CFA二级模拟试题（2020）1：题目+答案.docx

QuestiCnSl-6relatetoEthics,，Questions7-12relatetoQuantitativemethod6Questions13-18relatetoFinancialRepolIingjflalysis10Questions19-24RelatetoFinancialRepollingandAnalysis14Questions25-30relatetoCol-porateFinance.18Questions3136relatetoEquity.22Questions37-42relatetoEquity.26Questions43-48relatetoFixedIncome30Questions4954relatetoDclivative33Questions55-60RelatetoPolIfolioManagement,.36RrstName:DateQuestions1-6relatetoEthicsCase1:TeaCaseScenarioC力口StianMathewCFA,isanequityj11lystspeciajfn11ginthebeveragemdusti%GuptaAssetMa血gers(GUPt),ap。ItfOiio皿血gementbasedmMflHhaiMathewisplamlingahiptoSriLankatoresearchtheteamdus叨MmaliPtemadOSaCFA,as'节em,"isaresearch11UystabrollllgAshokaBrokerheadqualteredmColomb(Sri1.akaMathewcontactsntohelpai丁扣IgevisitstospecifcallyidentifiedteaestatesofpubliclyCohpalliesmthehighlandscfSriLaaka.阳m,wantingtoenhancethebusmessrelatiol6hiwithGUPlaarrangesalld,SlitobePciidforbyAshokaThesecostsincludefoodhotelandThisStTangementisbasedthe皿derst扣汕ngthatallsecmityip455actiolisresultingMathewsniptoSLankaWiIIbeexecutedtlnougllAshoka沁hokabcrmnissirisaretypicallySimilartoitsbutitcantakeafewdaystoexecutelaigvolmncsofadesAshokaisnewtothebrokeragebusinessFVemsetstheitmeraiy,WithplallStoVisitanliimumofaxSriLankateaC(IIlPniIeSillttetleeregionSMathewtothevisitsandasksPLemtocl、eatealistcfquestiolistoasktlieofeachtowhichhewilladdRscprestiollSMalllewasksIVenltodelaythereleaseanyresearchreporthewritesonthesixSriLaakatheyvisittogetheruntilsuchtimettGuptaIifiShadanopportunitytoactontot螂KandyTeaEstateLimitedhfonnationisExhibit1.Exhibit1KandyTeaEstateLimitedDate:December2012Analyst:MuraIiPremadosaCharteredFinaialAnalystRecoui)eiaton:LongtenbuywithassociatedIiighconuiiodityrisksupportedbylargegrowthprospectsforSriLankaaswellasliquidityriskbecauseitisathinlytradedconayinafrontiermarket.Exhibit1Conrd-TeaProductionbyCountry(millionkg)200820092010CAGR(2008-2010)Iudia980.8979.0966.4-0.7%SriLaiika318.7290.6331.42.9%Source:IndiaTeaBoardandSriLaiikaTeaBoardMatliewisimpressedwithPrem,sworkethicandresearchabilities.KnowingGuptawantstohireanalystsforitsnewColombooffice.MathewasksPremifhewouldbeinterestedincIiangingenloyersandbuildingaresearchteamPremisexcitedabouttheprospectandtoshowhisworthtoGupta,Premundertakestkfollowingactionsathisofficeafternormalworkinghours:ActionECreatesalistofalltleworkliecoletedatAshokaontuspersonallaptop.Action2:Photocopiesresearchreportsherecentlycompletedontheteaindusty.Actiou3:MakesIiaiidwrittenexcerptsfrompreviousresearchmeeting>tes.UponMatlew,sreturntoMumbai,liedeliverstohisclientshisInvesunentreportwitha“Buy"recommendationforKandyTeaEstatelimited,alongwithteasanleshecollectedwhileuiSriLaiika.WheIIbuyingKandysIiaresforIiisclients.Matliewalsobuyshesamesharesforhispersonalaccount.Hehaddisclosedhisplantopurchasethesharesforhisownportfolioalongsidehisclientsbeforehebouglttheshares.However.MatliewisforcedtoselltleSameslarestwoweekslatertopayforamedicalemergency.MathewreceivedpermissionfromGupta,scomplianceofGcerforbothtransactions.LIstoelihancebusillessrdatisconsistentwiththeCFAInstituteCodeofEthicsandStand1Conduct?出ofA.YesB.NqUithregardtobestexecutionC.NqWithrcgardtoilldcpendenccandobjcctivitytoveViolatcdCFA扣idMathcwtheinfcrmationprovddedbythempany4.PIcmSresearchreportillExhibit1leastIikellyViolateSwlichCFAInstituteStandard?A.B.UseofCFAttionC.CommunicationWithClients5WhichoftheactionsthatPIcmundettakestoshowvaluetoGuptaisnsistentWiththeCFAStandaid>?6Matfewsac±ionsuponhisre血血。MuEtlJaiViQIateCFAStandardswithregardstohis:A.disclosuretoclients.B.personalteainvestments.C.giftsofteasanlestoclients.Questions7-12relatetoQuantitativemethodCaSe2:LiheukoConsultuigCaseScenarioYiinLitveiikoisIhefbulerandprimaryanalystforLitvenkoConsulting,afintlalspecializesinanalysisandmodelingforinvestmentadvisories.Litvenkohasrecentlytakenonanewclient.LiiidaEpstein.EpsteiiimanagesanequityfhndandisseekingnewstrategiestlatwillIielpIierexcelinpickingcompaniesforIhefundthatwillout-performthemarket.LitvenkosuggestsaquantitativeapproachtoSelectuigsecunties.Accordingtohisresearch,amultipleregressioncanprovideausefillscreenfornewstocks.Heproposesthefollowingmodel:&+1=bQ+b1×(RmtR介)+fe2xSMBt+%xHMLt+h4×Dt+fe5×RltWhere%.=theeectedreturnonthesecurityintlenextperiodRmt=thereturnontherelevantuarketindexRft=tlerisk-freerateSMBt=theexcessreturnoftl>esmallestdecilemarket-capstocksoverthebiggest-decileonesHMLt=theexcessreturnoftleliglest-decilelxx)k-to-uarketstocksoverthelowest-decileonesDt=tlecurrentdividendyieldR/=theconany'searningsreinvestmentrate1.itveukotellsEpsteinthatliewillusefiveyearsofquarterlyhistoricaldatatoestimatetheu)delandadviseshertoselectthosesecuritieswithreturnsabovehertargetthresholdforfirtheranalysis.Asanexa