CFA二級押題密卷M1直播講義

1906高頓CFA押題密卷一Level2

Ethic上午卷

JasonZhang,CFA,hasrecentlybeenhiredastheChiefTnvestmentOfficerofthe

RegionalGovernmentEmployees,PensionFund.Currently,heisconducting

evaluationsofallexternalmanagersemployedbytaePensionFundtoensurethat

theyareactingtheirbesttopursueexcellentreturnsaccordingtotheirownmandates,

whilecomplyingwithallapplicablelawsandregulations.

ABCInvestmentisalocalassetmanagementfirmwithrelativelylargeAUM.10%of

thepensionfundassetswereallocatedtoABCInvestmentsduetoitsgoodtracksof

performanceforpastfiveyeanTobetterunderstandtheinvestmentactivitiesofthis

firm,Jasonarrangedaforma1meetingwiththerespectivefundmanager,EmmaWen.

JasonrequiredEmmatoexplaintheheavypositionsoncommoditiesintheportfolio

sincethetradesdidnotconsistentwiththewrittenIPSofthepensionfund.Emma

repliedthatthere'salotoftradingopportunitiesincominoditymarketssincethe

upwardtrendsbecamemoreobvious,contrarilythestockmarketwasstagnant

Thoughbeingagreenhand,shewasreadytograbtheseprofitstofurtherlypushup

thereturnsofthefund.

Ethic上午卷

JasonthenhadathoroughcheckonABCinvestmentfirniscompliancepolicystatements：

PerformancedatamustbedocumentedforeachofABC'sactiveaccountsbedisclosed

uponrequest,andbecomparedwiththefirmscompositewhichiscomposedofactive

accountsonlyPerformancedatamustbepresentedcnabeforeHaxbasistoallclientswith

thedisclosurethatallperformancedataarecomputedbeforefees

ABCencouragesitsstafftobeinvolvedinthebusinesscommunityOnlybusiness-related

conflictsofintereststhatrelatetocurrentportfolioholdingsneedtobereportedtothe

supervisors

AnyviolationoftheABCcompliancepolicystatementbytheemployeeswillbereportedto

thepresident,andemployeeswillreceiveanofficialwarning

Ethic上午卷

AlltheemployeesofABCneedtodiscusswiththeirsupervisoralloutsidecompensation

thattheyarereceivingormayrcceive

ABCmaintainsonlyhard-copyrecordsforthePensionFundforthefiveyearsrequiredby

regulators

Policy1：Ifinvestmentpersonnelplanstotradestocksinclient^accountsondayTthey

couldnottradethosesamestocksinpersonalaccountsondayP3T-2andTH.

Policy2：Eachmontharandomlyselectedgroupofinvestmentpersonnelmustprovide

duplicatetradeconfirmationsiotheABCcomplianceofficer

Policy3：Investmentpersonnelmustreceivepriorapprovalforpersonaltradesonlyfor

thosetiadesgreaterthan$10,000.

Ethic上午卷

1.Regardingthecommoditypositions,doesHnstradecomply

withtheCFAInstitutecodeandstandards?

AYes,becauseitisagoodopportunitytoearnreturns

BNo,becauseinvestingincommoditydoesnotfollowtherelated

IPS

CNo,becauseshehasnotenoughrelatedexperiencetotrade

commodities

Ethic上午卷

在任何情況下，基金經(jīng)理投資產(chǎn)品要符合FS的投資范圍，要符

合IPS的規(guī)定，Emma投資大宗商品并不符合IPS要求，所以她違

反了準則111(C)Suitability。

Ethic上午卷

2.DoesABC'scornpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttoperformance

presentation?

ANo,becauseterminatedaccountsareexcluded

BNo,becauseperformanceisreportedtoallclientsgrossoffees

CNo,becauseperformancedataarepresentedonabefore-taxbasis

Ethic上午卷

UI(D)PerformancePresentation這條細則要求無論是終止賬戶還

是正常賬戶都需要保留在業(yè)績展示中，ABC公司只展示了active

賬戶業(yè)績，所以違規(guī)了，所以A答案正確。在皿①)條款中推薦遵

守GIPS要求，但不是強制要求，所以無論披露grossof能es還是

netoffee以及before-tax或者after-tax并不違規(guī)in(D)條款0

Ethic上午卷

3.DoesABC'scanpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttodisclosuresofconflicts

ANo,becausenotonlybusinessinterestsbutalsopersonalbelief

BNo,becausenotjustthoserelatetocurrentportfolioholdingsbut

alsorelatetoallactualandpotentialconflictsofinterests

CYes

Ethic上午卷

VI(A)DisclosureofConflicts這條細則要求披露所有對客戶或者雇

主產(chǎn)生或可能產(chǎn)生的利益沖突，policy相關要求披露的利益沖突

范圍太狹窄，不符合CFA制定的準則。

Ethic上午卷

4.DoesABC'scompliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespectto:

ViolationsCompensation

Ethic上午卷

IV(C)這條細則要求作為管理層，當員工違規(guī)時需要立刻啟動調

查，并限制該員工權限直到該調查結束，管理層需要做到此類

違規(guī)不能再次重復上演，不能僅僅只是給員工一個警告，所以

公司相關政策里面的陳述不符合CFA細則。額外報酬的陳述也不

符合，IV⑹條款要求員工在獲得可能對雇主利益產(chǎn)生沖突的額

外報酬時，需要提前向雇主得到書面同意，不僅僅是文中提到

的discusswiththeirsupervisoro所以正確答案是A。

Ethic上午卷

5.DoesABC'scornpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttorecord^etention?

ANo,becausetheCFAInstituterequiresmaintainingrecordsin

BNo,becausetheCFAInstituterequiresmaintainingrecordsatleast

Ethic上午卷

根據(jù)V(C)RecordRetention條款，企業(yè)可以選擇保存electronic

form或者harcbcopy,無論那種形式的存檔都是符合該細則的。

當?shù)厝绻麤]有監(jiān)管要求，該細則推薦文檔保存7年，如果有監(jiān)管

要求就按監(jiān)管要求執(zhí)行，文中提到根據(jù)當?shù)乇O(jiān)管要求保存5年，

所以并不違規(guī)V(C)。

Ethic上午卷

Ethic上午卷

VI(B)PriorityofTransactions條款要求CFA會員或者考生不能搶在

客戶之前做交易，該細則對于員工具體的限制買賣期并沒有具

體要求，只要不在客戶之前做交易就符合該條款，所以ABC公司

關于PersonalSecuritiesTradingPolicy1的描述是正確的。

Ethic下午卷

ChristianMathew,CFA,isanequityanalystspecializinginthebeverageindustry,forGupta

AssetManagers(Gupta),aportfoliomanagementcompanybasedinMumbai,India

MathewisplanningatriptoSriLankatoresearchtheteaindustry;MuralilYemadosa,CFA,

knownasTtem,“isaresearchanalystforastockbrokingcompany,AshokaBrokers

headquarteredinColombo,SriLankaMathewcontactsPremtohelparrangevisitsto

specificallyidentifiedteaestatesofpubliclytradedcompaniesinthehighlandsofSriLanka

Prem,whowantstoenhancethebusinessrelationshipwithGupta,arrangesforallof

Mathew?sSiLankanexpensestobepaidforbyAshokaThesecostsincludefood,hotel

andtransportThisarrangementisbasedontheunderstandingthatallsecurity

transactionsresultingfix)mMathe#striptoSriLankawillbeexecutedthroughAshoka

Ashokdscommissionsaretypicallysimilartoitscompetitorsbutitcantakeafewextra

daystoexecutelargervolumesoftradesbecauseAshokaisnewtothebrokeragebusiness

Premsetstheitinerary,withplanstovisitaminimumofsixSriLankateacompaniesinthe

threetea-growingregions.MathewagreestothevisitsandasksPremtocreatealistof

questionstoaskthemanagementofeachcompanytowhichhewilladdhisownquestions.

Ethic下午卷

MathewasksPremtodelaythereleaseofanyresearchreporthewritesonthesixSri

LankacompaniestheyvisittogetheruntilsuchtimethatGuptahashadanopportunityto

actonMathew'srecommendationsPremagreestothisarrangement

Inameetingwithapubliclylis^dteacompany,KandyTeaEstatelimited,informationis

revealedthatneitherMathewnorl￥embelieveisinthepublicarenaTheinformation

relatestotherestructuringofthefactorylayouttomaketheteadryingprocessmarginally

moreefficientwitha1%reducedlossoftealeafThenewlayoutdoesnotrequireany

additionalmachineryorpersonnelPremandMathewseetheincreasedeffidenciesduring

theirfactorytour

Afterthemeeting,Prempreparesaninvestmentresearchreportwiththeexcerptshownin

Exhibit1.

Ethic下午卷

Recommendation:Long-termbuywithassociatedhighcommodityrisksupportedbylarge

growthprospectsforSriLankaaswellasliquidityriskbecauseitisathinlytradedcompany

inafrontiermarket

Exhibit1continued-TeaProductivitybycountry(MillionKg)

Source:IndiaTeaBoardandSrilankaTeaBoard

Ethic下午卷

MathewisimpressedwithI￥erfsworkethicandresearchabilitiesKnowingGuptawants

tohireanalystsforitsnewColomboofficeMathewasksPremifhewouldbeinterestedin

changingemployersandbuildingaresearchteam.Premisexcitedabouttheprospectand

toshowhisworthtoGupta,I￥emundertakesthefollowingactionsathisofficeafter

normalworkinghours:

Action1:CreatesalistofalltheworkhecompletedatAshokaonhispersonallaptop.

Action2:Photocopiesresearchreportsherecentlycompletedontheteaindustry;

Action3:Makeshandwrittenexcerptsfiompreviousresearchmeetingnotea

UponMathe^sreturntoMuiribai,hedeliverstohisclientshisinvestmentreportwitha

‘仇產(chǎn)lecominendationforKandyTeaEstateLimited,alongwithteasampleshecollected

whileinSriLankaWhenbuyingKandysharesforhisclients,Mathewalsobuysthesame

sharesforhispersonalaccount.Hehaddisclosedhisplantopurchasethesharesforhis

ownportfolioalongsidehisclientsbeforeheboughttheshares.However;Mathewis

forcedtosellthesamesharestwoweekslatertopayforamedicalemergency:Mathew

receivedpermissionfromGuptdscomplianceofficerforbothtransactions,

Ethic下午卷

1.IsPrenisarrangementtoenhancebusinessrelationsconsistent

withtheCFAInstituteCodeofEthicsandStandardsofProfessional

Conduct?

Ethic下午卷

BiscorrectbecausePrenisemployei;Ashokaisnotabletoprovide

bestexecutionforGuptdscustomersbecauseofthelonger

timeframerequiredtoexecutetrades.ThusMathewisinviolation

ofStandardHI（內-LoyaltyPrudenceandCare.Mathew's

independenceandobjectivityareunlikelytobecompromisedby

PrenisarrangingtheitinerarybecauseMathewhadspecifically

identifiedthecompanieshewantedtovisitMathewalsoadded

Ethic下午卷

managementduringtheirinterviews,soMathew'shdependence

andobjectivitywouldnotlikelybecompromisedAshokdsofferto

payforthetripexpensesalsodoesnotnecessarilycompromise

Mathew'shdependenceandobjectivitywithregardtomaking

investnentrecommendationsortakinginvestmentaction(Standard

I⑹IndependenceandObjectivity).

Ethic下午卷

2WhoismostlifelytohaveviolatedCFAInstituteStandardsin

Ethic下午卷

CiscorrectbecausebyagreeingtoMathew'sstipulation,Premisin

violationofStandardHI(B).StandardHI(B)obligesCFAInstitute

membersandcandidatestoensurethatinformationisdisseminated

insuchamannerthatalldioitshaveafeiropportunitytoacton

everyrecommendationPremletMathew,sclientstradeon

informationgarneredontheresearchtripbeforePremeven

disseminatesthisinformationtohisdiaits,aviolation

Ethic下午卷

ofStandardHI(Ei).Inaddition,StandardI(A)statesthatmembers

andcandidatesareresponsibleforviolationsinwhichthey

knowinglyparticipateorassistBymakingastipulationregarding

thereleaseofinvestmentrecommendationsunfairlytoallAshoka

clients,MathewisknowinglyparticipatingwithorassistingPremin

violatingStandardHI⑹andthusviolatesStandardIA).Therefore,

bothPremandMathewhaveviolatedCFAInstituteStandards.

Ethic下午卷

3.1sanyfurtheractionmostlikelyrequiredofPremandMathew

priortopublishinganinvestmentreportusingtheinformation

receivedintheirmeetingwithKandyTeaEstate?

A.No.

Ethic下午卷

Aiscorrectbecausewhiletheinformationisnon-publicitisunlikely

thatnewsofanewfactorylayoutwouldbeconsidered“material/'

especiallyinthatitdoesnotrequirenewmachineryorpersonnel

Therefore,nopublicdisclosureisrequiredIndependentverification

isnotnecessarilyrequiredbecausePremandMathewareableto

seetheincreasedefficienciesduringtheirfactorytour

Ethic下午卷

4PremsresearchreportinExhibit1leastlikelyviolateswhichCFA

InstituteStandard?

Ethic下午卷

Aiscorrectbecausethestatisticscitedarereferencedasbeingfrom

theIndiaTeaBoardandtheSriLankaTeaBoard.Thus,Premisnot

tryingtopasstheinformationoffashisown.However;hehas

violatedStandardVII(B)withregardtotheuseoftheCFA

designationPremisnotallavedtousehisdesignationasatitleor

noun-that13"CharteredFinancialAnalyst“TheCharteredFinancial

Analystand(FAmarksmustalwaysbeusedeitherafter

Ethic下午卷

acharterholdefsnameorasadjectivesSeverasnouns)inwritten

documents.Forexample,torefertooneselfasa“CFNora

^CharteredFinancialAnalyst^isimproperThecorrectusagewould

beJohnJones,CharteredFinancialAnalyst,orJaneSnith,CFAPrem

alsoviolatedStandardIV(B)CommunicationwithClientsbyciting

datedteaproductioninformationAsaresult,clientsareunlikelyto

beabletofollowthereasoningbehindhisrecommendation

Ethic下午卷

5.WhichoftheactionsthatPremundertakestoshowhisvalueto

Ethic下午卷

CiscorrectbecausealistofthereportsPremhascreatedisnot

consideredresearchsohehasnotviolatedStandardIV-Dutyto

EmployersorStandardV(0《ecordretention.Also,hecreatedthe

listafterworkinghoursandusedhispersonallaptop,sohehasnot

usedcompanyresourcestocreatethislist

Ethic下午卷

6.Mathew,sinvestmentactionsuponhisreturntoMumbaiviolate

CFAInstituteStandardswithregardstohis:

A.disclosuretoclients

Ethic下午卷

BiscorrectbecauseMathewhasviolatedCFAStandardVI⑹

PriorityofTransactionMathewbuyingthinlytradedsharesina

frontiermarketforhispersonalaccountatthesametimeasheis

buyingthemforhisclientsislikelytoharmhisdiaitsbecausethe

sharepriceswouldrisebeforeallthesharesarepurchased

However;giftsofteasamplestoMathew'sdiartsareinsignificant

andunlikelytocontributetotheirdecisionstoimplementMathew,s

investmentrecommendatioaConsequently,hehasnotviolated

StandardI0)IndependenceandObjectivityHealsomade

appropriatepriordisclosurestohisclientsabouthisteainvestment,

soheisnotinviolationofStandardVI(A)DisclosureofConflicts.

Eco上午卷

AlbaisadevelopingcountryThegovernmenthasadoptedopenpoliciesforinternational

tradeandtheflowofcapitalTradeisnowsubstantialwithEuropeancountriesandisoften

denominatedineuros(€).Duringtheearly2000s,privatizationofsomepubKclyowned

industries;creationofanewfree-floatingcurrencytheAlbaDollar(ALD);andsound

policiesimplementedatthecentralbankputtheeconomyonatrackforsteadygrowth

andstability

MinistercfFinanceAndrewBubsispreparinghisannualreportonthestateofthe

economyandcurrencymarketsforthelegislativebranchofgovernmentHewillexamine

thelong-andshortrteraitrendsinGDPgrowth,percapitaincome,inflation,andexchange

ratesHeisalsoresponsibleforrecommendingpolicyinitiativesforthelegislatureto

considertopromoteoveralleconomicprosperityforGb3scitizens

Toestimatelong-termGDPgrowth,BubsexaminesthedatainExhibit1andintendstouse

Solo/sgrowthaccountingequation

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Growthinlabor

productixdty

BubsconsultshiscolleagueLarrySmithtoreviewthepolicychoicesfacingthegovernment

andthepossibleeffectsoneconomicgrowthandpercapitaincome.

Smiths^tes:Albdspoliticiansaredebatingtheeffectsofgrowthratepoliciesfocusedon

threeoutcomes:

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Smithconcludes:Theimpactfi^omthesepolicieswillcauseabng-tennincreaseinthe

economysgrowthrateandthestandardofliving.Furthermore,ifweemphasizeR&D

spendingthenhigherratesofsavingandinvestmentareunlikelytoencounterdiminidling

marginalreturns.

BubsbelievesthatAlbaneedstoaddressarecentincreaseininflationandappreciationin

theexchangemteiIfthesetrendsaccelerate^thecountryspresentprosperitycouldbe

threatened.BubsandSmithdiscusspolicyalternatives

Bubsstates:BecauseAlbaallowscapitaltoflowfreelytheclearestchoiceistoinplement

expansionarymonetaryandfiscalpoliciestostoptheappreciationofthecurrency

accordingtotheMundell-Heningmodel

Smithreplies:ThereisalsoatimingdimensiontoconsiderAccordingtoeconomistRudiger

Dornbusch,withinflexibledomesticpricesintheshortrun,anydecreaseinnominal

moneysupplywillinduceanincreaseinthedomeSticinterestrateThisresponsewill

encouragecapitalinflavsandcausetheexchangeratetoovershoottotheupsideinthe

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BubsalsoconcernstheimportanceofGDPgrowthtoinvestorsandtheconvergenceof

livingstandardsbetweencountriesSmithexplains:

Statement1:Whenweconsiderourstockmarketsoverthelongterm,theprimaryfocus

shouldbeontherateofGDPgrowth.Forlongertimehorizons,changesin

earningsandtheprice/earningsmultiplearerelativelylessimportantin

determiningappreciationinthestockmarketWhenwelookatourfi^d-

incomemarkets,weshouldkeepinmindthathigherratesofpotentialGDP

growthwilltranslateintolowerrealinterestratesandlowerexpectedreal

assetreturns

Statement2:Manycountriesthathavethesamepopulationgrowthrat?savingrateand

productionfunctionwillhavegrowthratesandpercapitaoutputthat

convergeovertine

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InexaminingthecurrencymarketsBubsisconcernedthatlocalcurrencydealersarebeing

takenadvantageofbyarbitrageursfromEurope.HeanalyzestheratequotesinExhibit2

forevidenceoftriangulararbitrageandcarrytradeopportunitiesbyEuropeanhedgefunds.

0.8045

1.205。

1.5140

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13.Usingthespecifiedgrowthaccountingequation,whichisthe

mostappropriateconclusionBubscanmakefromhisdataontrends

intheeconomy?

B.Albaseconomyisperformingatasteadystaterateofgrowth.

C.GDPgrowthisprimaiilydrivenbycapital

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根據(jù)科布道格拉斯生產(chǎn)函數(shù)可得：AW=AVA+CMK/K+(1-

a)ALy￡

△VA二percentagegrowthfir)mtotalfactorproductivity(1FP)

AK/K=percentagegrowthincapital

Al/L=percentagegrowthinlabor

a=shareofincomepaidtocapitalfactor

高頓財經(jīng)CFA：finance,gaodun.cn高頓網(wǎng)校:wvw.gaodun.com

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1-a=shareofincomepaidtolaborfactor;alsotheelasticityof

+212=(Q40)X53

+1.74=(Q60)X29

4.06GDPgrowth

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14SnitKsconclusionregardingthegrowthpolicydebateismost

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Smith提到的觀點是不存在邊際回報遞減，這是典型的

Endogenous觀點，因為如果把資本擴展到人力資本、研發(fā)等方

面就不存在邊際回報遞減了。B說的古典主義，這是人口爆炸學

說，和本題的觀點無關。C說的是新古典，認為存在邊際回報遞

減。故此本題選A

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15.Whichofthestatementsregardingpolicyalternativesdiscussed

betweenBubsandSmithinresponsetoAlbdsrecentincreasein

inflationandappreciationinexchangerateisleastaccurate?

A.SmithsstatementregardingRudigerDornbusch

B.BubdsstatementregardingMundell-Flemingmodel

C.Bothstatements

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關于蒙代爾弗萊明模型的說法錯誤，因為在資本可以自由流動

的情況下，寬松的貨幣政策使得本幣貶值，而寬松的財政政策

使得本幣升值，故此雙寬松政策情況下本幣是貶值還是升值是

不確定的。而關于多恩布什超調模型的說法是正確的。

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16.Inreviewingthethreestatementstoaddresstheimportanceof

GDPgrowthtoinvestorsandtheconceptofconvergence,whichcf

Bubdscolleaguesstatementsismostinaccurate?

A.Statement2

Eco上午卷

A說的是條件趨同，當populationgrowthratesavingrateand

productionfunction相同的時候即可趨同，這是正確的。

B說的是俱樂部趨同，當發(fā)展中國家makeappropriate

institutionalchanges就可以和發(fā)達國家趨同，這也是正確的。

C的說法是錯誤的，錯誤點在于對于固定收益市場來說，

potentialGDP的高增長將會使得higherrealinterestratesand

higherexpected