CFA一级模考
(完整版)CFA一级模考试题及答案.doc
ANSWERS FOR MOCK EXAM 1 (MORNING SESSION)1. D.Although Terence has passed Level III, he has not yet received his charter andcannot use the CFA designation. The description provided in the cover letterproperly describes his situation.2. C.Amy must take both actions-notifying her immediate supervisor and delivering acopy of the Code and Standards.3. D.4. C.Members may undertake an independent practice that could result in compensationor other benefit in competition with their employer provided they obtain writtenconsent from both their employer and the party for whom they undertakeindependent practice.5. C.To maintain his objectivity, Keith should pay his own hotel bill. Because the itineraryrequired charter flights due to a lack of commercial transportation, A& K Limited can appropriately provide them.6. C. Under ERISA, fiduciaries must act solely in the interest of, and for the exclusivepurpose of benefiting, the plan participants and beneficiaries.7. B. Daniel must give priority to transactions for clients and employers over transactionsfor his children.8. A.To avoid violating the standards, members cannot trade until the member's clients andemployers have had an adequate opportunity to act on the recommendation.9. C.The requirements of Standard IV (B.5) are not intended to prevent Lambert fromcooperating with an investigation by AIMR's Professional Conduct Program.10. B.Vivian should disclose to her clients and prospects her husband's holdings in DoubleLimited because this matter could be expected to impair her ability to makeunbiased and objective recommendations.11. B.12. B.Accruals accounting is required.13. C.Standard I(B) Fundamental Responsibilities. Prohibition against participating orassisting in illegal and ethical violations. If Roberts suspects someone isplanning or engaging in illegal activities, he should: (1) determine the legalityof the activities, (2) disassociate himself from the illegal or unethical activity, and(3) urge his firm to attempt to persuade the perpetrator to stop. The AIMRStandards of Professional Conduct do not require that Roberts report suchactivities to the authorities, but the law might.14. C.Standard III(C) Disclosure of Conflicts to Employer. Gloria should disclose to heremployer all matters that could reasonably be expected to interfere with herability to make unbiased and objective recommendations. Her service as atrustee of the Well Limited Foundation for Heart Research is most likely to beconsidered a conflict of interest with her responsibility to her employer.15. C.Standard III (E) Responsibilities of Supervisors. Paul may delegate supervisory duties,but such delegation does not relieve him of his supervisory responsibility.16. A.Standard IV (B.3) Fair Dealing. Johnson violated the standard on fair dealingbecause he did not deal fairly and objectively with all clients and prospectswhen disseminating investment recommendations. Instead, he showedfavoritism to his best clients. In disseminating investment recommendations,Johnson should consider making the information available to clients based ontheir interest and suitability. A change of recommendation from buy to sell or sellto buy is generally material.17. D.Standard IV(B.5) Preservation of Confidentiality. Choice B is false because thisAnswers for Mock Exam 1 (Morning Session) (Rev. 1) 1standard prohibits members from executing settlement agreements that preventmembers from providing information in an investigation by AIMR's ProfessionalConduct Program (PCP). Choice C is false because a person cannot withholdinformation during PCP investigations. Choice A is false because if a memberreceives information due to his or her special relationship with the clientindicating illegal behavior on the past of the client, the member may not have anobligation to inform the appropriate authorities.18. A.Standard IV(B.6) Prohibition against Misrepresentation. Members are not permitted tomake any assurances or guarantees about any investment, except tocommunicate accurate information. The statement that investment grade bondshave less default risk than junk bonds is an accurate statement.19. e BGN node: n = 10; i = 12 PMT = 1,000, compute FV = 19.654.5820. B.The present value of a perpetuity is PV = A/r = 500/0.1 = $5,000.21. B.i = 6/12 = 0.5; n = 10x12 = 120; PV = 40,000 Compute PMT22. A.23. A.A binomial random variable has an expected value or mean equal to np andvariance equal to np(1-p).Mean = 12(0.5) = 6; variance (12)(0.5)(1-0.5) = 324. D.25. B.Rbt-1 = In St+1 /St = (1+RL1-1) = In (40/25) = 0.47. Thus, 47% is thecontinuously computed return for the one-year holding period.26. B.Choice A describes cross-sectional data.Choice B describes time-series data.27. D.The dependent variable, Y, is equal to the intercept, b0, plus a slope coefficient, b1,times the independent, X, plus an error term, ε.28. C.I N FV Compute PV10 1 100 90.9110 2 150 123.9710 3 200 150.2610 4 250 170.75Total 535.8929. B.Step 1: Solve for the PV of the 5 payments of 3,000 to be received in years 3through 7.n = 5; i = 10; PMT = 3,000; compute PV =11,372.3611,372.36 falls one year before the first payment, or in year 2.Step 2: Find the present value of 11,372.36 that is two years in the future. n= 2; i = 10; FV =11,372.36; compute PV =9,398.64 or 9,399(rounded).30. D.From weakest to strongest, the ordering of measurements scales is nominal, ordinal,interval, and ratio.31. B.An interval is a set of return values within which an observation not falls.32. C.Step 1. Calculate the mean monthly return = 2% + (- 4%) + 1% + 5% = 4%M = 1%Step 2.Calculate the population standard deviation:([(2% - 1%) 2 + (-4% -1%) 2 +(1% - 1%) 2 +(5% -1%)2 ]N)1/ 2=3.24%Step 3. Calculate the sample standard deviation: ([(2% - 1%)2 + (-4% -1%) 2+ (1% - 1%) 2+ (5% - l%) 2 ])/n - 1) 1/ 2 = 3. 74%33. B.According to Chebyshev's inequality, the proportion of the observations within 2,which is k, standard deviations of the mean is at least 1 -(l/k) 2 = 1-(1/2 2) =0.75 or 75%.34. A.The probability is 30/200 = 0.15.35. ing the addition rule for probabilities, P (analyst or positive) =P(analyst) +Answers for Mock Exam 1 (Morning Session) (Rev. 1) 2P(positive) - P(analyst and positive)P (A or positive) = 130/200 + 140/200 - (100/130) = 0.58 or 58%36. B.Savings increases to hold interest rates constant. This means aggregate demandchanges little.37. C.The empirical evidence on the relationship between budget deficits and interest ratesis mixed.Few studies show a significant positive short-term link between budgetdeficits and real interest rates.38. B.Expansion = 1 / reserve requirement = 1/0.25 = 4(4)(150) = 60039. C.People realize this leads to inflation in the long run, so they reduce their moneyholdings. Output rises because the increase is unexpected.40. C.In purely competitive markets, there are a large number of dependent firms.41. D.42. D.43. C.44. C.45. D.Choice A: Accrual accounting does not require the receipt of cash for assurance ofpayment to exist.Choice C and D: These relate only to the condition of completion of theearnings process.46. D.47.ADemand for currency decreases when real interest rates decrease because ofdecreased capital flows.48.CForeign exchange quotations can be expressed on a direct basis -the home currencyprice of another currency — or an indirect basis-- the foreign currency price ofthe home currency.49.C F/S= (1 + r D )/(l + r F) where rates are listed as DC/FCF = (1.3/1.25)(0.4) = 0.41650. C.Direct method:Net income 1000Depreciation 70Goodwill 30Change in accounts receivable 25Change in inventory (35)Change in accounts payable 30Change in wages payable 15Operating cash flows 113551. B. Purchase equipment (200)Sell truck 25Investing cash flows (175)52. D. Sale of common stock 100Issuance of bonds 20Financing cash flows 12053. D.A common size balance sheet expresses all balance sheet accounts as apercentage of total assets.54. C. Original shares of common stock = 1,000,000(12) = 12,000,000Stock dividend = 200,000(12) = 2,400,000New shares of common stock = 200,000(3) = 600,000Total shares of common stock = 15,000,000/12= 1,250,000 Stock dividends are assumed to have been outstanding since the beginningof the year.55. D.Inventory turnover, defined as COGS/Average inventory, if often meaningless forLIFO companies due to the mismatching of costs. The numerator representscurrent costs, whereas the denominator reports outdated historical costs. Thus,the turnover ratio under LIFO will, when prices decrease, trend lower becauseof small COGS and larger inventory. Net profit margin, defined as EA T/Sales,is higher during periods of decreasing profits for LIFO companies. LIFO leadsto a smaller COGS, which reduces EAT, without affecting sales.56. A.In this situation, LIFO results in lower cost of goods sold because it uses the morerecent and lower costs than LIFO. LIFO results in lower cash flows becausethe cash on income taxes is a percentage(the marginal tax rate) of thedifference in inventory values. Thus, with LIFO:Sales-COGS(smaller)EBT (larger)-Taxes (larger) Because taxes paid out are a cash outflow.EAT (larger) If taxes are larger, then cash flow ill be smaller.57. D.COGSFIFO = COGSLIFO - (Ending LIFO Reserve - Beginning LIFO Reserve)COGSFIFO = $250,000 - ($8,000-$5,000) = $247,00058. pared to expensing, capitalizing results in higher profitability in early yearsand lower profitability in later years.59. C.60. D.The present value of the minimum lease payments equals or exceeds 90 percent ofthe value of the fair value of the leased property.61. B.Capital lease affects on the income statement:Step1: Calculate the depreciation charge: ($3,500,000-$450,000)/10 = $305,000Step2: Calculate the interest expense: $3,500,000(0.15) = $525,000Total expense: $305,000+$525,000 = $830,00062. A.63. C.64. A.65. B.66. D.67. B.Dealer-markets are price-driven markets.68. D.69. C.70. C.P/E = Dividend payout ratio/(k-g)Dividend payout ratio = 1 - retention ratio = 1-0.2 = 0.8P/E = 0.8(0.15-0.08) =5.671. B.k = D1/P0+g = $4/$25+0.09 = 0.2572. A.Step1: Calculate the ending index value = ($100)(5) = $500Step2: Calculate the expected return.E(R1) = [Dividends + (Ending value - Beginning value)]/(Beginning value)=[40+(500-490)]/$490 = 0.1 or 10%73. D.The critical factors determining the franchise P/E are the difference between theexpected return on the new opportunities (R) and the current cost of capital (k)and the size of these growth opportunities relative to the firm's current size.74. A.75. C.76. D The completed contract method less net income in the periods beforeconstruction is completed, but not at the end of the contract, than using thepercentage-of-completion method. This is because the completed contractmethod recognizes revenue and expense only when the contract has beencompleted.77. A. Net income 1,000Adjustment for non-cash andnon-operating itemsDepreciation 100Deferred taxes (increase) 40Profit from sale ofequipment (10)Adjustment for workingcapital items:Accounts receivable (decrease) (120)Inventory (increase) (40)Accounts payable (increase) (20)Wages payable (decrease) (10)Cash flow from operations 94078. D79.A When inventory and accounts receivable increase, this is a use of cash (cashoutflow); when assets decrease, this is a source (cash inflow). When accountspayable increase, this is a source of cash (cash inflow); when liabilities decrease,this is a use (cash outflow).80.BCash conversion cycle = receivables days + inventory processing days -payables payment period.Receivables days = 365/receivabies turnover = 365/30 = 12.17 days.Inventory processing days = 365/inventory turnover = 365/15 = 24.33 days.Payables payment period = 365/payabIes turnover = 365/20 = 18.25days.Cash collection cycle = 12.17 + 24.33 –18.25 = 18.25 days.81.BChoice A: Buying fixed assets on credit does not affect current assets butincreases current liabilities. Therefore, the current ratio falls.Choice B: Buying inventory on account increases both inventory and accountspayable. Because the current ratio started off below I, the ratio will increase.Choice C: Selling marketable securities for cash does not affect the amount ofcurrent assets and leaves the current ratio unaffected,Choice D : Paying off accounts payable from cash lowers current assetsand current liabilities by the same amount. Because the current ratio startedoff below 1, the ratio will fall.82.D ROE = Profit margin x Total asset turnover x financial leverageROE = (0.3)(2.1)(0.5)= 0.315 or 31.5%83.AROE = [(S/A)(EBIT/S) - (I/A)](A/EQ)(I - t)ROE = [(2.5)(0.2) - (0.08)](1.2)(0.6) = 0.30 or 30%84. A85.B EPS = ($180,000 - $4,000) / 50,000 = $3.52 per share86. B87. D88.CThese relationships are reversed in the latter years of the asset's life if the firm'scapital expenditures decline.89. D90. C.91. C.92. D.93. D.Absolute yield spread = Yield on Bond A - Yield on Bond B = 10%-7% = 3%94. B.Relative yield spread = (Yield on Bond A - Yield on Bond B)/(Yield on BondB)=(10%-7%)/7% = 0.43 = 43%95. B.Yield ratio = (Yield on Bond A)/(Yield on Bond B) = 6%/7% = 1.4396. B.Current yield = (Annual dollar coupon interest)/(Price of the bond) = 8/130 =0.0625 or 6.25%97. A.When the stock's price (S) - the strike price (X) is positive, a call option isin-the-money. 25-X = 8 so X = 17.98. A.99. A.The writer of put loss = $60-premiun$5 = $55 Thewriter of call gets a maximum gain of $8100. A.101. C.102. D.103. A.104. D.105. B.106. D.107. C.108. A.Securities that fall on the SML are properly valued.109. A.110. A.If a stock's beta were equal to 1, an investor would be expected to get the marketrate of return from buying the stock. E(R) = 5%+1(10%-5%) = 10% 111. D112. D113. C114.BPerfect positive correlation (r = + 1) of the returns of two assets offers no risk reduction, whereas perfect negative correlation (r = -1) offers the greatestrisk reduction.115.BPortfolio A does not lie on the efficient frontier because it has a lower return than Portfolio B but has greater risk. Portfolio D does not lie on the efficient frontier because it has higher risk than Portfolio C but has the same return. 116. C.117.DChoice A: Unsystematic risk is diversifiable risk.Choice B: Systematic risk is undiversifiable risk.Choice C: Total risk= Systematic risk+ Unsystematic risk.118. C119.DCAPM specifies the factor (market risk) but APT does not.120. A。
CFA一级模考
CFA一级模考题1 . Ed Socho states that in a GIPS-compliant presentation, (1) total firm value must be based on the market values of all accounts including non-fee-paying accounts and accounts where the client makes the investment decisions. and that (2) the firm must include the performance results of third-party advisors selected by the firm in composite performance. Are Socho's statements accurate?A. Both of these statements are accurate.B. Neither of these statements is accurate.C. Only one of these statements is accurate.解析：ABoth statements are correct. Total firm assers must include fee-paying and non-fee- paying accounts. If a sub-advisor who manages firm assets is selected by the firm, the performance of assers under the sub-advisor's control must be included in the performance of the firm's composite for those assets.2 . Upon completing investment reports on equity securities, Shannon Mason, CFA. routinely shreds all documents used in preparing the reports. In a report on UltraTech Software, Mason provides detailed explanations of the upside and downside risks associated with UltraTech, but provides no information on a sharp decrease in insider buying over the last 12 months. Mason has most likely violated:A. CFA Institute Standards by failing to maintain adequate records.B. CFA Institute Standards by neglecting to include the insider buying information in the investment report.C. none of the Standards.解析：AStandard V(C). This Standard requires CFA charterholders and candidates to maintain appropriate records to support investment recommendations. Shredding all of the supporting documents is clearly a violation of the standard. Mason did nor violate Standard V(B), however, since she fully described the basic charaaeristics of the investment. The level of insider buying is not a basic characreristic of an equity security.3 . William Callahan, CFA, is an energy analyst. His supervisor, Nancy Deininger, CFA, has recently decided to let Callahan cover a few of The firms that Deininger had been covering previously. Deininger gives Callahan specific instructions not to change her prior recommendation on one of these firms, Mayfield Energy. Callahan's least appropriate action is to:A. tell Deininger that he cannot cover Mayfield Energy under those restrictions.B. perform his own independent analysis of Mayfield and reach an independent conclusion.C. use ambiguous language in the report, in order to not mislead the investor while complying with his employer's instructions.解析：CIn accordance with Standard I(B) Independence and Objectivity, Callahan must only issue recommendations that reflect his own independent judgment. If Deininger will not permit him to do so, Callahan must refuse to cover the firm under the conditions specified.4 . Wayne Sergeant, CFA, is an independent investment advisor who works with individuals. A longtime client asks Sergeant if he can recommend an attorney. Sergeant refers his client to Jim Chapman, a local attorney who is also a friend of Sergeant's. Previously, Chapman had agreed to perform some legal work for Sergeant in exchange for the referral of new clients. Do Sergeant's actions violate CFA Institute Standards of Professional Conduct?A. No, because the client is under no obligation and is still free to select another attorney.B. Yes, because Sergeant is prohibited from a making recommendations that could be considered biased due to his friendship with Chapman.C．Yes, because Sergeant did not disclose the nature of his arrangement with Chapman to his client.解析：CStandard VI(C) Disclosure of Conflicts requires members to disclose to their clients any compensation or benefit received by, or paid to, others for the recommendation of services. Sergeant's failure to disclose that he receives legal services for his referral of clients to Chapman is in violation of the Standards.5 . Linda Schultz, CFA, is an investment advisor at Wheaton Investments. Schultz has been employed there for five years, and has never signed a "non-compete" clause. While at Wheaton, Schultz makes preparations to set up her own money management firm. She does not contact any existing clients before leaving Wheaton and does not take any firm records or files. After her resignation becomes effective, Schultz replicates a list of former clients from memory and uses public sources to get their contact information. She then contacts these former clients and solicits their business for her new firm. Has Schultz violated any CFA Institute Standards?A. Yes. Schultz may not contact clients of her old firm.B. No. Schultz is in compliance with CFA Institute Standards.C. Yes. Schultz is permitted to notify clients that she has left her old firm, but she cannot encourage them to come with her to the new firm.解析：BSchultz continued to act in her employer's best interest while still employed and did not engage in any activities that would conflict with this duty until her resignation became effective. Standard IV(A) Loyalty does not prohibit her from contacting clients from her previous firm if she does not get the contact in formation from the records of her former employer or violate an applicable non-compete agreement.。
CFA一级模考
CFA一级模考题1 .The formative stage of venture capital investing when capital is furnished for market researchand product development is best characterized as the:A) seed stage.B) early stage.C) angel investing stage.A was correct!In the seed stage of venture capital investing, capital is furnished for product development, marketing, and market research. The angel investing stage is when investment funds are used for business plans and assessing market potential. The early stage refers to investments made to fund initial commercial production and sales.2.For which of the following investments is an investor most likely to require the greatest liquiditypremium?A) Real estate investment trusts.B) Private equity funds.C) Commodity futures.B was correct!Private equity funds tend to have lockup periods; investors will require liquidity premiums as compensation. REITs and commodity futures are exchange-traded instruments and much more liquid than private equity funds.3.An additional risk of direct investment in real estate, which is not typically a significant risk in aportfolio of traditional investments, is:A) market risk.B) liquidity risk.C) counterparty risk.B was correct!Direct investment in real estate involves liquidity risk because large sums may be invested for long periods before a sale of the property can take place. Market risk exists for both traditional portfolio and real estate investments. Counterparty risk applies mainly to derivative contracts that require a payment from a counterparty, such as swaps and forwards.4.A private equity provision that requires managers to return any periodic incentive fees resulting ininvestors receiving less than 80% of profits is a:A) clawback.B) drawdown.C) high water mark.A was correct!A clawback provision requires the manager to return any periodic incentive fees to investors thatwould result in investors receiving less than 80% of the profits generated by portfolio investments as a whole.5.Bulldog Fund is a hedge fund with a value of £100 million at the beginning of the year. BulldogFund charges 1.5% management fee based on assets under management at the end of the year anda 25% incentive fee with no hurdle rate. Incentive fees are calculated independent ofmanagement fees. The fund’s value at the end of year before fees is £120 million. Compared to a2 and 20 fee structure, Bulldog Fund’s total fees for the year are:A) higher.B) lower.C) the same.A was correct!。
CFA一级模考
CFA一级模考题1 . A pooled investment with a share price significantly different from its net asset value (NA V)per share is most likely a(n):A) open-end fund.B) exchange-traded fund.C) closed-end fund.C was correct!Closed-end funds’ share prices can differ significantly from their NA Vs. Open-end fund shares can be purchased and redeemed at their NA Vs. Market forces keep exchange-traded fund share prices close to their NA Vs because arbitrageurs can profit by trading when there are differences.2. An investor has a two-stock portfolio (Stocks A and B) with the following characteristics:σA = 55%σB = 85%Covariance A,B = 0.09W A = 70%W B = 30%The variance of the portfolio is closest to:A) 0.25B) 0.39C) 0.54A was correct!The formula for the variance of a 2-stock portfolio is:s2 = [W A2σA2 + W B2σB2 + 2W A W BσAσB r A,B]Since σAσB r A,B = Cov A,B, thens2 = [(0.72 × 0.552) + (0.32 × 0.852) + (2 × 0.7 × 0.3 × 0.09)] = [0.1482 + 0.0650 + 0.0378] =0.2511.3. An investment manager has constructed an efficient frontier based on a client’s investableasset classes. The manager should choose one of these portfolios for the client based on:A) the investment policy statement (IPS).B) relative valuation of the asset classes.C) a risk budgeting process.A was correct!After defining the investable asset classes and constructing an efficient frontier of possible portfolios of these asset classes, the manager should choose the efficient portfolio that best suits the investor’s objectives as defined in the IPS. The investor’s strategic asset allocation can then be defined as the asset allocation of the chosen portfolio. Tactical asset allocation based on relative valuation of asset classes would require the manager to deviate from the strategic asset allocation. Risk budgeting refers to the practice of determining an overall risk limit for a portfolio and allocating the risk among strategic asset allocation, tactical asset allocation, and security selection.A) 6.B) 12.C) 3.A was correct!The formula for the covariance for historical data is:cov1,2= {Σ[(R stock A− Mean R A)(R stock B− Mean R B)]} / (n − 1)Mean R A = (10 + 6 + 8) / 3 = 8, Mean R B = (15 + 9 + 12) / 3 = 12Here, cov1,2= [(10 − 8)(15 − 12) + (6 − 8)(9 − 12) + (8 − 8)(12 − 12)] / 2 = 65.Which of the following would be assessed first in a top-down valuation approach?A) Industry return on equity (ROE).B) Fiscal policy.C) Industry risks.B was correct!In the top-down valuation approach, the investor should analyze macroeconomic influences first, then industry influences, and then company influences. Fiscal policy, as part of the macroeconomic landscape, should be analyzed first.。
CFA一级模考
CFA一级模考题1 . Given the following data, what is the correlation coefficient between the two stocks and theBeta of stock A?●standard deviation of returns of Stock A is 10.04%●standard deviation of returns of Stock B is 2.05%●standard deviation of the market is 3.01%●covariance between the two stocks is 0.00109●covariance between the market and stock A is 0.002Correlation Coefficient Beta (stock A)A) 0.5296 2.20B) 0.6556 2.20C) 0.5296 0.06A was correct!correlation coefficient = 0.00109 / (0.0205)(0.1004) = 0.5296.beta of stock A = covariance between stock and the market / variance of the marketBeta = 0.002 / 0.03012 = 2.22 . A security portfolio earns a gross return of 7.0% and a net return of 6.5%. The difference of0.5% most likely results from:A) taxes.B) fees.C) inflation.B was correct!The net return on a portfolio is its gross return minus management and administrative fees. A return adjusted for taxes is called an after-tax return. A return adjusted for inflation is called a real return.3 . Stock A has a standard deviation of 10.00. Stock B also has a standard deviation of 10.00. Ifthe correlation coefficient between these stocks is - 1.00, what is the covariance between these two stocks?A) -100.00.B) 1.00.C) 0.00.A was correct!Covariance = correlation coefficient × standard deviation Stock 1 × standard deviation Stock 2= (- 1.00)(10.00)(10.00) = - 100.00.4 . Which of the following statements best describes risk aversion?A) Given a choice between two assets of equal return, the investor will choose the asset withthe least risk.B) There is an indirect relationship between expected returns and expected risk.C) The investor will always choose the asset with the least risk.A was correct!Risk aversion is best defined as: given a choice between two assets of equal return, theinvestor will choose the asset with the least risk. The investor will not always choose the asset with the least risk or the asset with the least risk and least return. As well, there is a positive, not indirect, relationship between risk and return.5 . An asset manager’s portfolio had the following annual rates of return:Year R eturn20X7 +6%20X8 -37%20X9 +27%The manager states that the return for the period is −5.34%. The manager has reported the:A) geometric mean return.B) arithmetic mean returnC) holding period return.A was correct!Geometric Mean Return = –1 = −5.34%Holding period return = (1 + 0.06)(1 − 0.37)(1 + 0.27) − 1 = −15.2%Arithmetic mean return = (6% − 37% + 27%) / 3 = −1.33%.。
CFA一级模考
CFA一级模考题1 . Asset-backed securities (ABS) may have a higher credit rating than theseller's corporate bonds because:A. the special purpose vehicle is a separate entity.B. the seller's A~3S are senior to its corporate bonds.C. ABS are investment grade while corporate bonds may be speculative grade.2. An investor gathered the following information about two 7% annual-pay, option-free bonds:●Bond R has 4 years to maturity and is priced to yield 6%●Bond S has 7 years to maturity and is priced to yield 6%●Both bonds have a par value of $1,000.Given a 50 basis point parallel upward shift in interest rates, what is the value of the two-bond portfolio?A) $2,030.B) $2,086.C) $2,044.C was correct!Given the shift in interest rates, Bond R has a new value of $1,017 (N = 4; PMT = 70; FV = 1,000; I/Y = 6.50%; CPT → PV = 1,017). Bond S’s new va lue is $1,027 (N = 7; PMT = 70;FV = 1,000; I/Y = 6.50%; CPT → PV = 1,027). After the incr ease in interest rates, the new value of the two-bond portfolio is $2,044 (1,017 + 1,027).3. Assume a bond's quoted price is 105.22 and the accrued interest is $3.54. The bond has a parvalue of $100. What is the bond's clean price?A) $103.54.B) $108.76.C) $105.22.C was correct!The clean price is the bond price without the accrued interest so it is equal to the quoted price.4. The zero volatility spread (Z-spread) is the spread that:A) is added to the yield to maturity of a similar maturity government bond to equal the yieldto maturity of the risky bond.B) is added to each spot rate on the government yield curve that will cause the present valueof the bond's cash flows to equal its market price.C) results when the cost of the call option in percent is subtracted from the option adjustedspread.B was correct!The zero volatility spread (Z-spread) is the interest rate that is added to each zero-coupon bond spot rate that will cause the present value of the risky bond's cash flows to equal its market value. The nominal spread is the spread that is added to the YTM of a similar maturitygovernment bond that will then equal the YTM of the risky bond. The zero volatility spread(Z-spread) is the spread that results when the cost of the call option in percent is added to the option adjusted spread.5. Assume that a callable bond's call period starts two years from now with a call price of$102.50. Also assume that the bond pays an annual coupon of 6% and the term structure is flat at 5.5%. Which of the following is the price of the bond assuming that it is called on the first call date?A) $100.00.B) $102.50.C) $103.17.C was correct!The bond price is computed as follows:Bond price = 6/1.055 + (102.50 + 6)/1.0552 = $103.17。
CFA一级模考
CFA一级模考题1 . An investor buys a pure-discount note that matures in 146 days for $971. The bond-equivalentyield is closest to:A) 1.2%.B) 3.0%.C) 7.5%.C was correct!The equivalent add-on return the investor earns for the 146-day holding period is $1,000 / $971 − 1 = 0.0299 = 2.99%. The bond-equivalent yield is (365 / 146) × 2.99% = 7.47%.2. A five-year bond with a 7.75% semiannual coupon currently trades at 101.245% of a par valueof $1,000. Which of the following is closest to the current yield on the bond?A) 7.65%.B) 7.53%.C) 7.75%.A was correct!The current yield is computed as: (Annual Cash Coupon Payment) / (Current Bond Price). The annual coupon is: ($1,000)(0.0775) = $77.50. The current yield is then: ($77.50) / ($1,012.45) = 0.0765 = 7.65%.3. Which of the following statements regarding zero-coupon bonds and spot interest rates is mostaccurate?A) Price appreciation creates only some of the zero-coupon bond's return.B) A coupon bond can be viewed as a collection of zero-coupon bonds.C) Spot interest rates will never vary across time.B was correct!Zero-coupon bonds are quite special. Because zero-coupon bonds have no coupons (all of the bond’s return comes from price appreciation), investors have n o uncertainty about the rate at which coupons will be invested. Spot rates are defined as interest rates used to discount a single cash flow to be received in the future. Any bond can be viewed as the sum of thepresent value of its individual cash flows where each of those cash flows are discounted at the appropriate zero-coupon bond spot rate.4. What is the current yield for a 5% three-year bond whose price is $93.19?A) 5.37%.B) 5.00%.C) 2.68%.A was correct!The current yield is computed as follows:Current yield = 5% x 100 / $93.19 = 5.37%5. Which of the following statements with regard to floating rate notes that have caps and floorsis most accurate?A) A floor is a disadvantage to both the issuer and the bondholder while a cap is anadvantage to both the issuer and the bondholder.B) A cap is a disadvantage to the bondholder while a floor is a disadvantage to the issuer.C) A cap is an advantage to the bondholder while a floor is an advantage to the issuer.B was correct!A cap limits the upside potential of the coupon rate paid on the floating rate bond and istherefore a disadvantage to the bondholder. A floor limits the downside potential of thecoupon rate and is therefore a disadvantage to the bond issuer.。
CFA一级模考
CFA一级模考CFA一级模考题1 . Lane Industries has a project with the following cash flows:Year Cash Flow0 ?$200,0001 60,0002 80,0003 70,0004 60,0005 50,000The project's cost of capital is 12%. The discounted payback period is closest to:A) 2.9 years.B) 3.9 years.C) 3.4 years.The correct answer was: BThe discounted payback period method discounts the estimated cash flows by the project’s cost of capital and then calculates the time needed to recover the investment.Year Cash Flow Discounted Cash Flow Cumulative Discounted Cash Flow0 ?$200,000 ?$200,000.00 ?$200,000.001 60,000 53,571.43 ?146,428.572 80,000 63,775.51 ?82,653.063 70,000 49,824.62 ?32,828.444 60,000 38,131.08 5,302.645 50,000 28,371.30 33,673.98discounted payback period =number of years until the year before full recovery +2 .Which of the following rights concerning shareholder-sponsored board nominations and shareholder-sponsored resolutions would be advantageous to an investor?A) The right to nominate or remove board members in certain circumstances, and the right to propose initiatives for consideration at the annual meeting.B) The right to propose initiatives for consideration at the annual meeting, but not the right to nominate or remove board members in certain circumstances.C) The right to nominate or remove board members in certain circumstances, but not the right to propose initiatives for consideration at the annual meeting.The correct answer was A The right to nominate or remove board members in certain circumstances, and the right to propose initiatives for consideration at the annual meeting. Investors need the power to put forth an independent board nominee. In addition, the right to propose initiatives for consideration at the annual meeting is an important method to send a message to management.3 . Additional debt should be used in t he firm’s capital structure if it increases:A) the value of the firm.B) firm earnings.C) earnings per share.The correct answer was A the value of the firm.The key to finding the optimal capital structure is identifying the level of debt that will maximize firm value. Earnings and earnings per share are not critical in and of themselves when assessing firm value, because they do not consider risk.4 .Carlos Rodriquez, CFA, and Regine Davis, CFA, wererecently discussing the relationships between capital structure, capital budgets, and net present value (NPV) analysis. Which of the following comments made by these two individuals is least accurate?A) “The optimal capital budget is determined by the intersection of a firm’s marginal cost of cap ital curve and its investment opportunity schedule.”B) “A break point occurs at a level of capital expenditure where o ne of the component costs of capital increases.”C) “For projects with more risk than the average firm project, NPV computations should b e based on the marginal cost of capital instead of the weighted average cost of capital.”The correct answer was C) “F or projects with more risk than the average firm project, NPV computations should be based on the marginal cost of capital instead of the weighted average cost of capital.”The marginal cost of capital (MCC) and the weighted average cost of capital (W ACC) are the same thing. If a firm’s capital structure remains constant, the MCC (W ACC) increases as additional capital is raised.5 . Sincl air Construction Company’s Board of Directors is considering repurchasing $30,000,000 worth of common stock. Sinclair assumes that the stock can be repurchased at the market price of $50 per share. After much discussion Sinclair decides to borrow $30 million that it will use to repurchase shares. Sinclair’s Chief Executive Officer (CEO) has compiled the following informat ion regarding the repurchase of the firm’s common stock:Share price at the time of buyback = $50Shares outstanding before buyback = 30,600,000EPS before buyback = $3.33Earnings yield = $3.33 / $50 = 6.7%After-tax cost of borrowing = 8.0%Planned buyback = 600,000 sharesBased on the inform ation above, Sinclair’s earnings per share (EPS) after the repurchase of its common stock will be closest to:A) $3.18.B) $3.32.C) $3.23.The correct answer was: BTotal earnings = $3.33 × 30,600,000 = $101,898,000Since the 8.0% after-tax cost of borrowing is greater than the 6.7% earnings yield (E/P) of the shares, the share repurchase reduces Sinclair’s EPS.。
CFA一级模考
CFA一级模考题1 . The portfolio approach to investing is best described as evaluating each investment based onits:A) potential to generate excess return for the investor.B) fundamentals such as the financial performance of the issuer.C) contribution to the portfolio’s overall risk and return.C was correct!The portfolio approach to investing refers to evaluating individual investments based on their contribution to the overall risk and return of the investor’s portfolio.2 . Which of the following statements best describes an investment that is not on the efficientfrontier?A) There is a portfolio that has a lower return for the same risk.B) There is a portfolio that has a lower risk for the same return.C) The portfolio has a very high return.B was correct!The efficient frontier outlines the set of portfolios that gives investors the highest return for a given level of risk or the lowest risk for a given level of return. Therefore, if a portfolio is not on the efficient frontier, there must be a portfolio that has lower risk for the same return. Equivalently, there must be a portfolio that produces a higher return for the same risk.3 . In equilibrium, investors should only expect to be compensated for bearing systematic riskbecause:A) nonsystematic risk can be eliminated by diversification.B) individual securities in equilibrium only have systematic risk.C) systematic risk is specific to the securities the investor selects.A was correct!In equilibrium, investors should not expect to earn additional return for bearing nonsystematic risk because this risk can be eliminated by diversification. Individual securities have both systematic and nonsystematic risk. Systematic risk is market risk; nonsystematic risk is specific to individual securities.4 . An individual investor specifies to her investment advisor that her portfolio must produce aminimum amount of cash each period. This investment constraint is best classified as:A) liquidity.B) legal and regulatory.C) unique circumstances.A was correct!Liquidity constraints arise from an investor’s need for spendable cash.5 .In the top-down approach to asset allocation, industry analysis should be conducted beforecompany analysis because:A) most valuation models recommend the use of industry-wide average required returns,rather than individual returns.B) an industry's prospects within the global business environment are a major determinantof how well individual firms in the industry perform.C) the goal of the top-down approach is to identify those companies in non-cyclicalindustries with the lowest P/E ratios.B was correct!In general, an industry’s prospects within the global business environme nt determine howwell or poorly individual firms in the industry do. Thus, industry analysis should precedecompany analysis. The goal is to find the best companies in the most promising industries;even the best company in a weak industry is not likely to perform well.。
CFA一级模考
CFA一级模考题1 . The primary reason for a firm to issue equity securities is to:A)improve its solvency ratios.B)acquire the assets necessary to carry out its operations.C)increase publicity for the firm’s products.The correct answer was BWhile issuing equity securities c an improve a company’s solvency ratios and increase the firm’s visibility with the public, the primary reason to issue equity is to raise the capital needed to acquire operating assets.2. If a company has a "0" earnings retention rate, the firm's P/E ratio will equal:A)1 / kB)k + gC)D/P + gThe correct answer was r: AP/E = div payout ratio / (k − g)where g = (retention rate)(ROE) = (0)(ROE) = 0Dividend payout = 1 − retention ratio = 1 − 0 = 1P/E = 1 / (k − 0) = 1 / k3 . The Sustainable Growth Rate is equal to:A)(ROE) x (1+RR).B)(ROE) x (RR).C)(ROE) x (1-RR).The correct answer was BThe Sustainable Growth Rate is equal to the return on the equity portion of new investments (ROE) multiplied by the firm's retention rate (RR).4 . A company with a return on equity (ROE) of 27%, required return on equity (ke) of 20%, and a dividend payout ratio of 40% has an implied sustainable growth rate closest to:A)12.00%.B)16.20%.C)10.80%.The correct answer was Bg = (RR)(ROE)= (.60)(.27)= 0.162 or 16.2%5 . Regarding the estimates required in the constant growth dividend discount model, which of the following statements is most accurate?A)Dividend forecasts are less reliable than estimates of other inputs.B)The model is most influenced by the estimates of "k" and "g."C)The variables "k" and "g" are easy to forecast.The correct answer was BThe relationship between "k" and "g" is critical - small changes in the difference between these two variables results in large value fluctuations.。
CFA一级模考
CFA⼀级模考CFA⼀级模考题1 . Corporate governance defines the appropriate rights, role, and responsibilities of:A) management only.B) management, the board of directors, and shareholders.C) management and the board of directors.B was correct!Corporate governance defines the appropriate rights, roles, and responsibilities of acorporation’s management, the board of directors, and shareholders.2. Which of the following is most accurate regarding the component costs and componentweights in a firm’s weighted average cost of capital (WACC)?A) Taxes reduce the cost of debt for firms in countries in which interest payments are taxdeductible.B) The appropriate pre-tax cost of a firm’s new debt is the average coupon rate on the firm’sexisting debt.C) The weights in the WACC should be based on the book values of the individual capitalcomponents.A was correct!The after-tax cost of debt = k d(1 – t) = k d– k d(t), where k d is the pretax cost of debt and t is the effective corporate tax rate. So the tax savings from the tax treatment of debt is k d(t).Capital component weights should be based on market weights, not book values. And, the appropriate pre-tax cost of d ebt is the yield to maturity on the firm’s existing debt.3. Pants R Us Inc.’s Board of Directors is considering repurchasing $30,000,000 worth ofcommon stock. Pants R Us assumes that the stock can be repurchased at the market price of $50 per share. After much discussion Pants R Us decides to borrow $30 million that it will use to repurchase shares. Pants R Us’ Chief Investment Officer (CIO) has compiled the following information regarding the repurchase of the firm’s common stock:●Share price at the time of buyback = $50●Shares outstanding before buyback = 30,600,000●EPS before buyback = $3.33●Earnings yield = $3.33 / $50 = 6.7%●After-tax cost of borrowing = 6.7%●Planned buyback = 600,000 sharesBased on the information above, what will be Pants R Us’ ear nings per share (EPS) after the repurchase of its common stock?A) $3.33.B) $3.28.C) $3.40.A was correct!Total earnings = $3.33 × 30,600,000 = $101,898,000Since the after-tax cost of borrowing of 6.7%% is equal to the 6.7% earnings yield (E/P) of the shares, the share repurchase has no effect on Pants R Us’ EPS.4. Jeffery Marian, an analyst with Arlington Machinery, is estimating a country risk premium toinclude in his estimate of the cost of equity for a project Arlington is starting in India. Marian has compiled the following information for his analysis:●Indian 10-year government bond yield = 7.20%●10-year U.S. Treasury bond yield = 4.60%●Annualized standard deviation of the Bombay Sensex stock index = 40%.●Annualized standard deviation of Indian dollar denominated 10-year government bond =24% .●Annualized standard deviation of the S&P 500 Index = 18%.The estimated country risk premium for India based on Marian’s research is closest to:A) 2.6%.B) 4.3%.C) 5.8%.B was correct!CRP = Sovereign Yield Spread(Annualized standard deviation of equity index ÷ Annualized standard deviation of sovereign bond market in terms of the developed market currency) = (0.072 – 0.046)(0.40/0.24) = 0.043, or 4.3%.5. A firm expects to produce 200,000 units of flour that can be sold for $3.00 per bag. Thevariable costs per unit are $2.00, the fixed costs are $75,000, and interest expense is $25,000.The degree of operating leverage (DOL) and the degree of total leverage (DTL) is closest to: DOL DTLA) 1.6 2.0B) 1.3 1.3C) 1.6 1.3A was correct!DOL = Q(P – V) / [Q(P – V) – F]DOL = 200,000 (3 – 2) / [200,000(3 – 2) – 75,000] = 1.6DTL = [Q(P - V) / Q(P - V) - F - I]DTL = 200,000 (3 - 2) / [200,000 (3 - 2) - 75,000 - 25,000] = 2。
CFA一级模考
The correct answer was B To determine whether a stock is overvalued or undervalued, we need to compare the expected return (or holding period return) and the required return (from Capital Asset Pricing Model, or CAPM). Step 1: Calculate Expected Return (Holding period return): The formula for the (one-year) holding period return is: HPR = (D1 + S1 – S0) / S0, where D = dividend and S = stock price. Here, HPR = (0 + 55 – 45) / 45 = 22.2% Step 2: Calculate Required Return: The formula for the required return is from the CAPM: RR = Rf + (ERM – Rf) ×Beta RR = 4.25% + (12.5 – 4.25%) × 2.31 = 23.3%. Step 3: Determine over/under valuation: The required return is greater than the expected return, so the security is overvalued. The amount = 23.3% − 22.2% = 1.1%.
CFA一级模考题
CFA一级模考题1 . High risk tolerance, a long investment horizon, and low liquidity needs are most likely to characterize the investment needs of a(n):A) insurance company.B) bank.C) defined benefit pension plan.The correct answer was CA defined benefit pension plan typically has a long investment time horizon, low liquidity needs, and high risk tolerance. Insurance companies and banks typically have low risk tolerance and high liquidity needs. Banks and property and casualty insurers typically have short investment horizons.2 . Risk aversion means that if two assets have identical expected returns, an individual will choose the asset with the:A) higher standard deviation.B) lower risk level.C) shorter payback period.The correct answer was BInvestors are risk averse. Given a choice between assets with equal rates of expected return, the investor will always select the asset with the lowest level of risk. This means that there is a positive relationship between expected returns (ER) and expected risk (E ) and the risk return line (capital market line [CML] and security market line [SML]) is upward sloping.Standard deviation is a way to quantify risk. The payback period is used to evaluate capital projects, not investment returns.3 . Consider the following graph of the Security Market Line (SML). The letters X, Y, and Z represent risky asset portfolios. The SML crosses the y-axis at the point 0.07. The expected market return equals 13.0%. Note: The graph is NOT drawn to scale.Using the graph above and the information provided, which of the following statements is most accurate?A) Portfolio Y is undervalued.B) The expected return (or holding period return) for Portfolio Z equals 14.8%.C) Portfolio X's required return is greater than the market expected return.The correct answer was: BAt first, it appears that we are not given the information needed to calculate the holding period, or expected return (beginning price, ending price, or annual dividend). However, we are given the information required to calculate the required return (CAPM) and since Portfolio Z is on the SML, we know that the required return (RR) equals the expected return (ER). So, ER = RR = R f + (ER M– R f) ×Beta = 7.0% + (13.0% − 7.0%) × 1.3 = 14.8%.The SML plots beta (or systematic risk) versus expected return, the CML plots total risk (systematic plus unsystematic risk) versus expected return. Portfolio Y is overvalued – any portfolio located below the SML has an RR > ER and is thus overpriced. Since Portfolio X plots above the SML, it is undervalued and the statement should read, “Portfolio X’s required r eturn is less than the market expected return.”4 . Based on Capital Market Theory, an investor should choose the:A) portfolio that maximizes his utility on the Capital Market Line.B) portfolio with the highest return on the Capital Market Line.C) market portfolio on the Capital Market Line.The correct answer was AGiven the Capital Market Line, the investor chooses the portfolio that maximizes his utility. That portfolio may be exactly the market portfolio or it may be some combination of the risk-free asset and the market portfolio.5 . In the context of the capital market line (CML), which of the following statements is CORRECT?A) The two classes of risk are market risk and systematic risk.B) Market risk can be reduced through diversification.C) Firm-specific risk can be reduced through diversification.The correct answer was CThe other statements are false. Market risk can not be reduced through diversification; market risk = systematic risk. The two classes of risk are unsystematic risk and systematic risk.。
CFA一级模考
CFA一级模考题1 . A portfolio manager who adds commodities to a portfolio of traditional investments is most likelyseeking to:A) increase expected returns only.B) both increase expected returns and decrease portfolio variance.C) decrease portfolio variance only.C was correct!Unlike most alternative investments, expected returns on commodities are typically less than expected returns on traditional investments. However, because their returns typically have a low correlation with returns on traditional investments, adding commodities to a portfolio of traditional investments can decrease portfolio variance.2 .Springfield Fund of Funds invests in two hedge funds, DXS and REF funds. Springfieldinitially invested $50.0 million in DXS and $100.0 million in REF. After one year, DXS and REF were valued at $55.5 million and $104.5 million, respectively, net of both hedge fund management fees and incentive fees. Springfield Fund of Funds charges 1.0% management fee based on assets under management at the beginning of the year and a 10.0% incentive fee independent of management fees. The annual net return for Springfield Fund of Funds is closest to:A) 5.0%.B) 5.5%.C) 6.0%.A was correct!Management fee = $150.0 × 1.0% = $1.5 millionNet value at end of year after hedge fund fees = $55.5 + $104.5 = $160.0 millionIncentive fee = ($160.0 − $150.0) × 10% = $1.0 millionTotal fees = $1.5 + $1.0 = $2.5 millionNet of fees: $160.0 − $2.5 = $157.5 millionNet return = ($157.5 / $150.0) − 1 = 5.0%3 .With respect to risk management for alternative investments, counterparty and liquidity risk areintroduced as additional considerations by the use of:A) foreign currencies.B) lock-up periods.C) derivatives.C was correct!Use of derivatives introduces operational, financial, counterparty, and liquidity risk.4 .Funds that invest in the equity of companies, primarily by using debt financing, are bestcharacterized as:A) hedge funds.B) private equity funds.C) real estate investment trusts.B was correct!Leveraged buyout (LBO) funds, a type of private equity fund, use borrowed money topurchase equity in established companies.5 .The most prevalent type of private equity fund is:A) leveraged buyout funds.B) venture capital funds.C) distressed securities funds.A was correct!Leveraged buyout funds comprise the majority of private equity investment funds.。
CFA一级模考
The correct answer was C Global depository receipts are issued outside the U.S. and the issuer’s home country and are most often denominated in U.S. dollars. Depository receipts issued in the United States and denominated in U.S. dollars are called American depository receipts. Global registered shares are denominated in the home currencies of the exchanges on which they trade.
A)2.50X.
B)0.50X. C)2.00X.
The correct answer was B Market value of equity = ($100)(1000) = $100,000 Price / Sales = $100,000 / $200,000 = 0.5X
4 . Global depository receipts are most likely issued: A)outside the issunated in the exchange’s home currency. B)in the United States and denominated in U.S. dollars. C)outside the issuer’s home country and denominated in U.S. dollars.
CFA一级模考题
CFA一级模考
CFA一级模考题1 .Assume a city issues a $5 million bond to build a hockey rink. The bond pays 8% semiannual interest and will mature in 10 years. Current interest rates are 6%. What is the present value of this bond?A) $5,000,000.B) $3,363,478.C) $5,743,874.The correct answer was CSince current interest rates are lower than the coupon rate the bond will be issued at a premium. FV = $5,000,000; N = 20; I/Y = 3; PMT = (0.04)($5,000,000) = $200,000. Compute PV = $-5,743,8742 .The six-year spot rate is 7% and the five-year spot rate is 6%. The implied one-year forward rate five years from now is closest to:A) 6.5%.B) 12.0%.C) 5.0%.The correct answer was B5y1y= [(1 + S6)6 / (1 + S5)5] - 1 = [(1.07)6/(1.06)5] – 1 = [1.5 / 1.338] - 1 = 0.123 .What is the annual-pay yield for a bond with a semiannual-bond basis yield of 5.6%?A) 5.60%.B) 5.68%.C) 5.52%.The correct answer was BThe annual-pay yield is computed as follows:Annual-pay yield = [(1 + 0.056 / 2)2– 14 . The six-month spot rate is 4% and the 1 year annualized spot rate is 9% (4.5% on a semiannual basis). Based on the pure expectations theory of interest rates, the implied six-month rate six months from now is closest to:A) 6%.B) 5%.C) 4%.The correct answer was B6m6m = [(1 + S2)2 / (1 + S1)1] - 1 = [(1.045)2/(1.04)1] - 1[1.092 / 1.04] - 1 = 0.055 . Bonds issued by the International Monetary Fund (IMF) are most accurately described as:A) quasi-government bonds.B) supranational bonds.C) non-sovereign government bonds.The correct answer was BSupranational bonds are issued by multilateral organizations such as the IMF. Quasi-government bonds are issued by agencies created by a national government. Non-sovereign government bonds are issued by state, provincial, and local governments or municipal entities.。
CFA一级模考
CFA一级模考题1 . Ryan Brown, CFA, is an analyst with a large insurance company. His personal portfolio includes a significant investment in QRS common stock that his firm does not currently follow. The director of the research department asked Brown to analyze QRS and write a report about its investment potential. Based on CFA Institute Standards of Professional Conduct, Brown is required to:A)sell his shares of QRS before completing the report.B)disclose the ownership of the stock to his employer and in the report.C)decline to write the report without specific approval of his supervisor.The correct answer was: BStandard VI(A) (Disclosure of Conflicts) requires that Brown make full disclosure of all matters that could impair his objectivity. Brown needs to disclose his personal holding in QRS stock not only to his employer, but also in any subsequent reports that he authors. Getting the approval of his supervisor does not solve this conflict problem for Brown. Selling his shares of QRS would be one solution to Brown's situation, however this action is not required by the Standards.2 . Jan Hirsh, CFA, is employed as manager of a college endowment fund. The college’s endowment is held by the brokerage firm Advisors, Inc. Over the years, Hirsh has developed a solid relationship with Advisors. Because of this relationship, Advisors has given her their Platinum level service for her personal account. Advisors ordinarily gives the Platinum level only to clients who do a minimum of $2,500 of commission business in a year. Hirsh has never reached the $2,500 commission level and probably will never do so. According to Standard IV(B), Additional Compensation Arrangements, Hirsh needs to:A)inform her supervisor verbally about the Platinum account.B)do none of the actions listed here.C)inform her supervisor in writing about the Platinum account.The correct answer was CHaving the Platinum account is a benefit from her managing the endowment, which led to the relationship with Advisors. Members should report to their employers any additional compensation or benefits they receive for their services. This must be in writing. Doing $2,500 in business alone will not negate her obligation unless she explicitly tells Advisors that she is willing to accept whatever penalties accompany a Platinum account when a client does less business.3 . Nicholas Brynne, CFA, develops a trading model while working for CE Jones, an investment management firm. By working on the model at home from his personal computer, Brynne is able to devote additional work hours. Although the trading model is successful, Brynne losses his job in a company restructuring, and decides to start his own practice using the trading model. Nicholas is mostlikely:A)not in violation of the Standards because the trading model was created using his home computer.B)in violation of the Standards because he did not receive permission from his employer to keep or use the files after employment ended.C)in violation of the Standards because he did not have permission to build the trading model using his home computer.The correct answer was: BBrynne is in violation of Standard IV(A) "Loyalty." Employer records include items stored in any medium including home computers.4 . Jack Stevens is employed by a company to provide investment advice to participants in the firm's 401(k) plan. One of the investment options is a stable value fund run by the company. Stevens' research indicates that the fund is far riskier and less liquid than the typical stable value fund and has a fundamental asset value lower than book value of the assets. He tells Jessica Cox, the head of employee benefits, about his research, and indicates that he will advise new employees to not invest in the fund and will advise employees who already own the fund to reduce their holdings in the fund. Cox points out that the fund is not in any current danger because there are very few redemptions requested of the fund. Cox also states that a sell recommendation may become a self fulfilling prophecy, causing investors to redeem their shares and forcing the fund to liquidate, which in turn will cause the remaining investors to receive less than their promised value. Stevens agrees with this assessment and feels his fiduciary duty is to all employees. Stevens should:A)continue to recommend that new investors do not invest in the fund and existing investors reduce their holdings.B)tell investors he cannot give advice on the fund because of a conflict of interest.C)continue to recommend that new investors do not invest in the fund, but not advise existing investors to reduce their holdings.The correct answer was AThe employees to whom Stephens owes fiduciary duty are the ones who are seeking his advice, even if acting on that advice hurts other employees who might eventually become clients.5 . Don Roberts, a CFA Institute member, resides in Country L, where the securities laws and regulations are less strict than the CFA Institute Code and Standards. Roberts also does business in Country N, which has no securities laws or regulations. Thus, Country N has no laws prohibiting the use of material nonpublic information. Roberts has clients in both Country L and N. Country L's law states that the law of the locality where business is conducted governs. According to CFA Institute Standards of Professional Conduct about the use of material nonpublic information, Roberts may:A)take investment action based on this information for clients in both Country N and Country L andfor himself.B)not take investment action on the basis of this information.C)take investment action based on this information only for his clients in Country N but not for his clients in Country L or himself.The correct answer was: BBecause applicable law states that the law of the locality where the business is conducted governs and local law is less strict than the Code and Standards, the member must adhere to the Code and Standards. Standard II(A) prohibits the use of material nonpublic information.。
(完整版)CFA一级模考试题及答案
ANSWERS FOR MOCK EXAM 1 (MORNING SESSION)1. D. Although Terence has passed Level III, he has not yet received his charter andcannot use the CFA designation. The description provided in the cover letterproperly describes his situation.2. C. Amy must take both actions-notifying her immediate supervisor and deliveringa copy of the Code and Standards.3. D.4. C. Members may undertake an independent practice that could result incompensation or other benefit in competition with their employer provided theyobtain written consent from both their employer and the party for whom theyundertake independent practice.5. C. To maintain his objectivity, Keith should pay his own hotel bill. Because theitinerary required charter flights due to a lack of commercial transportation, A& K Limited can appropriately provide them.6. C. Under ERISA, fiduciaries must act solely in the interest of, and for theexclusive purpose of benefiting, the plan participants and beneficiaries.7. B. Daniel must give priority to transactions for clients and employers overtransactions for his children.8. A. To avoid violating the standards, members cannot trade until the member'sclients and employers have had an adequate opportunity to act on therecommendation.9. C. The requirements of Standard IV (B.5) are not intended to prevent Lambertfrom cooperating with an investigation by AIMR's Professional ConductProgram.10. B. Vivian should disclose to her clients and prospects her husband's holdings inDouble Limited because this matter could be expected to impair her ability tomake unbiased and objective recommendations.11. B.12. B. Accruals accounting is required.13. C. S tandard I(B) Fundamental Responsibilities. Prohibition against participating orassisting in illegal and ethical violations. If Roberts suspects someone isplanning or engaging in illegal activities, he should: (1) determine the legalityof the activities, (2) disassociate himself from the illegal or unethical activity,and (3) urge his firm to attempt to persuade the perpetrator to stop. The AIMRStandards of Professional Conduct do not require that Roberts report suchactivities to the authorities, but the law might.14. C. Standard III(C) Disclosure of Conflicts to Employer. Gloria should disclose toher employer all matters that could reasonably be expected to interfere with herability to make unbiased and objective recommendations. Her service as atrustee of the Well Limited Foundation for Heart Research is most likely to beconsidered a conflict of interest with her responsibility to her employer.15. C. Standard III (E) Responsibilities of Supervisors. Paul may delegate supervisoryduties, but such delegation does not relieve him of his supervisoryresponsibility.16. A. Standard IV (B.3) Fair Dealing. Johnson violated the standard on fair dealingbecause he did not deal fairly and objectively with all clients and prospectswhen disseminating investment recommendations. Instead, he showedfavoritism to his best clients. In disseminating investment recommendations,Johnson should consider making the information available to clients based ontheir interest and suitability. A change of recommendation from buy to sell orsell to buy is generally material.17. D. Standard IV(B.5) Preservation of Confidentiality. Choice B is false because thisstandard prohibits members from executing settlement agreements that preventmembers from providing information in an investigation by AIMR'sProfessional Conduct Program (PCP). Choice C is false because a personcannot withhold information during PCP investigations. Choice A is falsebecause if a member receives information due to his or her special relationshipwith the client indicating illegal behavior on the past of the client, the membermay not have an obligation to inform the appropriate authorities.18. A. Standard IV(B.6) Prohibition against Misrepresentation. Members are notpermitted to make any assurances or guarantees about any investment, except tocommunicate accurate information. The statement that investment grade bondshave less default risk than junk bonds is an accurate statement.19. C. Use BGN node: n = 10; i = 12 PMT = 1,000, compute FV = 19.654.5820. B. The present value of a perpetuity is PV = A/r = 500/0.1 = $5,000.21. B. i = 6/12 = 0.5; n = 10x12 = 120; PV = 40,000 Compute PMT22. A.23. A. A binomial random variable has an expected value or mean equal to np andvariance equal to np(1-p).Mean = 12(0.5) = 6; variance (12)(0.5)(1-0.5) = 324. D.25. B. Rbt-1 = In St+1 /St = (1+RL1-1) = In (40/25) = 0.47. Thus, 47% is thecontinuously computed return for the one-year holding period.26. B. Choice A describes cross-sectional data.Choice B describes time-series data.27. D. The dependent variable, Y, is equal to the intercept, b0, plus a slope coefficient,P(positive) - P(analyst and positive)P (A or positive) = 130/200 + 140/200 - (100/130) = 0.58 or 58%36. B. Savings increases to hold interest rates constant. This means aggregate demandchanges little.37. C. The empirical evidence on the relationship between budget deficits and interestrates is mixed.Few studies show a significant positive short-term link between budget deficitsand real interest rates.38. B. Expansion = 1 / reserve requirement = 1/0.25 = 4(4)(150) = 60039. C. People realize this leads to inflation in the long run, so they reduce their moneyholdings. Output rises because the increase is unexpected.40. C. In purely competitive markets, there are a large number of dependent firms.41. D.42. D.43. C.44. C.45. D. Choice A: Accrual accounting does not require the receipt of cash for assuranceof payment to exist.Choice C and D: These relate only to the condition of completion of theearnings process.46. D.47. A Demand for currency decreases when real interest rates decrease because ofdecreased capital flows.48. C Foreign exchange quotations can be expressed on a direct basis - the homecurrency price of another currency—or an indirect basis-- the foreign currencyprice of the home currency.49. C F/S= (1 + r D)/(l + r F) where rates are listed as DC/FCF = (1.3/1.25)(0.4) = 0.41650. C. Direct method:Net income 1000Depreciation 70Goodwill 30Change in accounts receivable 25Change in inventory (35)Change in accounts payable 30Change in wages payable 15Operating cash flows 113551. B. Purchase equipment (200)Sell truck 25Investing cash flows (175)52. D. Sale of common stock 100Issuance of bonds 20Financing cash flows 12053. D. A common size balance sheet expresses all balance sheet accounts as apercentage of total assets.54. C. Original shares of common stock = 1,000,000(12) = 12,000,000Stock dividend = 200,000(12) = 2,400,000New shares of common stock = 200,000(3) = 600,000Total shares of common stock = 15,000,000/12= 1,250,000 Stock dividends are assumed to have been outstanding since the beginning ofthe year.55. D. Inventory turnover, defined as COGS/Average inventory, if often meaninglessfor LIFO companies due to the mismatching of costs. The numerator representscurrent costs, whereas the denominator reports outdated historical costs. Thus,the turnover ratio under LIFO will, when prices decrease, trend lower becauseof small COGS and larger inventory. Net profit margin, defined as EA T/Sales,is higher during periods of decreasing profits for LIFO companies. LIFO leadsto a smaller COGS, which reduces EAT, without affecting sales.56. A. In this situation, LIFO results in lower cost of goods sold because it uses themore recent and lower costs than LIFO. LIFO results in lower cash flowsbecause the cash on income taxes is a percentage(the marginal tax rate) of thedifference in inventory values. Thus, with LIFO:Sales-COGS (smaller)EBT (larger)-Taxes (larger) Because taxes paid out are a cash outflow.EAT (larger) If taxes are larger, then cash flow ill be smaller.57. D. COGSFIFO = COGSLIFO - (Ending LIFO Reserve - Beginning LIFO Reserve)COGSFIFO = $250,000 - ($8,000-$5,000) = $247,00058. D. Compared to expensing, capitalizing results in higher profitability in earlyyears and lower profitability in later years.59. C.60. D. The present value of the minimum lease payments equals or exceeds 90 percentof the value of the fair value of the leased property.61. B. Capital lease affects on the income statement:Step1: Calculate the depreciation charge: ($3,500,000-$450,000)/10 = $305,000Step2: Calculate the interest expense: $3,500,000(0.15) = $525,000Total expense: $305,000+$525,000 = $830,00062. A.63. C.64. A.65. B.66. D.67. B. Dealer-markets are price-driven markets.68. D.69. C.70. C. P/E = Dividend payout ratio/(k-g)Dividend payout ratio = 1 - retention ratio = 1-0.2 = 0.8P/E = 0.8(0.15-0.08) =5.671. B. k = D1/P0+g = $4/$25+0.09 = 0.2572. A. Step1: Calculate the ending index value = ($100)(5) = $500Step2: Calculate the expected return.E(R1) = [Dividends + (Ending value - Beginning value)]/(Beginning value)= [40+(500-490)]/$490 = 0.1 or 10%73. D. The critical factors determining the franchise P/E are the difference between theexpected return on the new opportunities (R) and the current cost of capital (k)and the size of these growth opportunities relative to the firm's current size.74. A.75. C.76. D The completed contract method less net income in the periods beforeconstruction is completed, but not at the end of the contract, than using thepercentage-of-completion method. This is because the completed contractmethod recognizes revenue and expense only when the contract has beencompleted.77. A. N et income 1,000Adjustment for non-cash andnon-operating itemsDepreciation 100Deferred taxes (increase) 40Profit from sale ofequipment (10)Adjustment for workingcapital items:Accounts receivable (decrease) (120)Inventory (increase) (40)Accounts payable (increase) (20)Wages payable (decrease) (10)Cash flow from operations 94078. D79. A When inventory and accounts receivable increase, this is a use of cash (cashoutflow); when assets decrease, this is a source (cash inflow). When accountspayable increase, this is a source of cash (cash inflow); when liabilitiesdecrease, this is a use (cash outflow).80. B Cash conversion cycle = receivables days + inventory processing days -payables payment period.Receivables days = 365/receivabies turnover = 365/30 = 12.17 days.Inventory processing days = 365/inventory turnover = 365/15 = 24.33 days.Payables payment period = 365/payabIes turnover = 365/20 = 18.25days.Cash collection cycle = 12.17 + 24.33 – 18.25 = 18.25 days.81. B Choice A: Buying fixed assets on credit does not affect current assets butincreases current liabilities. Therefore, the current ratio falls.Choice B: Buying inventory on account increases both inventory and accountspayable. Because the current ratio started off below I, the ratio will increase.Choice C: Selling marketable securities for cash does not affect the amount ofcurrent assets and leaves the current ratio unaffected,Choice D: Paying off accounts payable from cash lowers current assets andcurrent liabilities by the same amount. Because the current ratio started offbelow 1, the ratio will fall.82. D ROE = Profit margin x Total asset turnover x financial leverageROE = (0.3)(2.1)(0.5)= 0.315 or 31.5%83. A ROE = [(S/A)(EBIT/S) - (I/A)](A/EQ)(I - t)ROE = [(2.5)(0.2) - (0.08)](1.2)(0.6) = 0.30 or 30%84. A85. B EPS = ($180,000 - $4,000) / 50,000 = $3.52 per share86. B87. D88. C These relationships are reversed in the latter years of the asset's life if the firm'scapital expenditures decline.89. D90. C.91. C.92. D.93. D. Absolute yield spread = Yield on Bond A - Yield on Bond B = 10%-7% = 3%94. B. Relative yield spread = (Yield on Bond A - Yield on Bond B)/(Yield on BondB)= (10%-7%)/7% = 0.43 = 43%95. B. Yield ratio = (Yield on Bond A)/(Yield on Bond B) = 6%/7% = 1.4396. B. Current yield = (Annual dollar coupon interest)/(Price of the bond) = 8/130 =0.0625 or 6.25%97. A. When the stock's price (S) - the strike price (X) is positive, a call option isin-the-money. 25-X = 8 so X = 17.98. A.99. A. The writer of put loss = $60-premiun$5 = $55The writer of call gets a maximum gain of $8100. A.101. C.102. D.103. A.104. D.105. B.106. D.107. C.108. A. Securities that fall on the SML are properly valued.109. A.110. A. If a stock's beta were equal to 1, an investor would be expected to get the market rate of return from buying the stock. E(R) = 5%+1(10%-5%) = 10% 111. D112. D113. C114. B Perfect positive correlation (r = + 1) of the returns of two assets offers no risk reduction, whereas perfect negative correlation (r = -1) offers the greatest riskreduction.115. B Portfolio A does not lie on the efficient frontier because it has a lower return than Portfolio B but has greater risk. Portfolio D does not lie on the efficientfrontier because it has higher risk than Portfolio C but has the same return. 116. C.117. D Choice A: Unsystematic risk is diversifiable risk.Choice B: Systematic risk is undiversifiable risk.Choice C: Total risk= Systematic risk+ Unsystematic risk.118. C119. D CAPM specifies the factor (market risk) but APT does not.120. A。
CFA一级模考
CFA一级模考题1 .A firm pays an annual dividend of $1.15. The risk-free rate (RF) is 2.5%, and the total risk premium (RP) for the stock is 7%. What is the value of the stock, if the dividend is expected to remain constant?A)$25.00.B)$12.10.C)$16.03.The correct answer was BIf the dividend remains constant, g = 0.P = D1 / (k-g) = 1.15 / (0.095 - 0) = $12.102 . Gwangwa Gold, a South African gold producer, has as its primary asset a mine which is shown on the balance sheet with a value of R100 million. An analyst estimates the market value of this mine to be 90% of book value. The company’s balance sheet shows other assets of R20 million and liabilities of R40 million, and the analyst feels that the book value of these items reflects their market values. Using the asset-based valuation approach, what should the analyst estimate the value of the company to be?A)R70 million.B)R80 million.C)R110 million.The correct answer was: AMarket value of assets = 0.9(R100 million) + R20 million = R110 millionMarket value of liabilities = R40 millionEstimated net value of company = R110 million − R40 million = R70 million.3 . An equity security that requires the firm to pay any scheduled dividends that have been missed, before paying any dividends to common equity holders, is a:A)participating preference share.B)convertible preference share.C)cumulative preference share.The correct answer was CCumulative preference shares (cumulative preferred stock) must receive any dividends in arrears before the firm may pay any dividends to common shareholders.4 . What is the value of a preferred stock that is expected to pay a $5.00 annual dividend per year forever if similar risk securities are now yielding 8%?A)$40.00.B)$60.00.C)$62.50.The correct answer was C$5.00/0.08 = $62.50.5 . For a non-dividend paying firm, an increase in net income must increase:A)market value of equity.B)book value of equity.C)both book value and market value of equity.The correct answer was BBook value of equity is the company’s assets minus its liabilities. For a non-dividend paying firm, positive net income will increase the book value of equity. An increase in book value of equity may or may not increase the market value of equity. An increase in net income that does not meet investors’ prior expectations may decrease the market value of equity.。
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
CFA一级模考题
1 . The fee structure of a hedge fund may lead to biases in performance data because:
A)fund managers have incentives to take big risks if past performance has been poor.
B) hedge fund managers are not required to disclose information regarding fee structures.
C) hedge fund managers charge higher fees than managers of traditional funds.
A was correct!
Hedge fund managers have the potential to earn more than managers of traditional funds, but this does not bias performance data. Hedge fund managers typically receive a modest base fee (1%) and then a large incentive fee based upon performance. If past performance has
been poor, then fund managers feel they have “nothing to lose” and may invest more
aggressively.
2.Which of the following statements regarding hedge fund performance is FALSE?
A) Hedge funds have demonstrated a lower risk profile than traditional equity investments.
B) The Sharpe ratio for hedge funds has been consistently higher than for most traditional
equity investments.
C)Hedge funds have historically underperformed the S& 500.
C was correct!
Hedge funds have demonstrated a lower risk profile than equities when measured by standard deviation. The Sharpe ratio, which is a reward-to-risk ratio, has been higher for hedge funds than for equities. Hedge funds have historically outperformed the S& 500.
3.Biases in hedge fund performance measurement are least likely to include:
A) correlation bias.
B) incomplete historical data.
C) smoothed pricing.
A was correct!
The six most common biases present in hedge funds are:
●“Cherry Picking” by managers.
●Incomplete historical data.
●Survival of the fittest.
●Smoothed pricing.
●Asymmetrical returns.
●Fee structures and incentives.
4 .Which of the following statements regarding survivorship bias in hedge funds is most
accurate? Survivorship bias tends to:
A) overstate both the performance and volatility of hedge funds.
B) understate the performance and overstate the volatility of hedge funds.
C) overstate the performance and understate the volatility of hedge funds.
C was correct!
Survivorship bias exists because only the successful hedge funds submit performance data, thus overstating performance when the index is considered to be representative of the entire hedge fund population. Likewise, stable funds tend to succeed, while more volatile funds
tend to go out of business, causing the database to tend to understate volatility for hedge
funds as an asset class.
5 .Survivorship bias is acute with hedge fund databases because hedge:
A) funds experience higher volatility of returns than traditional investments.
B) funds are more highly leveraged than other asset classes.
C)fund managers often do not have to comply with performance presentation standards.
C was correct!
The main reason behind the survivorship bias problem in hedge fund reporting is that hedge funds are exempt from most SEC regulations, including performance presentation standards. This lack of standards leads to many inconsistencies in reporting that are not present in other asset classes.。