3.2012年6月CFA2級Mock Exam AM（試題版）

By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. 2012 Level II Mock Exam: Morning Session The morning session of the 2012 Level II Chartered Financial Analyst (CFA) Mock Examination has 60 questions. To best simulate the exam day experience, candidates are advised to allocate an average of 18 minutes per item set (vignette and 6 multiple choice questions) for a total of 180 minutes (3 hours) for this session of the exam. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. Adam Case Scenario Nine months ago, Makenna Adam, CFA, was dismissed from her job as an equity research analyst with Transcontinental Brokerage Company, a publicly listed nationwide stock brokerage company. Unable to find new employment, Adam establishes an Internet-based business, Adam Research Ltd, selling research reports to individuals, institutional investors, and sell-side financial services companies. Adam recognizes she must make numerous disclosures on her website to comply with the CFA Code of Ethics and Standards of Professional Conduct and the CFA Institute Research Objectivity Standards. She feels it is important to comply with the Standards to help improve her business prospects. Adam clearly displays the following claim on the home page of Adam Research Ltds website: “Adam Research Ltd complies with the CFA Institute Research Objectivity Standards. This means investors can be assured all research is accurate, although actual outcomes may differ from forecasted outcomes. Our research reports clearly distinguish between facts and opinions by the analyst writing the research report.” Also clearly displayed on the home page is an additional disclosure regarding potential conflicts of interest: “Adam Research Ltd and/or its employees and associates may from time to time hold shares in any of the companies we cover. Please contact us for disclosure concerning our share positions.” In addition, Adam creates a stock rating system, posting it on the website for her clients and potential clients so they understand the basis for how Adam Research recommendations are made. She thoroughly describes the rating system as follows: The firm uses different recommendation categories (i.e., outperform, neutral, and underperform) along with an indication regarding risks for each type of investor, time horizons, and the time frame in which the shares are expected to reach their target price. Adam realizes she must produce research reports quickly to have product to sell. Adams first report covers her former employer, Transcontinental, and is based in part on last years annual report. Because she is a former employee and a shareholder in Transcontinental, Adam is convinced she knows all aspects of the company very well and decides not to meet with Transcontinental management. She publishes the report clearly stating she is a former employee and current shareholder. To drive traffic to her website, she allows free access to the report, leaving it on the site even after Transcontinental reports its year-end financial results. She receives an excellent response, with roughly 45% of her marketing list downloading the report. The Transcontinental report captures the attention of investors due to its strong “buy” recommendation, in contrast to other analyst reports recommending a “sell.” As a result, Adam is By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. invited to participate in an interactive Internet chat room, where she recommends a “buy” for Transcontinental. Due to limited time, she only discloses her former employment at Transcontinental and uses the rest of the time to advertise Adam Research. On several occasions Adam mentions her websites URL address. To expand Adam Researchs research capability after obtaining new clients, Adam hires two analysts. Recognizing the need to have written implementation policies, as Adam is no longer the only one writing research reports, she creates policies and provides them to the new employees before posting them on the Adam Research website for clients to download. These policies are provided below in Exhibit 1. Exhibit 1 Adam Research Ltd Company Policies and Procedures Policy Type Content Description Research Objectivity Policies This document describes the process required to determine if there is independence and objectivity in the firms research, with instructions to make this policy available to all investors and employees. Procedures cited include supervisory procedures to ensure compliance, annual attestation, and adherence to internal audit requirements. Compliance and Enforcement Policies This document describes compliance policies and procedures to ensure research objectivity and lists all activities considered to be violations and the resulting disciplinary sanctions, including dismissal from the firm. Personal Investments and Trading Policies These policies are designed to manage covered employees personal investments and trading activities to ensure the interests of the clients are always placed before the company, its employees, and their immediate families, including prohibition of front running and participation in subject company IPOs. In addition, covered persons are banned from trading against the companys recommendations unless for financial hardship reasons. All trades must be approved in advance. 1. Does the reference in Adam Researchs website to the CFA Institute Research Objectivity Standards most likely reflect the objectives of these Standards? A. No B. Yes, because Adam states actual outcomes may differ from forecasted outcomes C. Yes, because Adam clearly states analyst opinions are distinguishable from facts By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. 2. Adam Researchs website disclosure regarding potential conflicts of interest least likely meets the recommendations for compliance with the CFA Institute Research Objectivity Standards concerning the: A. plain language. B. prominent display. C. comprehensiveness. 3. Which category of Adam Researchs rating system could most likely be improved to meet the recommendations for compliance of the CFA Institute Research Objectivity Standards? A. Risk B. Time horizon C. Rating category 4. The research report on Transcontinental most likely meets CFA Institute recommendations for compliance with Research Objectivity Standards with regard to: A. reasonable and adequate basis. B. relationships with subject companies. C. timeliness of research reports and recommendations. 5. Did Adams participation in an interactive Internet chat room most likely comply with CFA Institute recommendations for compliance with ROS and Standards of Professional Conduct? A. Yes B. No, because she did not make sufficient disclosures C. No, because she is trying to manipulate the share price 6. Which of Adam Researchs company policies and procedures given in Exhibit 1 least likely complies with the CFA Institute Research Objectivity Standards? A. Research Objectivity B. Compliance and Enforcement C. Personal Investments and Trading By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. Robyn Lawrence Case Scenario Robyn Lawrence is a senior quantitative analyst in the Global Derivatives Group of Ridgeview Capital, an investment management firm based in New York City. Lawrence is conducting a training session for two recently hired analysts, Wilma Kaplan and Anita Mehra. At the meeting, Kaplan and Mehra are asked questions about the Berkeley Corporation and are provided with the information in Exhibit 1. Exhibit 1 Stock and Options Data for Berkeley Corporation and Risk-Free Interest Rate Current Call Price $2.30 Current Put Price $4.70 Exercise Price $130.00 Days to Expiration* 60 Current Stock Price $128.55 Up Move on Stock 15% Down Move on Stock 10% Risk-Free Interest Rate 3% *Note: Assume a 365-day year. Lawrence begins the meeting by stating: Statement 1: “You have both been asked to use the information provided in Exhibit 1 to perform certain calculations. One of your tasks was to calculate the synthetic values of call and put options for Berkeley Corporation. Can one of you tell me why it is useful to construct and value synthetic calls and puts?” Kaplan responds, “Deriving synthetic values enables us to determine whether it is possible to earn arbitrage profits. For example, if we find that the current call price is greater than the synthetic call price then we could earn an arbitrage profit by carrying out the following transactions: selling the call, purchasing the put, and taking short positions in the stock and the bond.” The discussion then moves on to the BlackScholesMerton option pricing model. Lawrence states: “The BlackScholesMerton option pricing model is based on a number of assumptions, including: underlying prices follow a lognormal probability distribution, the risk-free rate is known and constant, there are no cash flows on the underlying, and the options being priced are European options. What are the other assumptions of this model?” Kaplan responds: By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. “The other assumptions of the model are: Assumption 1: There are no taxes or transactions costs. Assumption 2: The volatility of the underlying assets change through time. Assumption 3: The prices of the underlying asset follow a lognormal distribution.” Lawrence continues the discussion: “In the BlackScholesMerton model, option prices for European calls and puts are impacted by a number of variables, including time to expiration, volatility, and the risk-free rate. Can one of you explain the effect of changes in these variables on the prices of European call and put options?” Mehra responds: “Call and put prices are higher when volatility is higher, and call and put prices are lower for higher risk-free rates. However, while call options are higher for longer time to expiration, put option prices can be higher or lower the longer the time to expiration.” Lawrence ends the meeting with the following statement: Statement 2: “An important option Greek that you should be familiar with is the option delta, because traders can use this to construct hedges to offset the risks of their option positions. You should note that for in-the- money call and put options, delta approaches 1 as the option moves toward expiration.” 7. Based on the information provided for the Berkeley Corporation in Exhibit 1, the price of a synthetic 60-day call option with a $130.00 strike price is closest to: A. $3.25 B. $3.88 C. $5.52 8. Kaplans response to Lawrences Statement 1 is most likely: A. correct. B. incorrect with regard to purchasing the put. C. incorrect with regard to taking a short position in the stock. 9. Based on the information in Exhibit 1 and using a one-period binomial model, the value of a 60- day Berkeley Corporation call option with a strike of $130.00, is closest to: A. $6.67. B. $8.31. C. $9.00. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. 10. Kaplans response to Lawrence regarding the assumptions of the BlackScholesMerton model is least likely correct with respect to: A. Assumption 1. B. Assumption 2. C. Assumption 3. 11. Mehras response to Lawrence is least likely correct with respect to the impact on call and put prices of: A. volatility. B. the risk-free rate. C. time to expiration. 12. Is Statement 2 by Lawrence most likely correct? A. Yes. B. No, she is incorrect with respect to calls. C. No, she is incorrect with respect to puts. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-mailing, distributing, and/or reprinting the mock exam for any purpose. El Morro Case Scenario Raul Garcia, CFA, and Mateo Alonso are co-managers of El Morro U.S. Core Bond Fund. El Morro is a fixed income fund that is benchmarked against the U.S. Barclays Aggregate Bond Index. The fund and index contain securities in the Treasury, credit, asset-backed, and mortgage-backed sectors of the market. Garcia and Alonso first discuss their expectations on the direction of interest rates. Garcia states: “Rates are attractive across the curve. The 7- to 10-year part of the curve looks expensive, but that should not deter us because it is driven by insurance companies hedging their liabilities.” Alonso responds: “Interest rates for long maturity bonds look attractive; the risk premium appears to compensate us for the potential downside of adding duration. This premium is above the expected forward rates.” Garcia then asks Nora Costas, CFA, El Morros corporate bond analyst, to evaluate securities in other sectors of the index. Costas offers the following observations comparing corporate bond analysis to credit analysis in other sectors: Observation 1: Asset-backed securities (ABS) analysis is very similar in that it is important to assess not only the collateral but also the cash flow characteristics and the operating and business risks that impact these flows. Observation 2: Municipal revenue bond analysis is identical, as it requires an assessment of character of management, covenants, cash flow generation, and the underlying factors that generate these revenues. Observation 3: Sovereign debt analysis is very similar in that it requires the qualitative assessment of economic factors, and the willingness to pay as well as the ability to pay. Alonso then focuses on the mortgage securities in the portfolio. He asks Costas to explain what the cash flow implications are for a pool of mortgages in the portfolio. Alonso describes the mortgages in the pool as having a 20-month average age, and the pool has a monthly mortality of 0.4353%. Costas then offers to go over her valuation of a callable bond issued by a company she has been researching. The bond is callable at $101.50 every year starting one year from today. She uses the data in Exhibit 1 for her valuation. By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently registered CFA candidates and copying, posting to any website, e-