CFA考试《CFA二级》历年真题精选及详细
解析1007-14
1、Prior to the president’s intervention, the actions by the farmers relative to the manufacturers over the disputed price of water is best described as:【单选题】 A.moral hazard. B.adverse selection. C.regulatory arbitrage. 正确答案:A
答案解析:A is correct. The farmers’ having the ability to restrict the release of water to the detriment of the manufacturers during the pricing dispute is an example of a moral hazard. 2、Based on Exhibit 1, which variable in the Beneish model has a year-over-year change that would increase Miland’s likelihood of manipulation?【单选题】 A.DSR B.LEVI C.SGAI 正确答案:A
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答案解析:A is correct. The DSR (days’ sales receivable index) variable in the Beneish model is related positively to the Beneish model M-score. Therefore, a year-over-year increase in DSR from 0.9 to 1.20 would lead to an increase in the M-score, which implies an increase in Miland’s likelihood of manipulation.
3、ABC Investment Management acquires a new, very large account with two concentrated positions. The firm’s current policy is to add new accounts for the purpose of performance calculation after the first full month of management. Cupp is responsible for calculating the firm’s performance returns. Before the end of the initial month, Cupp notices that one of the significant holdings of the new accounts is acquired by another company, causing the value of the investment to double. Because of this holding, Cupp decides to account for the new portfolio as of the date of transfer, thereby allowing ABC Investment to reap the positive impact of that month’s portfolio return.【单选题】
A.Cupp did not violate the Code and Standards because the GIPS standards allow composites to be updated on the date of large external cash flows.
B.Cupp did not violate the Code and Standards because
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companies are allowed to determine when to incorporate new accounts into their composite calculation.
C.Cupp violated the Code and Standards because the inclusion of the new account produces an inaccurate calculation of the monthly results according to the firm’s stated policies. 正确答案:C
答案解析:Answer C is correct. Cupp violated Standard III(D)–Performance Presentations when he deviated from the firm’s stated policies solely to capture the gain from the holding being acquired. Answer A is incorrect because the firm does not claim GIPS compliance and the GIPS standards require external cash flows to be treated in a consistent manner with the firm’s documented policies. Answer B is incorrect because the firm does not state that it is updating its composite policies. If such a change were to occur, all cash flows for the month would have to be reviewed to ensure their consistent treatment under the new policy.
4、Based on the three economic outlook statements, a profitable long/short trade would be to:【单选题】 A.go long a Canadian CDX IG and short a US CDX IG. B.short an iTraxx Crossover and go long an iTraxx Main. C.short electric car CDS and go long traditional car CDS.
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正确答案:B
答案解析:B is correct. Based on Outlook 1, Chan and Smith anticipate that Italy’s economy will weaken. In order to profit from this forecast, one would go short (buy protection) a highyield Italian CDS (e.g., iTraxx Crossover) index and go long (sell protection) an investment-grade Italian CDS (e.g., iTraxx Main) index.
5、Assume for this question only that Global reports under U.S. GAAP and that the total periodic pension cost for the year ended 20X8 was �4,250. Ignoring income taxes, which of the following statements best describes the adjustment necessary for analyzing Global Oilfield\\\\\\\\'s cash flow statement?【单选题】 A.Increase operating cash flow �750 and decrease financing cash flow �750.
B.Decrease operating cash flow �2,084 and increase investing cash flow �2,084.
C.Increase operating cash flow �5,000 and decrease financing cash flow �5,000. 正确答案:A
答案解析:Total periodic pension cost represents the true cost of the pension. If the firm\\\\\\\\'s contributions exceed its true pension expense, the difference can be viewed as a reduction in
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the overall pension obligation similar to an excess principal payment on a loan. Pension contributions are reported as operating activities in the cash flow statement while principal payments are reported
6、Whose statement regarding the use of multifactor models in active and passive portfolio management is correct?【单选题】 A.Lam only B.Cheung only C.Both Lam and Cheung 正确答案:B
答案解析:B is correct. Analysts can use multifactor models in passively managed portfolios to replicate an index fund’s factor exposures.
7、Based on Exhibits 1 and 2, Sienna’s FCFE in 2016 is:【单选题】 A.�894 million. B.�1,466 million. C.�2,894 million. 正确答案:A
答案解析:A is correct. Sienna’s FCFE in 2016 is calculated as 8、Based on the information in Exhibit 1, the REIT sector that represents the least desirable investment is:【单选题】 A.industrial.
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