 Long term debt yield to maturity YTM 10 55 7 65 8 25 Value beta 0 250 0 050 0 125 Value premium 1 35 0 55 1 05 Liquidity beta 0 375 0 375 0 250 31 Based on Furtado s summary of the three firms the most likely going concerns are A COGS Inc and Octocog only B Tech Ventures and Octocog only C all three firms 32 Intrinsic value is best defined as A the value of a company to a specific buyer taking into account all potential synergies and based on the investor s requirements and expectations B the value of a company if it were dissolved and its assets sold individually C the value of a company given a hypothetically complete understanding of its investment characteristics 33 Based on Statements 1 and 2 at the research meeting concerning Octocog the valuation model Furtado most likely will select is A the residual income model B the dividend discount model C the sum of the parts valuation model 2018 CFA Society Boston 21 34 A higher quality of earnings would most likely result from A recognizing revenue early or classifying non operating income or gains as part of operations B recognizing ample reserves in the current year such as valuation allowances against deferred tax assets C accelerating expenses through the income statement or using conservative estimates and assumptions such as shorter depreciable lives 35 Using the Fama French Multifactor Model and data shown in Exhibit 1 and a risk free rate of 2 15 the firm with the lowest required rate of return is A COGS Inc B Tech Ventures C Octocog 36 Based on Furtado s summary of COGS Inc s balance sheet information COG s weighted average cost of capital is closest to A 4 5 B 6 5 C 6 7 2018 CFA Society Boston 22 ITEM SET 7 EQUITY VALUATION Questions 37 through 42 are allocated 18 minutes Matt Matthews MacMillian Foundation CIO was reviewing the Q4 2017 earnings report for Delos Corp NYSE DEL Matthews is considering adding the stock to the foundation s portfolio Delos financial statements are shown in Exhibits 1 through 4 1 Delos reported trailing 12 month EPS of 20 57 which included 0 45 per share of restructuring costs and 0 78 per share of amortization of intangibles arising from a recent acquisition Additionally the firm experienced a one time charge equal to 0 90 per share related to vacating certain real estate locations Matthews expects the amortization charges to continue at these levels for the foreseeable future Matthews is considering using the firm s free cash flows in his valuation models Later Matthews further analyzed Delos In addition to noting that Delos closing stock price for Q4 2017 was 27 75 with 205 000 000 shares outstanding Matthews calculated several other key data points including Delos cost of debt 7 0 before taxes and 4 9 after tax and its cost of equity 11 2 1 Note Numbers in Exhibits 1 4 may not add due to rounding 2018 CFA Society Boston 23 2018 CFA Society Boston 24 37 From 2016 to 2017 Delos Corporation s free cash flow to the firm is most likely growing A faster than its free cash flow to equity B slower than its free cash flow to equity C at the same rate as its free cash flow to equity 38 Trailing 12 month EPS based on underlying earnings for Delos Corp is closest to A 18 45 B 19 20 C 20 10 39 The advantage of using free cash flow in a valuation model versus other cash flow definitions or earnings related measures is most likely that A free cash flows are readily available data B forecasting free cash flows is a relatively easy and straightforward exercise C free cash flows can be used directly in a DCF framework to value the firm or to value equity 40 Based on results for 2017 EV EBITDA is closest to A 11 90 B 13 55 C 15 20 41 An advantage of using EV EBITDA multiples is A EBITDA ignores the effects of differences in revenue recognition policy on cash flow from operations B EBITDA estimates cash flow from operations even if working capital is contracting C EBITDA is frequently positive when EPS is negative 42 Delos Corporation s residual income for 2017 is closest to A 160 5 million B 176 6 million C 228 0 million 2018 CFA Society Boston 25 ITEM SET 8 FIXED INCOME Questions 43 through 48 are allocated 18 minutes Victoria Wynn CFA at Adelaide Co is researching the underlying economic factors that she believes are affecting the shape of the yield curve She believes that maturity preference is the driving force She discusses this finding with a colleague Harrison Lee CFA who provides three additional observations Statement 1 Supply and demand for maturities independently determine the yield for that maturity Statement 2 Investors are risk neutral Statement 3 Institutions are taking on additional risk to gain additional return Lee is also assisting the trading desk to identify arbitrage opportunities He gathers the following information on a convertible callable putable bond Value of convertible callable putable bond 10