CFA考试《CFA二级》历年真题精选及详细解析1007-4

1、CFA考试CFA二级历年真题精选及详细解析1007-41、If the US dollar were chosen as the functional currency forAcceletron in 2007, Redline could reduce its balance sheet expo sure to exchange rates by:【单选题】A. selling SGD30 million of fixed assets for cash.B. issuing SGD30 million of long-term debt to buy fixed assets.C. i

2、ssuing SGD30 million in short-term debt to purchase marketable securities.正确答案:A 答案解析:A is correct. If the US dollar is the functional currency, the ternporal method must be used, and the balanee sheet expo sure will be the net monetary assets of 125 + 230 - 185 - 200 = -30, or a net monetary liabil

3、ity of SGD30 million. This net monetary liability would be eliminated if fixed assets (non-m onetary) were sold to in crease cash. Issui ng debt, either short-term or Ion g-term, would in crease the net mon etary liability.2、In relation to Kostecka's handiing of the Jabbertalk stockrecommendatio

4、n, which of the following CFA InstituteSta ndards of Professi onal Con duct did he least likely violate?【单选题】A. Priority of TransactionsB. Fair DealingC. Communication with Clients正确答案:B 答案解析:B is correct* Standard lll(B)-Fair Dealing requires members and can didates to deal fairly and objectively w

5、ith all clients when providing investment analysis, making investment recomme ndations, taki ng in vestment actio n, or en gagi ng in other p rofessi onal activities. Whe n Kostecka in forms clie nts of the up comi ng investme nt recomme ndatio n by Forkson, he has treated all clients fairly because

6、 this disclosure is provided to all of his current clie nts.A is in correct because Kostecka has violated Standard VI(B)-Priority of Transactions. There is a potential conflict of interest because the client and the adviser hold the same stock, so the client should be given first priority to trade J

7、abbertalk.C is in correct because according to StandardV(B)-Communication with Clients and Prospective Clients,Kostecka should have distinguished fact from opinion. In addition, Kostecka should also disclose to clients and prospective clients the basic format and general principles of the investment

8、 processes used to analyze investments, select securities, and con struct portfolios and must promptly disclose any changes that might materially affect those processes and use reasonable judgment in identifying which factors are important to his investment analyses, recommendations, or actio ns and

9、 in elude those factors in comm un ications with dients and prospective clients.3、Zhang's statement to support using the harmonic mean is best described as:【单选题】A. incorrect with respect to large outliers.Bjncorrect with respect to small outliners.Cxorrect.正确答案:B 答案解析:B is correct. Zhang's s

10、tatement is incorrect with respect to small outliers. The harmonic mean tends to mitigate the imp act of large outliers. It may aggravate the imp act of small outliers, but such outliers are bounded by zero on the downside.A is in correct* The harm onic mean may aggravate the imp act of small outlie

11、rs, but such outliers are bounded by zero on the downside.C is incorrect. The harmonic mean may aggravate the impact of small outliers, but such outliers are bounded by zero on the downside.4、Based on the mean-reverting level imp lied by the AR(1) model regression output in Exhibit 1, the forecasted

12、 oil price forSeptember 2015 is most likely to be:【单选题】A.4、Is Dua most likely correct with regard to the factors that drive demand for different commercial real estate prop erty types?单选题】A. No, he is in correct about retail sp ace.B. Yes.C. No, he is incorrect about industrial and warehouse space.正

13、确答案:A 答案解析:A is correct. Dua is correct about factors that drive demand for office sp ace and in dustrial and warehouse sp ace but incorrect about retail space. Empioyment growth drives dema nd for office space, while warehouse sp ace dema nd dep ends broadly on economic strength. The level of impor

14、t and export activity is more directly related to dema nd for industrial and warehouse sp ace, not retail sp ace. Dema nd for retail sp ace depends on consumer spending, job growth, and economic strength,B is in correct. Dua is correct about factors that drive dema nd for office sp ace and industria

15、l and warehouse sp ace but in correct about retail space.C is in correct. Dua is correct about factors that drive dema nd for and in dustrial and warehouse space.5、Bickchip"s cash-flow-based accruals ratio tn 2009 is closest to:【单选题】A99%C233%正确答案:A 答案解析:A is correct. The cash-flow-based accrual

16、s ratio = ni -(cfo + cfi)/(Average NOA) = vspan style="font-style:" microsoftr” yahei'>""微软雅黑;"="">4,038 - (9,822 - 10,068)/43,192 = 99% 6、The fra Ct io n of SGC's market p rice that is attributable to the value of growth is closest to:【单选题】Adi%.B34%C

17、50%正确答案:B 答案解析:Using the Pastor-Stambaugh model to calculateSGC's cost of equity:004 + (1.20 x 0.05) + (050 x 0.02) + (-0.20 X 0.04)+(0.20 X 0.045)=ll-10%<imgsrc="htt ps:/attachmentc 8395e98f83e5435892d6bc291037a70fpng" alt="" width=”222” height="45" title'al

18、ign、 $28,45 = $18.74 + PVG OP VGO = $9.71PVGO/Price $9,71/$28.45 = 34.13%7、Based on Exhibit 2, the imp lied credit and liquidity risks as indicated by the historical three-year swap spreads for CountryB were the lowest:【单选题】A. l month ago.B. 6 mon ths ago.C. 12 mon ths ago.正确答案:B 答案解析:B is correct.

19、The historical three-year swap spread forCountry B was the lowest six mon ths ago. Swa p sp read is defined as the spread paid by the fixed-rate payer of an interest rate swap over the rate of the "on the run" (most recently issued) government bond security with the same maturity as the sw

20、ap. The lower (higher) the swap spread； the lower (higher) the return that investors require for credit and/or liquidity risksJhe fixed rate of the three-year fixed-for-floatingLibor swa p was 0,01% six mon ths ago, and the three-year governme nt bond yield was -0.08% six mon ths ago. Thus theswap s

21、pread six months ago was 0.01% - (-0.08%) = 0.09%.One month ago, the fixed rate of the three-year fixed-for-floatingLibor swap was 0.16%, and the three-year government bond yield was -010% Thus the swap spread one month ago was 0.16% - (-0<10%) = 0.26%Jwelve months ago, the fixed rate of the thre

22、e-year fixed-for-floating Libor swap was 0.71%, and the three-year government bond yield was -0.07%. Thus, the swap spread 12 months ago was 0.71% - (-0.07%) = 0.78%.8、Using the data in Exhibit 2, the portfoliol annual 1% parametric VaR is closest to:【单选题】A.CAD 17 million.B. CAD 31 million.C. CAD 48

23、 million.正确答案:B 答案解析:B is correct* The VaR is derived as follows:VaR = (e(rp) -233ap)(-l)(Portfolio value)whereE(Rp) = Annualized daily return = (0.00026 x 250) = 0.065250 = Number of trading days annually233 = Number of standard deviations to attain 1%VaR<img src="https:/attachmentxnbkwxom/

24、bkwimg/up/201910/1025CAD1224ff09b79546919adff44ced35b5d9.png'' alt="" width="613" height="50" title="" align=">Portfolio value260,000,000VaR = -(0.065 - 0.184571) x CAD 260,000,000=CAD31,088,460 9、Confabulated's reported interest income wou

25、ld be lower if the cost was the same but the par value (in thousands) of:【单选题】A.Bugle was 28,000.B. Cathay was 37,000.C. Dumas was 55,000.正确答案:B 答案解析:B is correct* The difference between historical cost and par value must be amortized under the effective interest method. If the par value is less tha

26、n the initial cost (stated interest rate is greater than the effective rate), the interest income would be lower than the interest received because of amortization of the premium.10、Is his res ponse to ScahilTs questio n regarding the imp act of changes in interest rate volatility on the OAS of call

27、able and putable bonds, Morgan is most likely:【单选题】A.incorrect about callable and putable bonds.B.correct about callable bonds and in correct about pu table bonds.Cxorrect about pu table bonds and in correct about callablebonds.正确答案:A 答案解析:A is correct. Morgan”s response to Scahill is incorrect*As interest rate volatility deciines, the embedded call option becomes cheaper;