2013年吉林省CFA二级考试试题(必备资料)

CFA考试《CFA二级》历年真题精选及答案1122-40

CFA考试《CFA二级》历年真题精选及答案1122-401、Based on Exhibit 1, the maximum loss of Strategy 1 is:【单选题】A.￥210.44.B.￥225.76.C.￥232.34.正确答案:A答案解析:A is correct. Strategy 1 is a covered call position using SMTC July 240 calls. A covered call position is a combination of a long position in the shares and a short call option. For this covered call position on SMTC, YCM would have a long position in SMTC shares and a short position in the July 240 call option on SMTC shares. The maximum loss for this covered call position would occur if the SMTC share price fell to zero. The loss on the shares would be reduced by the amount of the premium received from selling the call option. Therefore, the maximum loss of Strategy 1 is the difference between the original share price (S0) and the option premium (c2、Should Costa’s end-of-meeting comments result in changesto Hernández’s capital budgeting analysis?【单选题】A.No.B.Yes, but only to incorporate the possible delay.C.Yes, to incorporate both the possible delay and the cost of producing the prototype.正确答案:B答案解析:B is correct. Timing options (e.g., delay investing) should be included in the NPV analysis, but sunk costs should not.3、Are the two observations Berg records after the fixed income conference accurate?【单选题】A.Both statements are accurate.?B.Only Statement 1 is accurate.C.Only Statement 2 is accurate.正确答案:A答案解析:Statement 1 is correct. Swap markets tend to have more maturities with which to construct a yield curve as compared to government bond markets. Statement 2 is correct. Retail banks tend to have little exposure to swaps and hence are more likely to use the government spot curve as their benchmark.4、【单选题】。

CFA考试《CFA二级》历年真题精选及详细解析1107-74

CFA考试《CFA二级》历年真题精选及详细解析1107-741、Which of the notes made by Bourne regarding the valuation methods is least accurate? The note about the:【单选题】A.Market-based method.parable transactions method.C.Discounted cash flow method.正确答案:B答案解析:The comparable transactions method uses details from recent takeover transactions for comparable companies to make direct estimates of the target company\\\'s 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.2、Based on the relationship of Borgonovo’s stock to the SML, what is the most appropriate decision Benedetti should make regarding the Borgonovo stock?【单选题】A.Keep Borgonovo on the recommended list because it plots below the SML.B.Keep Borgonovo on the recommended list because it plotsabove the SML.C.Remove Borgonovo from the recommended list because it plots below the SML.正确答案:C答案解析:C is correct. The SML required return for Borgonovo is 2.5% + 1.2(7%) = 10.9%. With a forecasted return of 9.0%, Borgonovo lies below the SML (indicating it is overvalued) and should be removed from the bank’s recommended list.3、Based on the regression output in Exhibit 1, there is evidence of positive serial correlation in the errors in:【单选题】A.the linear trend model but not the log-linear trend model.B.both the linear trend model and the log-linear trend model.C.neither the linear trend model nor the log-linear trend model.正确答案:B答案解析:B is correct. The Durbin–Watson statistic for the linear trend model is 0.10 and, for the log-linear trend model, 0.08. Both of these values are below the critical value of 1.75. Therefore, we can reject the hypothesis of no positive serial correlation in the regression errors in both the linear trend model and the log-linear trend model.4、In accounting for the use of derivatives against the three risks that Minor has discovered, the entire gains or losses from the。

CFA考试《CFA二级》历年真题精选及详细解析1007-4

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 for Acceletron in 2007, Redline could reduce its balance sheet exposure 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.issuing 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 temporal method must be used, and the balance sheet exposure will be the net monetary assets of 125 + 230 – 185 – 200 = –30, or a net monetary liability of SGD30 million. This net monetary liability would be eliminated if fixed assets (non-monetary) were sold to increase cash. Issuing debt, either short-term or long-term, would increase the net monetary liability.2、In relation to Kostecka’s handling of the Jabbertalk stockrecommendation, which of the following CFA Institute Standards of Professional Conduct did he least likely violate?【单选题】A.Priority of TransactionsB.Fair Dealingmunication with Clients正确答案:B答案解析:B is correct. Standard III(B)–Fair Dealing requires members and candidates to deal fairly and objectively with all clients when providing investment analysis, making investment recommendations, taking investment action, or engaging in other professional activities. When Kostecka informs clients of the upcoming investment recommendation by Forkson, he has treated all clients fairly because this disclosure is provided to all of his current clients.A is incorrect 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 Jabbertalk.C is incorrect because according to Standard V(B)–Communication with Clients and Prospective Clients, Kostecka should have distinguished fact from opinion. In addition, Kostecka should also disclose to clients andprospective clients the basic format and general principles of the investment processes used to analyze investments, select securities, and construct 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 actions and include those factors in communications with clients 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.B.incorrect with respect to small outliners.C.correct.正确答案:B答案解析:B is correct. Zhang’s statement is incorrect with respect to small outliers. The harmonic mean tends to mitigate the impact of large outliers. It may aggravate the impact of small outliers, but such outliers are bounded by zero on the downside.A is incorrect. The harmonic mean may aggravate the impact of small outliers, 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 arebounded by zero on the downside.4、Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 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 property types?【单选题】A.No, he is incorrect about retail space.B.Yes.C.No, he is incorrect about industrial and warehouse space.正确答案:A答案解析:A is correct. Dua is correct about factors that drive demand for office space and industrial and warehouse space but incorrect about retail space. Employment growth drives demand for office space, while warehouse space demand depends broadly on economic strength. The level of import and export activity is more directly related to demand for industrial and warehouse space, not retail space. Demand for retail space depends on consumer spending, job growth, and economic strength.B is incorrect. Dua is correct about factors that drive demand for office space and industrial and warehouse spacebut incorrect about retail space.C is incorrect. Dua is correct about factors that drive demand for and industrial and warehouse space.5、Bickchip’s cash-flow-based accruals ratio in 2009 is closest to:【单选题】A.9.9%.B.13.4%.C.23.3%.正确答案:A答案解析:A is correct. The cash-flow-based accruals ratio = [ni – (cfo + cfi)]/(Average NOA) =<span style="font-style: " microsoft="" yahei",="" 微软雅黑;"="">[4,038 – (9,822 – 10,068)]/43,192 = 9.9%.6、The fraction of SGC\'s market price that is attributable to the value of growth is closest to:【单选题】A.21%.B.34%.C.50%.正确答案:B答案解析:Using the Pastor-Stambaugh model to calculate SGC\'s cost of equity:0.04 + (1.20 × 0.05) + (0.50 × 0.02) + (–0.20 × 0.04) + (0.20 × 0.045) =11.10%<imgsrc="https:///bkwimg/up/201911/1118 8395e98f83e5435892d6bc291037a70f.png" alt="" width="222" height="45" title="" align="">$28.45 = $18.74 + PVGOPVGO = $9.71PVGO/Price = $9.71/$28.45 = 34.13%7、Based on Exhibit 2, the implied credit and liquidity risks as indicated by the historical three-year swap spreads for Country B were the lowest:【单选题】A.1 month ago.B.6 months ago.C.12 months ago.正确答案:B答案解析:B is correct. The historical three-year swap spread for Country B was the lowest six months ago. Swap spread 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 swap. The lower (higher) the swap spread, the lower (higher) the return that investors require for credit and/or liquidity risks.The fixed rate of the three-year fixed-for-floating Libor swap was 0.01% six months ago, and the three-year government bond yield was –0.08% six months ago. Thus theswap spread six months ago was 0.01% – (–0.08%) = 0.09%.One month ago, the fixed rate of the three-year fixed-for-floating Libor swap was 0.16%, and the three-year government bond yield was –0.10%. Thus the swap spread one month ago was 0.16% – (–0.10%) = 0.26%.Twelve months ago, the fixed rate of the three-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 portfolio’s annual 1% parametric VaR is closest to:【单选题】A.CAD 17 million.B.CAD 31 million.C.CAD 48 million.正确答案:B答案解析:B is correct. The VaR is derived as follows:VaR = [(e(rp) – 2.33σp)(–1)](Portfolio value)whereE(Rp) = Annualized daily return = (0.00026 × 250) = 0.065250 = Number of trading days annually2.33 = Number of standard deviations to attain 1% VaR<imgsrc="https:///bkwimg/up/201910/1025 1224ff09b79546919adff44ced35b5d9.png" alt="" width="613" height="50" title="" align="">Portfolio value = CAD260,000,000VaR = –(0.065 – 0.184571) × CAD 260,000,000= CAD31,088,4609、Confabulated’s reported interest income would 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 than 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 response to Scahill’s question regarding the impact of changes in interest rate volatility on the OAS of callable and putable bonds, Morgan is most likely:【单选题】A.incorrect about callable and putable bonds.B.correct about callable bonds and incorrect about putable bonds.C.correct about putable bonds and incorrect 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 declines, the embedded call option becomes cheaper; thus, the higher the arbitrage-free value (or model value) of the callable bond.Callable bond value = Value of straight bond – Value of call optionA higher value for the callable bond means that a higher spread needs to be added to one-period forward rates to make the arbitrage-free bond value equal to the market price (i.e., the OAS is higher). For putable bonds as interest rate volatility declines, the value of the put option declines as does the arbitrage-free value of the putable bond.Putable bond value = Value of straight bond + Value of put optionThis implies that a lower spread needs to be added to one-period forward rates to make the arbitrage free bond value equal to the market price. Thus, in this instance, the OAS is lower.B is incorrect. Morgan is correct about the impact on OAS for callable bonds.C is incorrect. Morgan is correct about the impact on OAS for putable bonds.。

CFA二级练习题精选及答案0531-5

CFA二级练习题精选及答案0531-5CFA二级练习题精选及答案0531-51、Under the option analogy of the structural model, owninga company's debt is economically equivalent to owning a riskless bond and simultaneously:【单选题】A.buying an American put option on the assets of the company.B.selling a European put option on the assets of the company.C.buying a European put option on the assets of the company.正确答案:B答案解析:Under the structural model's debt option analogy, owning a company's debt is economically equivalent to owning a riskless bond that pays K dollars at time T, plus simultaneously selling a European put option on the assets of the company with maturity T and strike price K.2、Based on the given Z-spreads for Bonds 1, 2, and 3, which bond has the greatest credit and liquidity risk?【单选题】A.Bond 1B.Bond 2C.Bond 3正确答案:C答案解析:C is correct. Although swap spreads provide a convenient way to measure risk, a more accurate measure of credit and liquidity risk is called the zero-spread (Z-spread). It is the constant spread that, added to the implied spot yield curve, makes the discounted cash flows of a bond equal to its current market price. Bonds 1, 2, and 3 are otherwise similar but have Z-spreads of 0.55%, 1.52%, and 1.76%, respectively. Bond 3 has thehighest Z-spread, implying that this bond has the greatest credit and liquidity risk.3、Is Madison correct in describing key differences in equilibrium and arbitrage-free models as they relate to the number of parameters and model accuracy?【单选题】A.Yes.B.No, she is incorrect about which type of model requires fewer parameter estimates.C.No, she is incorrect about which type of model is more precise at modeling market yield curves.正确答案:A答案解析:A is correct. Consistent with Madison’s statement, equilibrium term structure models require fewer parameters to be estimated relative to arbitrage-free models, and arbitrage-free models allow for time-varying parameters.Consequently, arbitrage-free models can model the market yield curve more precisely than equilibrium models.4、Tyo’s assistant should calculate a forward rate closest to:【单选题】A.9.07%.B.9.58%.C.9.97%.正确答案:A答案解析:A is correct. From the forward rate model, f(3,2), is found as follows:[1 + r(5)]5 = [1 + r(3)]3[1 + f(3,2)]2Using the three-year and five-year spot rates, we find(1 + 0.107)5 = (1 + 0.118)3[1 + f(3,2)]2, so5、Based on Exhibit 1, the best action that an investor shouldtake to profit from the arbitrage opportunity is to:【单选题】A.buy on Frankfurt, sell on Eurex.B.buy on NYSE Euronext, sell on Eurex.C.buy on Frankfurt, sell on NYSE Euronext.正确答案:A答案解析:A is correct. This is the same bond being sold at three different prices so an arbitrage opportunity exists by buying the bond from the exchange where it is priced lowest and immediately selling it on the exchange that has the highest price. Accordingly, an investor would maximize profit from the arbitrage opportunity by buying the bond on the Frankfurt exchange (whi ch has the lowe st price of €103.7565) and selling it on the Eurex exchange (which has the highest price of €103.7956) to generate a risk-free profit of €0.0391 (as mentioned, ignoring transaction costs) per €100 par.B is incorrect because buying on NYSE Euronext and selling on Eurex would result in an €0.0141 profit per €100 par (€103.7956 –€103.7815 = €0.0141), which is not the maximum arbitrage profit available. A greater profit would be realized if the bond were purchased in Frankfurt and sold on Eurex.C is incorrect because buying on Frankfurt and selling on NYSE Euronext would result in an €0.0250 profit per €100 par (€103.7815 –€103.7565 = €0.0250). A greater profit would be realized if the bond were purchased in Frankfurt and sold on Eurex.。

2013年二级解析

专注国际财经教育FRM二级真题解析1 .答案CIn order to cajculate the nominal spread, you must firsr compute the bond equivalent yield for the MBS as fojlows: BEY = 2[(1十j M)6 - 1] = 2[(1 + 0.006)6 -1] = 7.31 %. The nominsJ spread is then calculated by taking the difference between the BEY and the yield ofa Treasury security with the same maturity as the average life of the MBS.Nominal spread = 7.31% - 5.20% = 2.11 %.2. 答案：BDV01 measures the price change from an increase and decrease in yield of 0.5 basis points in each direction. Hence, DV01 caprures interest rate risk. The spread '01 measure estimates credit sensirivity.The potential change in bond price is esrimated from a one basis poinr change in the z-spread. Specifically, the z-spread is shocked 0.5 basis points up and 0.5 basis points down and the difference is computed. Thus, the adjusted z-spread is 3% + 0.5% = 3.005% and 3% - o.s% = 2.995%.3 . 答案：CExpeaed shorcfall's stability as a measure oF risk depends on the loss distribution.4. 答案：CGordon identified only two of the three key initial conditions correctly. The three condirions were: (1) inadequate capiral of the banking system coupled wirh high leverage, (2) inadequace fiscal reserves, and (3) Jarge degree of interconnecredness of the global financial markets.5 . 答案：AStatement a is incorrect. Selecrion of the appropriate distribution is done by applying a goodness-of-fit test, such as chi-squared test. The chosen disrribution will mosr closely fit the hypothetical distribution.Stacement b is correct. Exrrapolarion could lead to the inclusion of severe hypothetical losses, thus the overesnmation of the needed capital charge. Statement c js corrca. To devejop distributions for various threshold levels and the respectivc weights, internal as well as exrernal data sources are required. Sratement d is correcn Loss severity is reduced because insurance indemnifies the insured (institution) above the deductible level; however, no one has control over frequency of unintentional losses.。

cfa试题

CFA试题是指在CFA考试中出现的题目，这些题目旨在评估考生对金融理论、实践和伦理道德的理解和应用能力。

CFA考试分为三个级别，每个级别的试题类型和内容都有所不同。

一级CFA考试主要考察考生对投资评估及管理方面的工具及基础概念的理解。

试题类型主要包括选择题，包括句子填空题和问答题。

二级CFA考试侧重于考察资产估值及投资工具的使用。

试题类型包括案例题，每个案例包括4道或6道选择题。

案例题通常包含图表、财务报表、统计数据等资料，考生需根据每个案例中的信息回答相关选择题。

三级CFA考试主要考察考生的投资组合管理知识。

试题类型包括简答题和论述题，案例分析题。

考生需要掌握资产定价和投资绩效分析，能够独立撰写投资报告。

CFA试题的设计目的是评估考生对金融理论、实践和伦理道德的理解和应用能力，试题类型包括选择题、案例题、简答题、论述题等。

考生在备考过程中，应通过大量练习真题和模拟题，掌握试题类型和答题技巧，提高自己的金融知识和分析能力。

CFA考试《CFA二级》历年真题精选及详细解析1107-33

CFA考试《CFA二级》历年真题精选及详细解析1107-33
1、Based on Exhibit 2, forecasted interest expense will reflect changes in Chrome’s debt level under the forecast assumptions used by:【单选题】
A.62.7%.
B.67.0%.
C.69.1%.
正确答案:C
答案解析:C is correct. The calculation of Archway’s gross profit margin for 2015, which reflects the industry-wide 8% inflation on cost of goods sold (COGS), is calculated as follows:
A.Candidate A.
B.Candidate B.
C.Candidate C.
正确答案:A
答案解析:A is correct. In forecasting financing costs such as interest expense, the debt/equity structure of a company is a key determinant. Accordingly, a method that recognizes the relationship between the income statement account (interest expense) and the balance sheet account (debt) would be a preferable method for forecasting interest expense when compared with methods that forecast based solely on the income statement account. By using the effective interest rate (interest expense divided by average gross debt), Candidate A is taking the debt/equity structure into account whereas Candidate B (who forecasts 2013 interest expense to be thesame as 2012 interest expense) and Candidate C (who forecasts 2013 interest expense to be the same as the 2010–2012 average interest expense) are not taking the balance sheet into consideration.

CFA二级练习题精选及答案0516-7

CFA二级练习题精选及答案0516-7 StudySession 3 –Quantitative Methods (7-12) Q=6JorgeReyes Case ScenarioJorge Reyes is a financial analyst withValores de Playa SA de CV, located in a suburb of Mexico City, Mexico. Twonights a week, he works as an adjunct professor at a local technical institute,lecturing in investments and serving as a consultant in statistics and relatedfields.During a lecture on modern portfolio theory(MPT), Reyes points out the role that reqression plays in estimating theparameters of the capital asset pricing model (CAPM), As an exercise, Reyespresents the results of a regression of retums (R) on the company that owns theMercican stock exchange (ticker symbal BOLSAA.MX) against the U.S.dallar-Mexican peso exchange rate （Er）.The data cover the period from late 2011 through early 2012.Thereare 64daily observations in the study. Exhibit l reports the results of theregression.One of the students asks Reyes about the"Adjusted R2" reported in Exhibit l. Reyes explains thatthe adjusted R2 removes the effects cf serial correlation in thedata.A second student recalls that the presenceof heteroskedasticity affects interpretation of the test statistics computed bya regression. Reyes confirms that that is true and suggests the studentsexamine a plot of the predicted BOLSAA return values versus their actualvalues.Exihibit 2 provides such a graph,Interpreting the graph, Reyes states:"Thepresence of heteroskedasticity is indicated when there is a systematic relationshipbetween the values of residuals and the independent variable. It is difficultto see such a systematic relationship in Exhibit 2.Thereforeheteroskedasticitydoes not appear to be a problem in this regression. "In a ater exercise, Reyes asks his studentsto consider a time series of 622 weekly prices of Maya 22 crude oil. Asubstantial proportion of Mexico's oil production is Mziya 22 heavy crude.Theperiod of the study is from January 1997 through Dtcember 2008.Reyes starts the analysis by looking at achart of the time series (not shown). Reyes points out several key features ofthe chart.u First, the prices exhibit an exponentialtrend in the price increasesleading up to 2008.u Second,price behavior in the last few months of 2008 is significantlydifferent from price behavior leading to the market top.Reyes asks the students to model the timeseries for the period January 3, 1997, through July 18, 2008, when prices hitthehigh value of USD126.58. At Reyes' suggestion, the students first model theprices as an exponential trend (long-Iinear model). They test for correlatederrors from the model using the Durbin-Watson statistic. The results arereported in Exhibit 3.Reyes next suggests they use a first-orderautoregressive model {AR(l)}. To reduce the impact of the exponential trend,the students continue to use the natural logarithms of the prices, but now theyalso take the first differences of these logarithms of the prices (xt)They fit a first-order autoregressiv model (AR(l)) to the differences of logs.The results of the regression are reported in Exhibit 4.As nonstationarity or heteroskedasticitywould negatively impact use of the AR(1) model, Reyes asks the students to testfor the presence of each. Results of the unit root test of nonstationarity andof a test for the presece of heteroskedasticity are reported in Exhibit 5.Question7theregression of the retuns of BOLSAA.MX on the USD:MXN exchange rate (Exhibit l),the coefficient of the USD:MXN exchange rate is most occurotely described as:A. signifiontly different fromzero.B. not significantly differentfrom zero.C. indeterminate, asinsufficient informatian is provided in Exhibitl.Question8Reyes'explanation regarding Adjusted R2 is best characttrized as:A. correctB. incorrect because Adjuted R2is a means of compensating for heteroskedasticity in the independent variables.C. incorrect because Adjusted R2reflects the loss of degrees of freedom when additionali ndependentvariables are added to a regression.Question9Reyes'interpretation of the graph in Exhibrt 2 is best described as:A. correctB. incorrect because theeffects of heteroskedasticity are, in a regressian such as this one, hidden bythe negative slope of the regressian line.C. incorrect becauseheteroskedasticity is indicated when there is not a systematic relationshipbetween the residuals and the independent variable.Question10TheDurb-Watson testreported in Exihit 3 is must acurately interpreted asindicating that the correlation in the errors is:A. insignificant.B. significantly positive.C. significantly negative.Question11Based onthe regression results reported in Exhibit 4,the mean-reverting level of thedifferences of logarithms of the Maya 22 prices(i.e,the time series as modeledin the AR(1) model)is closest：A. 0.00239.B. 0.00311.C. 0.30812.Question12Bared onthe results reported in Exhibit 5,the AR(1) model is best described as havingA. a unit root.B. reliable standard errors.C. heteroslcedasticity in theerror term variance答案解析：7. Correct answer：A"Correlation and Regression,"Richard A. DeFusco, CFA, Dennis W. McLeavey. CFA. Jerald E. Pinto, CFA, andDavid E. Runkle. CFA 2013 Modular Level ll. Vol.1. Reading 11, Section 3.5.Equation 10Study Sessian 3-11-gFormulate a null and alternative hypothesisabout a populatian value of a regression caefficenL and determine theappropriate test statistic and whether the null hypothesis is rejected at agiven level of significance.A is correct. A two-tailed t-test isappropriate to test if the coefficient differs signiflcantly from zero. Thetest statistic is the estimate of the coefficient (-0.5789) divided by itsstandard error (0.2221))-0.5789/0.2221 =- 2.61. Because -2.61 lies below -2.00(the negative critical value for the two-tailed test), the coefficient differssignifIcantly from zero at the 5% level ofsignificance.8. Correct answer:C"Multiple Regression and Issues inRegression Analysis." Richard A. DeFusco. CFA, Dennis W. McLeavey. CFAJerald E Pinto. CFA and David E. Runkle. CFA2013 Modular Level II Vol. 1. Reading 12.Section 2.4Study Sesiion 3-12-fDistinguish between and interpret R2 andadjusted R2 in multipleregression.C is correct. The acljusted R2reflects the loss of degrees of freedom when additianal independent variablesare added to a regression.lt does not remove the effects of serial correlatianin the data.9. Correct answer:A"Multiple Regression and Issues inRegression Analysis," Richard A. DeFusco. CFA, Dennis W. McLeavey, CFAJerald E.Pinto. CFA. and Davicl E. Runkle.CFA2013 Modular Level II, Vol. 1. Reading12 Section 4.1Study Sessian 3-12-iExplain the types of heteroskedastiaty andthe effects of heteroskedasticity and serial correlation on statisticalinference.A is correct. The presence ofheteroskedasticity is indicated when a systematic relationship exists betweenthe residuals and the independent variable.lt is difflcult to see such asystematic relatronship in Exhibit 2. Therefore. heteroskedasticity does notappear to be a problem in this regression.10. Correct answer：C"Multiple Regression and Issues inRegression Anatysis," Richard A. DeFusco. CFA, Dennis W. McLeavey, CFAJerald E Pinto. CFA. and David E Runkle. CFA2013 Modular Level II, Vol.1. Reading12 Section 4.2.2,Fig. 3 "Time-Series Analysis,H Richard A, DeFusco,CFA Dennis VV. McLeavey, CFA, Jerald E, Pinta. CFA, and David E. Runkle, CFA2013 Modular Level II. Vol. 1, Reading 13,Section 3.2Study Sessions 3-12-i. 3-13-bExplain the types of heteroskedasticity andthe effects of heteraskedasticity and serial correlation on statisticalinference.Describe factors that determine whether alinear or a log-linear trend should be used with a particular time series. andevaluate the limitations of trend models.C is correct. Significantly large values ofthe Durbin-Watson statistic point to nagative serial correlation (see Footnote49. Sedion 4 2.2). Specifically. if the DW statistic exceeds 4 - dl.where dl is the lower critical value of the DW test. there issignificant negative serial correlation.ln this case. DW = 3.97 and dI= 1.65. Because 3.97 > [4 - 1.65] the test inclicates significant negativeserial correlation.11. Correct answer:B12.Correct answer:C"Time-Series Analysis.' Richard A. DeFusca, CFA, Dennis W.McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle.CFA2013Modular Level II, Vol. 1. Reading 13, Sections 5.2.9 Study SessIion 3-13-m, nExplainautoregressive conditional heteroskedasticity (ARCH), and describe how ARCHmodels can be applied to predict the variance of a time series.Explain how timeseries variables should be analyzed for nonstationarity and/or caintegrationbefore use in a linear regression.C is correct. theAR(1) model passes tha unit root test (does not exhibit a unit root). The testfor heteroskedasticity. however suggests that the error term variances areheteroskedastic. A more sophisticated。

cfa2级资料 -回复

cfa2级资料-回复以下是一步一步回答题目【cfa2级资料】的1500-2000字文章：【cfa2级资料】是指二级特许金融分析师（Chartered Financial Analyst Level 2）的考试资料。

CFA是全球金融行业最重要的证书之一，其考试涉及投资组合管理、衍生品、金融报表分析等多个领域，对金融从业人员的专业素养要求较高。

本文将分步回答如何准备CFA2级考试。

第一步：了解CFA2级考试的结构和内容CFA2级考试由2个峰会级考试组成，分别为CFA2级考试上午和CFA2级考试下午。

上午要回答针对投资工具和个别资产类别的问题，下午则主要涉及针对投资组合和整合资产类别的问题。

对于CFA2级考试的备考，首先要了解每个部分的考试重点和知识点，并结合平时的学习情况制定合理的备考计划。

第二步：制定合理的学习计划制定合理的学习计划是备考的重要一步。

合理的学习计划可以帮助考生合理分配时间，高效学习。

考生可以根据自己的实际情况，将每周学习时间和知识点的难易程度进行合理安排。

同时，考生还可以参考CFA官方提供的考试大纲，将知识点细化为每周的学习目标。

第三步：选择适合的学习材料选择合适的学习材料对备考至关重要。

考生可以选择CFA官方提供的教材，它们详细覆盖考试大纲中的所有知识点，并有助于考生对考试要求的全面理解。

同时，考生还可以参考其他辅导教材和习题集，这些材料通常比较系统地整理了知识点，对于查漏补缺和检验复习效果非常有帮助。

第四步：有针对性地进行知识点的学习和理解根据CFA2级考试的考点进行有针对性的学习是备考的重要一环。

考生可以结合教材、辅导材料以及习题集，将考试要求的每个知识点逐个学习和理解。

同时，考生还可以通过笔记和总结整理对知识点的理解，以便于复习和巩固。

第五步：进行习题训练和模拟考试习题训练和模拟考试是备考过程中非常重要的环节。

通过做大量的习题和模拟考试，考生可以熟悉考试的题型和时间要求，提高答题速度和准确性。

cfa2级资料 -回复

cfa2级资料-回复導言：引入文章主題及資料的重要性（200-250字）主體：1. 什麼是CFA？- CFA的全程為Chartered Financial Analyst，是一個國際認可的金融專業資格。

- CFA資格考試分為三級，涵蓋了金融投資、財務報表分析、資產定價等領域。

- CFA資格被認為是投資界的金字塔頂尖資格，擁有CFA資格對個人的職業發展和薪酬水平具有明顯的提升作用。

2. CFA 2級的考試內容- CFA考試共分為三級，其中2級是CFA考試的中間階段。

- CFA 2級的考試內容主要包括資本市場、公司金融、負債、股權、貨幣市場、金融報表分析等領域。

- CFA 2級的試題相對於1級來說更加深入和複雜，所需的學習和準備時間也會更長。

3. 如何準備CFA 2級考試- 研究考試大綱：詳細了解CFA 2級考試所覆蓋的領域。

- 制定學習計劃：根據考試時間表和個人時間安排，合理分配學習時間。

- 學習各科目：根據考試大綱有重點地學習各科目的相關知識。

- 做練習題：進行大量的練習題可以提高對考試題型的理解和應對能力。

- 參加模擬考試：模擬考試可以幫助進一步了解自己的學習狀況和考試表現。

4. CFA 2級考試的重要性- 獲得更高的專業認可：通過CFA 2級考試可以得到更高水平的專業認可，提高個人在金融界的聲望。

- 提高職業發展機會：CFA資格被許多金融機構視為招聘的重要標準，通過CFA 2級考試能夠增加職業發展的機會。

- 提高薪酬水平：擁有CFA資格的金融從業人員通常享有較高的薪酬水平。

- 持續專業發展：CFA資格持有者需要遵守道德規範並參加專業發展活動，以確保自己繼續保持專業水平。

結論：複述文章主要內容並強調CFA 2級考試的重要性（150-200字）資料的內容導言：CFA（Chartered Financial Analyst）是一個國際認可的金融專業資格，擁有CFA資格對投資從業人員的職業發展和薪酬水平有著明顯的提升作用。

cfa二级金程百题

cfa二级金程百题CFA（Chartered Financial Analyst）二级考试是金融行业从业者晋升的重要资格认证之一。

金程百题是一套备受考生青睐的备考资料，其中包含了一百道经典试题，覆盖了CFA二级考试的各个知识点。

本文将对金程百题进行综合分析与解答，帮助考生深入了解题型特点与解题技巧。

第一部分：定量分析在金程百题中，定量分析是一个占比较大的模块。

此部分主要考察考生对金融数学和统计学的理解和运用能力。

题目形式多样，涵盖了各种计算题和解析题。

考生在备考过程中，除了熟练掌握公式和计算技巧外，还需注重理论与实践的结合。

以第一题为例，考题要求计算二项式风险价值（Binomial Value at Risk，BVaR）。

解题思路是根据给定的数据，利用二项式模型计算出投资组合的价值，并进行风险度量。

在计算过程中，需要使用二项式模型的公式和投资组合的收益率数据。

第二部分：金融市场和产品金融市场和产品模块是CFA二级考试的重点内容之一。

此部分考察考生对金融市场结构、金融工具和投资组合的理论基础和实践应用能力。

题目涉及股票市场、债券市场、外汇市场等多个方面，要求考生掌握不同市场和金融工具的特点和运作规则。

以第二十五题为例，考题要求分析一个利率衍生工具的风险敞口。

在解答过程中，考生需要了解该工具的具体特点和计算方式，并结合市场情况进行风险敞口的分析。

此类题目考察了考生对不同金融工具的理解和应用能力，需要综合考虑市场和产品的特点，分析风险因素并提出合理的风险管理策略。

第三部分：财务报表分析财务报表分析模块是CFA二级考试的又一重点内容。

此部分考察考生对财务报表的理解和分析能力。

题目要求考生根据给定的财务报表，进行财务分析和评估公司的财务状况和业绩。

考生需要掌握财务报表分析的方法和技巧，并能准确理解财务指标的意义和应用。

以第五十题为例，考题要求计算公司的盈利能力指标并进行分析。

考生需要根据给定的财务报表中的数据，计算利润率、净利率等指标，并分析公司的盈利情况。

CFA二级练习题精选及答案0601-5

CFA二级练习题精选及答案0601-51、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel's first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey's statement is incorrect, not all non-cash charges will need to beadded back. Net borrowing is added back for FCFE not FCFF, so Paschel's second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honorédescribes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other twopotential consequences Honorédescribes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in thesolution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is3.26% – 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.4、Based on Exhibit 1, which independent variables in Varden’s model are significant at the 0.05 level?【单选题】A.ESG onlyB.10.957%.C.Tenure onlyD.Neither ESG nor tenure正确答案:C答案解析:B is correct. The t-statistic for tenure is 2.308, which is significant at the 0.027 level. The t-statistic for ESG is 1.201, with a p-value of 0.238. This result is not significant at the 0.05 level.5、Based on Exhibit 1 and Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?【单选题】A.Country AB.Country BC.Country C正确答案:A答案解析:A is correct. Country A’s yield curve is upward sloping—a condition for the strategy—and more so than Country B’s.6、To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:【单选题】A.adjust the volatility assumption.B.increase the number of simulations.C.add a constant to all interest rates on all paths.正确答案:C答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market pricesonly by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.A is incorrect because adjusting the volatility assumption will generate another random value not equal to the benchmark bond value. The benchmark bond is option-free, so its value should not be affected by interest rate volatility.B is incorrect because increasing the model beyond 2000 paths will not lead to a different average value for the benchmark bond.7、Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:【单选题】A.one-year loan beginning in two years.B.two-year loan beginning in two years.C.three-year loan beginning in two years.正确答案:C答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows: The equation above indicates that in order to calculate the rate for a three-year loan beginning at the end of two years you need the five year spot rate r(5) and the two-year spot rate r(2). However r(5) is not provided.8、Cannan has been working from home on weekends and occasionally saves correspondence with clients and completed work on her home computer. Because of worsening market conditions, Cannan is one of several employees released by her firm. While Cannan is looking for a new job, she uses the files she saved at home to request letters of recommendation from former clients. She also provides to prospective clients some of the reports as examples of her abilities.【单选题】A.Cannan violated the Code and Standards because she did not receive permission from her former employer to keep or use the files after her employment ended.B.Cannan did not violate the Code and Standards because the files were created and saved on her own time and computer.C.Cannan violated the Code and Standards because she is prohibited from saving files on her home computer.正确答案:A答案解析:Answer A is correct. According to Standard V(C)–Record Retention, Cannan needed the permission of her employer to maintain the files at home after her employment ended. Without that permission, she should have deleted the files. All files created as p art of a member’s or candidate’s professional activity are the property of the firm, even those created outside normal work hours. Thus, answer B is incorrect. Answer C is incorrect because the Code and Standards do not prohibit using one’s personal computer to complete work for one’s employer.9、Based on the data in Exhibit 1, current real short-term interest rates would most likely be highest in:【单选题】A.Country #1.B.Country #2.C.Country #3.正确答案:B答案解析:B is correct. Real short-term interest rates are positively related to both real GDP growth and the volatility of real GDP growth. Country #1 and Country #2 have the highest real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5% – 4.0% = 2.5% and 5.0% – 2.5% = 2.5%, respectively), while Country #3 has the lowest real GDP growth (3.5% –2.0% = 1.5%). Looking at the volatility of real GDP growth, Country #2 has high real GDP growth volatility, whereas Country #1 and Country #3 have low real GDP growth volatility. Therefore, Country #2 would most likely have the highest real short-term interest rates.10、Which approach would an appraiser most likely use for valuing Property #2?【单选题】A.Cost approach.B.Income approach.C.Sales comparison approach.正确答案:B答案解析:Property #2 is an older office building with unique characteristics that could not be easily reproduced using current architectural designs and materials. Therefore, the cost approach would be less appropriate than the income approach as a basis for appraisal. The sales comparison approach would also be less suitable as the property is relatively unique.11。

CFA考试《CFA二级》历年真题精选及答案1122-48

CFA考试《CFA二级》历年真题精选及答案1122-481、In regard to calculating Wadgett\\\\\'s FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel\\\\\'s first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey\\\\\'s statement is incorrect, not all non-cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel\\\\\'s second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honoré describes three potential consequences ofmulticollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical。

CFA考试《CFA二级》历年真题精选及详细解析1007-6

CFA考试《CFA二级》历年真题精选及详细解析1007-61、Based on Exhibit 1, Smith should conclude that the insurer with the most efficient underwriting operation is:【单选题】A.Insurer AB.Insurer BC.Insurer C正确答案:C答案解析:C is correct. The combined ratio, which is the sum of the underwriting expense ratio and the loss and loss adjustment expense ratio, is a measure of the efficiency of an underwriting operation. A combined ratio of less than 100% is considered efficient; a combined ratio greater than 100% indicates an underwriting loss. Insurer C is the only insurer that has a combined ratio less than 100%.2、As compared to the temporal method, the parent\'s fixed asset turnover for fiscal 2008 using the current rate method is:【单选题】A.B.C.the same.正确答案:A答案解析:The local currency (the USD) is depreciating, so the historical rate will be higher than the current rate. Fixed asset turnover (sales divided by net PP&E) will be higher under the current rate method. Net PP&E will be translated at the lower current rate, and because sales are the same under both methods, the ratio will be higher.3、Ebinosa can best value Thunder using the:【单选题】A.excess earnings approach.B.asset-based approach.C.discounted free cash flow approach.正确答案:C答案解析:C is correct. The excess earnings method would rarely be applied to value the equity of a company particularly when it is not needed to value intangibles. The asset-based approach is less appropriate because it is infrequently used to estimate the business enterprise value of operating companies. By contrast, the free cash flow method is broadly applicable and readily applied in this case.4、For this question only, assume a weighted average cost ofcapital (WACC) of 12.0%. YD\'s economic value added (EVA) during the year 2008 is closest to:【单选题】A.$6 million.B.$18 million.C.$24 million.正确答案:B答案解析:$WACC = WACC x capital = 0.12 x 200 = 245、Based on Exhibit 1, Varden’s best answer to Quinni’s question about the F-statistic is:【单选题】A.both independent variables are significant at the 0.05 level.B.neither independent variables are significant at the 0.05 level.C.at least one independent variables are significant at the 0.05 level.正确答案:C答案解析:C is correct. Exhibit 1 indicates that the F-statistic of 4.161 is significant at the 0.05 level. A significant F-statistic means at least one of the independent variables is significant. 6、If investors have homogeneous expectations, the market is efficient, and there are no taxes, no transactions costs, and no bankruptcy costs, the Modigliani and Miller Proposition I states that:【单选题】A.bankruptcy risk rises with more leverage.B.managers cannot change the value of the company by using more or less debt.C.managers cannot increase the value of the company by employing tax saving strategies.正确答案:B答案解析:B is correct. Proposition I, or the capital structure irrelevance theorem, states that the7、If Alex Renteria is correct that the current price of Tasty Foods stock is its fair value, what is expected capital gains yield on the stock?【单选题】A.3.87%.B.4.25%.C.5.30%.正确答案:A答案解析:A is correct. If the stock is fairly priced in the market as per the Gordon growth model, the stock price is expected to increase at g, the expected growth rate in dividends. The implied growth rate in dividends, if price is the fair value, is 3.87 percent. Therefore, the expected capital gains yield is 3.87 percent.8、Which of the following is closest to the actual rate of return on beginning plan assets and the rate of return on beginningplan assets that is included in the interest income/expense calculation?【单选题】A.The actual rate of return was 5.56 percent, and the rate included in interestB.The actual rate of return was 1.17 percent, and the rate included in interestC.Both the actual rate of return and the rate included in interest income/expense were正确答案:A答案解析:A is correct. The actual return on plan assets was 1,302/23,432 = 0.0556, or 5.56 percent. The rate of return included in the interest income/expense is the discount rate, which is given in this example as 5.48 percent.9、Based on information in Exhibits 5 and 6, ER\'s adjusted total debt-to-asset ratio as of end of December, 2017 is closest to:【单选题】A.17.4%.B.20.83%.C.20.14%.正确答案:C答案解析:10、A factor associated with the widespread adoption ofalgorithmic trading is increased:【单选题】A.market efficiency.B.average trade sizes.C.trading destinations.正确答案:C答案解析:C is correct. Global financial markets have undergone substantial change as markets have fragmented into multiple trading destinations consisting of electronic exchanges, alternative trading systems, and so-called dark pools. In such an environment, when markets are continuously reflecting real-time information and continuously changing conditions, algorithmic trading has been viewed as an important tool.。

2013年CFA2级考题回忆及经验总结

0.题目分布今年特别诡异，正常年景应该是道德2，财务4，Equity4，FixedIncome2，衍生品2，Quant1，Econ1，Alter1，CorpFin+Portfolio加起来3道；但是今年Fixed Income只考了一道，而且还是最基础的信用分析，让人大跌眼镜；Alt考了两道，实在是出乎所有人的预料。

1.道德soft dollar：比较简单，因为题干里给的信息比较充分，基本上都能在题干中找到对应的答案；比较难的就是问一家公司要Broker直接给Hard Dollar，是否违反准则？ROS：研究员拿公司赠品是否违反？拿走公司的访客纪念品（不贵）是否违反？研究员发给投行部一些pitch的资料和建议，但是投行部发现该公司已经在洽谈了，如何回复该邮件？（给compliance直接发；还是发compliance抄研究员？）还有就是评级系统里的风险标示。

道德最好看一遍书再去考，做题的时候最重要的是看题干里的说法，有很多倾向性的东西已经告诉你了，这个时候，你只要顺着题干的意思就能猜出很多答案；尤其是什么only、however之类的语气助词，里面就已经说明了出题者的判断倾向了。

2.数量各种检验和判定：异方差、ARCH、ROOT UNIT、自相关、Cointegrated、多元代入求解预期值；六个题目各考了一个3.经济学汇率的标价转换、PPP的基本原理、Forward的简单计算、Taylor公式（今年sample有现成的题，但是sample的题干已经给出了公式，但是这次考试没给出；但是题干很简单，目标经济增长率已经接近名义利率了，再加上现在的实际通胀那么高，肯定是要提高名义利率的）4.财务考了四道题外汇转换的比率，外币从年初到年末升值，Current下有正的CTA，其他就是各类比例问题，比较容易区分，总之记住就是如果是外币升值，那么Current下的存货和固定资产转换成本币时都比temporal的要贵就是了；最后一小题比较难，算汇率风险敞口，理论上来说，不需要包括存货，但是子啊FIFO下，有人在考试后说Temporal的inventory要用average 法，因此有汇率敞口。

CFA考试《CFA二级》历年真题精选及详细解析1007-4

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 for Acceletron in 2007, Redline could reduce its balance sheet exposure 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.issuing 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 temporal method must be used, and the balance sheet exposure will be the net monetary assets of 125 + 230 – 185 – 200 = –30, or a net monetary liability of SGD30 million. This net monetary liability would be eliminated if fixed assets (non-monetary) were sold to increase cash. Issuing debt, either short-term or long-term, would increase the net monetary liability.2、In relation to Kostecka’s handling of the Jabbertalk stockrecommendation, which of the following CFA Institute Standards of Professional Conduct did he least likely violate?【单选题】A.Priority of TransactionsB.Fair Dealingmunication with Clients正确答案:B答案解析:B is correct. Standard III(B)–Fair Dealing requires members and candidates to deal fairly and objectively with all clients when providing investment analysis, making investment recommendations, taking investment action, or engaging in other professional activities. When Kostecka informs clients of the upcoming investment recommendation by Forkson, he has treated all clients fairly because this disclosure is provided to all of his current clients.A is incorrect 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 Jabbertalk.C is incorrect because according to Standard V(B)–Communication with Clients and Prospective Clients, Kostecka should have distinguished fact from opinion. In addition, Kostecka should also disclose to clients andprospective clients the basic format and general principles of the investment processes used to analyze investments, select securities, and construct 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 actions and include those factors in communications with clients 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.B.incorrect with respect to small outliners.C.correct.正确答案:B答案解析:B is correct. Zhang’s statement is incorrect with respect to small outliers. The harmonic mean tends to mitigate the impact of large outliers. It may aggravate the impact of small outliers, but such outliers are bounded by zero on the downside.A is incorrect. The harmonic mean may aggravate the impact of small outliers, 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 arebounded by zero on the downside.4、Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 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 property types?【单选题】A.No, he is incorrect about retail space.B.Yes.C.No, he is incorrect about industrial and warehouse space.正确答案:A答案解析:A is correct. Dua is correct about factors that drive demand for office space and industrial and warehouse space but incorrect about retail space. Employment growth drives demand for office space, while warehouse space demand depends broadly on economic strength. The level of import and export activity is more directly related to demand for industrial and warehouse space, not retail space. Demand for retail space depends on consumer spending, job growth, and economic strength.B is incorrect. Dua is correct about factors that drive demand for office space and industrial and warehouse spacebut incorrect about retail space.C is incorrect. Dua is correct about factors that drive demand for and industrial and warehouse space.5、Bickchip’s cash-flow-based accruals ratio in 2009 is closest to:【单选题】A.9.9%.B.13.4%.C.23.3%.正确答案:A答案解析:A is correct. The cash-flow-based accruals ratio = [ni – (cfo + cfi)]/(Average NOA) =<span style="font-style: " microsoft="" yahei",="" 微软雅黑;"="">[4,038 – (9,822 – 10,068)]/43,192 = 9.9%.6、The fraction of SGC\'s market price that is attributable to the value of growth is closest to:【单选题】A.21%.B.34%.C.50%.正确答案:B答案解析:Using the Pastor-Stambaugh model to calculate SGC\'s cost of equity:0.04 + (1.20 × 0.05) + (0.50 × 0.02) + (–0.20 × 0.04) + (0.20 × 0.045) =11.10%<imgsrc="https:///bkwimg/up/201911/1118 8395e98f83e5435892d6bc291037a70f.png" alt="" width="222" height="45" title="" align="">$28.45 = $18.74 + PVGOPVGO = $9.71PVGO/Price = $9.71/$28.45 = 34.13%7、Based on Exhibit 2, the implied credit and liquidity risks as indicated by the historical three-year swap spreads for Country B were the lowest:【单选题】A.1 month ago.B.6 months ago.C.12 months ago.正确答案:B答案解析:B is correct. The historical three-year swap spread for Country B was the lowest six months ago. Swap spread 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 swap. The lower (higher) the swap spread, the lower (higher) the return that investors require for credit and/or liquidity risks.The fixed rate of the three-year fixed-for-floating Libor swap was 0.01% six months ago, and the three-year government bond yield was –0.08% six months ago. Thus theswap spread six months ago was 0.01% – (–0.08%) = 0.09%.One month ago, the fixed rate of the three-year fixed-for-floating Libor swap was 0.16%, and the three-year government bond yield was –0.10%. Thus the swap spread one month ago was 0.16% – (–0.10%) = 0.26%.Twelve months ago, the fixed rate of the three-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 portfolio’s annual 1% parametric VaR is closest to:【单选题】A.CAD 17 million.B.CAD 31 million.C.CAD 48 million.正确答案:B答案解析:B is correct. The VaR is derived as follows:VaR = [(e(rp) – 2.33σp)(–1)](Portfolio value)whereE(Rp) = Annualized daily return = (0.00026 × 250) = 0.065250 = Number of trading days annually2.33 = Number of standard deviations to attain 1% VaR<imgsrc="https:///bkwimg/up/201910/1025 1224ff09b79546919adff44ced35b5d9.png" alt="" width="613" height="50" title="" align="">Portfolio value = CAD260,000,000VaR = –(0.065 – 0.184571) × CAD 260,000,000= CAD31,088,4609、Confabulated’s reported interest income would 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 than 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 response to Scahill’s question regarding the impact of changes in interest rate volatility on the OAS of callable and putable bonds, Morgan is most likely:【单选题】A.incorrect about callable and putable bonds.B.correct about callable bonds and incorrect about putable bonds.C.correct about putable bonds and incorrect 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 declines, the embedded call option becomes cheaper; thus, the higher the arbitrage-free value (or model value) of the callable bond.Callable bond value = Value of straight bond – Value of call optionA higher value for the callable bond means that a higher spread needs to be added to one-period forward rates to make the arbitrage-free bond value equal to the market price (i.e., the OAS is higher). For putable bonds as interest rate volatility declines, the value of the put option declines as does the arbitrage-free value of the putable bond.Putable bond value = Value of straight bond + Value of put optionThis implies that a lower spread needs to be added to one-period forward rates to make the arbitrage free bond value equal to the market price. Thus, in this instance, the OAS is lower.B is incorrect. Morgan is correct about the impact on OAS for callable bonds.C is incorrect. Morgan is correct about the impact on OAS for putable bonds.。

CFA备考之CFA二级习题精选及解析

CFA备考之CFA二级习题精选及解析CFA备考之CFA二级习题精选及解析CaseRhine Claus Petersen, a pension fund equity analyst, is preparing an analysis of Rhine AG for the upcoming quarterly fund meeting. Rhine is a Germany-based manufacturer that operates three distinct divisions: children’s products (infant car seats, strollers, cribs, etc.), recreational products (bicycles, bicycle trailers, etc.), and home furnishings (contemporary furniture). All three divisions sell through retail outlets around the world.The company has been pursuing an aggressive growth strategy, achieved through both foreign acquisitions and organic growth. Petersen is interested in determining how well Rhine is allocating its resources between the three divisions and the effects of the foreign acquisitions on overall performance. Exhibit 1 summarizes selected divisional and corporate data for 2013 and 2012.Petersen’s preferred method to determine which division is becoming less significant over time is to review the relationship between capital expenditures and total assets by operating division. He plans to base his conclusion on the assumption that 2013’s investme nt behavior is representative of future investment patterns.Petersen knows t hat revenues in the children’s products division have suffered because of declining birth rates in Europe and North America, but he believes that if Rhine can maintain the operating margin for this division then overall company profitability should not be affected.Corinna Berg, another analyst with the fund, reminds Petersen that during 2013, the U.S. dollar weakened against theeuro by 4% and that 50% of the sales in the recreational products division are sold in the United States.Petersen recalls that some of the recent global expansion was aimed at establishing operations in Ireland because its statutory corporate tax rate is lower than the German rate of 29.8%. If Petersen assumes that other tax credits were the same in 2013 as 2012, he can analyze cha nges in Rh ine’s effective tax rate to determine whether the geographic mix of the company’s profits has changed in 2013.Petersen finally examines the company’s liquidity ratios, which are shown in Exhibit 2. Even though the company’s current and quick ratio have improved, his interpretation of the changes in the company’s cash conversion cycle is that the company’s liquidity position has deteriorated.Worried that the balance sheet–based and cash flow–based accruals ratios (not shown) raise some concerns about the possible use of accruals to manage earnings, Petersen asks Berg for advice on what further type of analysis he should do as a follow-up on this issue.1. Using Petersen's preferred method and 2013 divisional data, the best conclusion Peterson can make about which division will potentially become less significant in the future is that it。

CFA考试《CFA二级》历年真题精选及详细解析1007-16

CFA考试《CFA二级》历年真题精选及详细解析1007-161、Pereira should forecast that the ROE for Globales is likely to decline:【单选题】A.more slowly than that of the industry competitor.B.at the same rate as the industry competitor.C.more rapidly than that of the industry competitor.正确答案:A答案解析:A is correct. Based on the principle of mean reversion, the high ROE for both firms should revert towards the mean. Globales has a higher cash flow component to its return than the peer firm, however, so its high return on common equity should persist longer than that of the peer firm. The peer firm has a higher accruals component, so it is likely to revert more quickly.2、How many of Yeung\\\\\'s constraints would be accurately regarded as a constraint in an investment policy statement?【单选题】A.One.B.Two.C.Three.正确答案:B答案解析:What Yeung has identified as Constraint 1 is properly classified as a return objective and not a constraint. Investment constraints are factors that restrict investment choices. Constraint 2 is unexampled of time horizon constraint. Constraint 3 is an example of liquidity constraint.3、Based on Exhibit 4, Singh and Ho should conclude that under Scenario 2, shares of Bern are:【单选题】A.undervalued.B.fairly valued.C.overvalued.正确答案:A答案解析:A is correct.The total market value of the firm is the sum of the debt, preferred stock, and common stock market values: 15,400 + 4,000 + 18,100 = 37,500 million.WACC = [wd × rd(1 – tax rate)] + (wp × rp) + (we × re).= [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11).= 7.70%.Under the assumption that Bern has a low growth rate because it did not receive regulatory approval for its new drugs, the value of Bern can be analyzedusing a two-stage valuation model.Year01234g1.50%1.50%1.50%0.75%FCFFn (€ millions)3,2263,274.393,323.513,373.363,398.66Present Value Factor0.9285290.8621670.800547Present Value (€ millions)3,040.372,865.422,700.53The terminal value at the end of Year 3 is TV3 = FCFF4/(WACC – g4).TV3 = 3,398.66/(0.0770 – 0.0075) = €48,921.38 million.The total value of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,921.38/(1 + 0.0770)3.= 8,606.32 + 39,163.88= €47,770.20 million.4、What is the value of the coefficient of determination?【单选题】A.0.8261.B.0.7436.C.0.8623.正确答案:B答案解析:B is correct. The coefficient of determination is the same as R-squared.5、A benefit of performing Task 1 is that it:【单选题】A.enables the model to price bonds with embedded options.B.identifies benchmark bonds that have been mispriced by the market.C.allows investors to realize arbitrage profits through stripping and reconstitution.正确答案:A答案解析:A is correct. Calibrating a binomial interest rate tree to match a specific term structure is important because we can use the known valuation of a benchmark bond from the spot rate pricing to verify the accuracy of the rates shown in the binomial interest rate tree. Once its accuracy is confirmed, the interest rate tree can then be used to value bonds with embedded options. While discounting with spot rates will produce arbitrage-free valuations for option-free bonds, this spot rate method will not work for bonds with embedded options where expected future cash flows are interest-rate dependent (as rate changes impact the likelihood of options being exercised). The interest rate tree allows for the alternative paths that a bond with embedded options might take.B is incorrect because calibration does not identify mispriced benchmark bonds. In fact, benchmark bonds are employed to prove the accuracy of the binomial interest rate tree, as they are assumed to be correctly priced by the market.C is incorrect because the calibration of the binomial interest rate tree is designed to produce an arbitrage-freevaluation approach and such an approach does not allow a market participant to realize arbitrage profits though stripping and reconstitution.。

CFA考试《CFA二级》历年真题精选及详细解析1007-2

CFA考试《CFA二级》历年真题精选及详细解析1007-31、Based upon Observation 2, Country C is most likely to have:【单选题】A.relatively low real asset returns.B.a relatively low real interest rate.C.a relatively high real interest rate.正确答案:C答案解析:C is correct. A high growth rate of potential GDP would cause real incomes to rise more rapidly and also translate into higher real interest rates and higher expected/required real asset returns. The real interest rate is essentially the real return that consumers/savers demand in exchange for postponing consumption. Faster growth in potential GDP means that consumers expect their real income to rise more rapidly. This implies that an extra unit of future income/consumption is less valuable than it would be if income were expected to grow more slowly. All else the same, the real interest rate will have to be relatively high in order to inducethe savings required to fund required/desired capital accumulation.2、If MavsHD plans to make $ 160 million in net investments in the current year, what will be the company\'s dividend payout ratio using the residual dividend model?【单选题】A.37.3%.B.58.2%.C.62.8%.正确答案:A答案解析:If the company plans on spending $160 million on net investments, then only 60% of the funds need to come from retained earnings. Therefore, MavsHD needs 0.6 x 160 = $96 million in retained earnings. Net income is projected to be $153 million, leaving $57 million (153 - 96) available to pay dividends. Thus, the dividend payout ratio would equal 57 / 153 = 37.3%.3、In a recent presentation, Doug Pearce made two statements about dividends:Statement 1 “A stock dividend will increase share price on the ex-dividend date, all other things being equal.”Statement 2 “One practical concern with a stock split is that it will reduce the company’s price-to-earnings ratio.”Are Pearce’s two statements about the effects of the stock dividend and stock split correct?【单选题】A.No for both statements.B.Yes for Statement 1 and no for Statement 2.C.No for Statement 1 and yes for Statement 2.正确答案:A答案解析:A is correct. Both statements are incorrect. A stock dividend will decrease the price per<span style="font-style: "Microsoft YaHei", 微软雅黑;">share, all other things being equal. A stock split will reduce the price and earnings per<span style="font-style: "Microsoft YaHei", 微软雅黑;">share proportionately, leaving the price-to-earnings ratio the same. 4、The Apex Fund’s three-month total return on the soybean futures trade is closest to:【单选题】A.0.85%.B.1.30%.C.2.22%.正确答案:A答案解析:A is correct. The total return on the trade represents the sum of three components: price return, roll return, and collateral return.Price return = (Current price – Previous price)/Previous price = (877.0 – 865.0)/865.0 = 1.387%.Roll return = [(near-term futures contract closing price – farther-term futures contract closing price)/near-term futurescontract closing price] × Percentage of the position in the futures contract being rolled.Because the entire position is being rolled, the percentage of the position in the futures contract being rolled is equal to 100%. So:Roll return = [(877.0 – 883.0)/877.0] × 100% = –0.684%.Collateral return = [3 months/12 months] × 0.60% = 0.15%.Total return = 1.387% – 0.684% + 0.15% = 0.853%.5、The term that Shepard cannot recall is most likely:【单选题】A.active total risk.B.active risk squared.C.alpha risk.正确答案:B答案解析:Active risk squared = active factor risk + active specific risk.。