2025年CFA特许金融分析师《CFA二级》模拟试卷二

Edward Baldwin and Margo Madison, two analysts at Simply Fund, examine the relationship of quarterly change in gross profit margin (GPM) of RealPower Medicine during 2011-2020. Baldwin applies an AR(1) model to ΔGPM time series. Exhibit 1 shows the regression results and autocorrelations of the residuals from the AR(1) model. The end-of-quarter change in gross profit margin is 3.86%. 题目图片

In order to test whether the errors in the regression display first-order autoregressive conditional heteroskedasticity, Baldwin regresses the squared residuals denoted as ?t2, on lagged squared residuals. The results are given in Exhibit 2. 题目图片

Baldwin and Madison discuss the addition of more variables in the analysis. Madison states:“When we apply linear regression to two time series, at least one of the following conditions must hold, in order to rely on the validity of the estimated regression coefficients.”i. “The independent variable should not have a unit root, but the dependent variable should exhibit a unit root.”ii. “Both time series have a unit root but are not cointegrated.”Notes: Critical t-values, level of significance of 0.05:One-sided: ± 1.684Two-sided: ± 2.021

1

Based on the regression results from Exhibit 1, the forecasted change in GPM next quarter is closest to:

A.3.02%
B.4.24%
C.-3.13%

2

According to Exhibit 1, which of following statements is most likely correct?

A.Based on the Durbin-Watson test, the model presents positive serial correlation.
B.The autoregressive model shows seasonality and is mis-specified.
C.The second lag should be added back to the original AR(1) model.

3

Based on the results given in Exhibit 2, Baldwin and Madison should most likely model ΔGPMt by using the:

A.generalized least squares model.
B.AR(2) model.
C.White-correct standard error.

4

Does Madison correct regarding two of her statements?

A.Statement 1 is wrong, only the independent variable series should be tested for the absence of a unit root.
B.Both are correct.
C.Statement 2 is wrong, if both time series have unit roots, then they should be cointegrated for reliable estimation of regression coefficients.

Ryan Schmidt, a portfolio manager at a hedge fund in UK, sold USD 10 million forward against the GBP at an all-in forward price of 1.2465 (USD/GBP). Two months before the settlement date, Schmidt wants to mark this forward position to market. The relevant spot rate, forward points, and Libor are given in Exhibit 1. 题目图片

Schmidt receives a macroeconomic forecasting report from a trusted source. The report predicts the GDP growth in the UK will be lower by 2 percent next year. Based on the forecast, he recommends that the company to increase its fixed income investments.Then, Schmidt is assigned a task by his supervisor to analyze the economic situation in three countries, the related economic characteristics and policies are given in Exhibit 2. Schmidt’s supervisor believes all these countries will have the same per capita growth rate in the long term since all countries can access to the same technology. 题目图片

5

The mark-to-market value for Schmidt’s forward position is closest to:

A.– GBP 7,684.
B.– GBP 9,645.
C.– GBP 8,302.

6

Based on uncovered interest rate parity, the expected change in the USD/GBP rate in one year is closest to:

A.a decrease of 1.2 percent.
B.an increase of 1.15 percent.
C.a decrease of 1.05 percent.

7

If Schmidt expects the future USD/GBP spot rate to be equal to the forward rate, he is least likely assuming that:

A.uncovered interest rate parity holds.
B.investors are risk neutral.
C.spot rates follow a random walk.

8

The reason for recommending company to increase its fixed income investments is most likely the anticipation of:

A.lowering of short-term interest rates by the central bank.
B.upward pressure on inflation.
C.narrowing output gap.

9

Based on the data given above, capital deepening as a source of growth is most important for:

A.Country X.
B.Country Y.
C.Country Z.

10

The convergence theory among three countries is best described as:

A.conditional convergence.
B.club convergence.
C.absolute convergence.

Jeff Lordman is an equity analyst at Eamom asset management. Lordman is Jonas Gentry’s supervisor. Lordman is planning on reviewing the financial statements of Lomi Inc., the company prepares its financial statements in accordance with US GAAP.Gentry collects the information about the new collective agreement related to the pension plan. And he tells Lordman that there have been two changes related to the plan:The benefit formula has been changed to 1.5% × Final year’s salary × Number of years of service under the plan. Previously, the same formula was used, but with a factor of 1.45%.The vesting period has been changed from 5 years to 4 years.Gentry makes the following two comments about these changes to the pension plan:1. The new formula will have a big impact on income because the past service costs that arise will be expensed immediately.2. The change to a shorter vesting period will give rise to an actuarial gain.Lordman responds: “The past service costs that arise will be reported in other comprehensive income and amortized on the profit and loss statement over the remaining average service lives of the employees.”Lordman provides Gentry with the information in Exhibit 1 about Terry Ashton, an employee who has just started working for Lomi, and other information taken from the company’s pension plan disclosures. Lordman asks Gentry to calculate the pension liability arising from Ashton. 题目图片

Following his calculation of the pension plan liability, Gentry asks Lordman question about the discount rate that is used:What would be the effect of using a higher discount rate on various components of the company’s pension plan obligation?Gentry's colleague, Henry Rowland is reviewing Austell's pension. The company prepares its financial statements in accordance with IFRS.Information concerning the company’s pension plan as of 31 December 2017 is shown in Exhibit 2.Rowland wants to review the pension expense, cash flows, and the plan’s funding position. He is concerned about whether the poor fund performance is appropriately reflected in the amounts recorded for the year. To better understand the cash flow impact, he calculates the total periodic cost of the plan in 2017 to be $585.8 million and observes this differs significantly from the company’s contribution, shown in Exhibit 2. 题目图片

11

In regard to Lordman and Gentry’s discussion about the changes in the pension plan arising from the new collective agreement, which comment is most accurate?

A.Gentry’s first comment about the impact on income
B.Lordman’s response about past service costs
C.Gentry’s second comment about the actuarial gain

12

At the end of Ashton’s second year of service, the estimated defined-benefit obligation arising from his employment is closest to:

A.$17,058.
B.$18,069.
C.$17,865.

13

The least appropriate answer to Gentry’s question is that the:

A.interest cost may either increase or decrease.
B.current service cost would increase.
C.opening obligation would decrease.

14

The loss reported in Other Comprehensive Income (OCI) in Austell’s 2017 financial statements related to the pension plan is closest to:

A.$742.9.
B.$1,017.6.
C.$209.9.

15

The poor investment performance of the pension plan in 2017 most likely caused the periodic pension cost (in $ millions) reported in the income statement to be:

A.unaffected.
B.higher by $1,017.6.
C.higher by $751.

16

From an economic perspective, in 2017, the most appropriate interpretation of the difference between Austell’s contribution to the pension plan and its total periodic pension cost results in a(n):

A.operating cash inflow.
B.financing cash inflow.
C.financing cash outflow.

Hoyo is a company with approximately $3.5 billion in annual sales that specializes in the development, manufacturing, and marketing of personal care supply, especially for baby diaper & adult diaper. The firm is seeking to achieve more rapid growth, and Hoyo’s executive management team feels that the company can grow faster by making acquisitions than it can by trying to grow organically. As a result, management asks the firm’s Director of Strategic Planning, Dave Sherman, CFA, to analyze potential alternatives. At Hoyo’s next executive management team meeting, Sherman presents the report shown in Exhibit 1 concerning four potential acquisition targets: 题目图片

Hoyo’s executive team agrees that the report is helpful for initiating discussion but decides they need more information concerning the form of each potential acquisition and the most appropriate method of payment. Hoyo’s management is also concerned whether each potential target would view a takeover attempt as friendly or hostile. Casey Damon, Hoyo’s CEO, asks Sherman to prepare a second report that specifically describes the transaction characteristics corresponding to each deal. Sherman’s second report is shown in Exhibit 2. 题目图片

As Hoyo was conducting its analysis, Eddie Strong, CEO of Choe, hears rumors that Hoyo may attempt a hostile takeover of his firm. Strong calls an emergency meeting with Choe’s four executive vice presidents and expresses his concern that Hoyo may attempt a bear hug by submitting a merger proposal directly to the board without informing Choe’s management. Strong concludes the emergency meeting by asking each executive vice president to brainstorm defense mechanisms that Choe could employ before a takeover attempt is made and also defenses that could be employed after a hostile takeover offer.Final meeting is with Soong Inc. It is about the implementation of the new financing mix is likely to be delayed. The management of Soong states that the delay is because the structure of the board of directors is about to change in the following manner:The CEO will no longer be the chairman of the board.The retired original founder of Soong will become the chairman of the board.The board will now have a majority of members that are independent.

17

Based on Sherman’s description of potential acquisition targets, which form of integration and type of merger, would best describe the transaction if Hoyo tried to acquire Diasy?
题目图片

A.A
B.B
C.C

18

Based on the information in Exhibit 2, which of the following statements concerning the transaction characteristics of the potential mergers with Hoyo is most accurate?

A.Purchasing Diasy is likely to reduce Hoyo’s financial leverage.
B.Baydie would likely avoid paying corporate taxes in the potential deal with Hoyo.
C.Afuly’s shareholders would likely be required to approve the deal with Hoyo before any proposed deal is completed

19

Which of the following best satisfies Strong’s request to identify a pair of defense mechanisms that consist of a pre-offer and a post-offer defense?
题目图片

A.A
B.B
C.C

20

Which changes to the board of directors is least consistent with best practices in the composition of a board?

A.Specific choice of the new chairman of the board
B.Change in the composition of the board membership
C.Change regarding the CEO

Robert Smith, an analyst at Springfield Investment Bank, is analyzing the competitive position of BLADE Technologies, a manufacturer of smartphones and mobile phone accessories. Christopher Harrison is Smith’s supervisor, who has asked him to evaluate BLADE’s profitability over the past four years by comparing it with its two main rivals that are located in different territories with different tax regimes. Smith conducts the smartphone industry analysis using Porter’s five forces framework. Excerpts from his analysis are given below:Customer switching costs are low.BLADE holds 21% of world market share; its two main competitors hold 12.5%, and 10.0% respectively.A high number of equipment suppliers. Intense competition among suppliers.Demand is highly sensitive to the economy.Large number of choices available.High capital requirement and advanced technologies’ cost, customer loyalty towards existing brands, constant push to innovate and launch new products.Smith collects financial data on BLADE given in Exhibit 1. 题目图片

Using 2016 as the base year, Smith expects:2017 global GDP growth rate to be at 4.0%sales to grow 2% faster than projected nominal global GDP growthcost of goods sold ratio to decline 0.55% annuallyselling expenses to remain stable as a percentage of salesgeneral and administrative and depreciation and amortization expenses to be fixednet debt to decline by USD140 million in 2017Amber Bailey is a colleague of Smith. She is analyzing R&M, a clothing and accessories firm with global sales, headquartered in Sweden. Bailey estimates R&M’s sustainable growth rate based on the information given in Exhibit 2. 题目图片

Bailey examines R&M’s growth potential and expects the expansion to follow three distinct stages of growth. The growth rate of 18% in the first stage to last from 2017-2019, followed by 10% from 2020-2022, and 6% beyond 2022. She also estimates 12% as the long-term return on equity (ROE) for the stock, and 11.5% as its required rate of return. Based on these estimates, she determines R&M’s intrinsic value using the DDM.Bailey then discusses different valuation approaches with Smith.Bailey: A company’s sustainable growth rate is based on an assumption of growth through internally generated funds. It is useful as it approximates the average rate growth rate of dividends over a long horizon.Smith: Free cash flow to the firm (FCFF) and free cash flow to equity (FCFE) are both affected by a change in the company’s financial leverage.Bailey: Abnormally high ROEs are not likely to persist due to competition, changes in demand or innovations in technology.

21

The most appropriate return metric that Smith should use to evaluate BLADE’s past four-year performance relative to its competitors is:

A.return on equity.
B.return on capital employed.
C.return on assets.

22

Based on the analysis of the competitive environment under the Michael Porter framework, BLADE’s ability to generate above market returns on invested capital is most likely based on:

A.high barriers to entry.
B.high bargaining power of suppliers.
C.low bargaining power of customers.

23

Based on Exhibit 1 and Smith’s sales and expense forecasts, BLADE’s net profit estimate (in $ millions) for 2017 will be closest to:

A.766.
B.869.
C.900.

24

Using the information given in Exhibit 2, R&M’s sustainable growth rate is closest to:

A.4.50%.
B.10.00%.
C.10.56%.

25

Based on Bailey’s growth estimates and the information in Exhibit 2, the terminal value component of R&M’s intrinsic value at the end of 2016 is closest to:

A.€8.77.
B.€16.84.
C.€7.86.

26

Regarding the discussion on valuation methods, which comment is least likely correct ?

A.Comment related to sustainable growth.
B.Comment related to free cash flow.
C.Comment related to ROE.

Aki Hiroshi, a fixed income analyst suggests a newly issued, five-year US Treasury zero-coupon note priced at USD64.99 to his portfolio manager for investment, and the bond yields 9.00% to maturity. According to Hiroshi, some investors may purchase this Treasury zero-coupon note today and hold it to maturity, while others may buy the same Treasury note in two years and then hold it for three years to maturity. Hiroshi’s portfolio manager asks him to calculate the forward rate that would cause investors to be indifferent about either purchasing the Treasury zero-coupon note today or purchasing it in two years. Given the spot rates z1 = 5%, z2 = 6%, z3 = 7%, z4 = 8%, z5 = 9%. Hiroshi’s portfolio manager also expects the future one-year spot rate in two years will be exactly same as current forward rate f2,1.The fund manager doesn't want to invest in this 5-year note despite its high yield, he's sticking with the investment which has shorter term.Then, Hiroshi and portfolio manager talk about credit spread indicators that measure credit and liquidity risk for fixed income securities. Hiroshi makes the following observations about credit risk measures.Statement 1: “The Z-spread uses the implied spot yield curve and adds the spread necessary to discount the bond’s cash flows and derive its current market price. It is a useful measure of risk for corporate bonds.Statement 2: The TED spread is used for the valuation of government bonds and is calculated as the difference between Libor and the yield on a T-bill of equal maturity.Statement 3: The Libor-OIS spread incorporates an index rate which is typically the rate for overnight unsecured lending between banks. The Libor-OIS spread serves as an indicator of risk and liquidity of money market securities.”

27

The forward rate that would make an investor indifferent between buying the Treasury note today or in two years is closest to:

A.7%
B.9%
C.11%

28

According to expectation from Hiroshi’s portfolio manager, how will the yield curve change?

A.increase.
B.remain constant.
C.decrease.

29

Which of the following theories is more consistent with the reason for portfolio managers' reluctance to invest in 5-year note?

A.Segmented markets theory
B.Liquidity preference theory
C.Preferred habitat theory

30

Which statement of Hiroshi is least likely correct regarding the measurement of credit spread?

A.Z-spread.
B.TED spread.
C.Libor-OIS spread.

Belle Kaisa, chief risk officer at Mundo Asset Management (MAM), talks to her assistant Savage Olaf about hedging strategies. Olaf was interested in the BSM model and asked Kaisa about the assumptions of the BSM model. Kaisa then made the following assumptions of BSM model:Assumption 1: The options are American-style, meaning that early exercise is allowed.Assumption 2: Continuous trading is available, meaning that in the strictest sense one must be able to trade at every instant.Assumption 3: The volatility of the return on the underlying is known and variable.After a period of study, Olaf's understanding of the BSM model improved. Kaisa then asked Olaf the following questions to verify his learning outcomes.“According to the BSM model and options Greeks, what factors would increase the value of the call options?”A few months later, Kaisa plans to bring Olaf to the practice of some derivatives strategies. MAM sold 1000 ABC Company put options at an exercise price of $55. As ABC's quarterly earnings may not meet expectations, Kaisa is worried that ABC's share price might fall. The current share price of ABC Company is $57. Kaisa asks Olaf to build a delta neutral portfolio to hedge the risk of options. In order to complete the hedging portfolio, Olaf collected the following data, which is shown in Exhibit 1. 题目图片

To learn more about implied volatility, Olaf asked Kaisa if there was a visualization that plot how the implied volatility varies across both exercise price and time to maturity. Kaisa responds that there is such an instrument.The next day, Kaisa proposes to give Olaf some option-related training to enhance Olaf's knowledge of options. Kaisa initiated the session by listing, in Exhibit 2, variables and values for a binomial model to illustrate an outcome. 题目图片

Kaisa states that long-/short-hedge fund managers seek to identify and exploit any mispricing that might exist between the price of an option and the price of its underlying stock, utilizing a replicating strategy. Kaisa asks Olaf to assess the three scenarios outlined in Exhibit 3, based on the information in Exhibit 2 and assuming that the price of a one-year European-style call option is $19.25. 题目图片

Finally, Kaisa and Olaf discussed another position, the stock of Osaka Sushi, a Japanese Seafood chain restaurant. Kaisa wanted to evaluate whether there was a mispricing in Osaka Sushi put option, therefore she asked Olaf to calculate the price of put option using two-period binomial tree model (the expectations approach) based on the information in Exhibit 4. 题目图片

31

Which of Kaisa's statements about the assumptions of BSM model is correct?

A.Assumption 1
B.Assumption 2
C.Assumption 3

32

The best response to Kaisa's question by Olaf' is:

A.The volatility of the underlying asset decreases.
B.The dividend growth rate increases.
C.The risk-free rate decreases.

33

In order to achieve the hedging strategy expected by Kaisa, Olaf should:

A.long 378 shares of ABC company.
B.short 622 shares of ABC company.
C.short 378 shares of ABC company.

34

The instrument Kaisa referred to in her response to Olaf's question is most likely:

A.Volatility smile.
B.Volatility skew.
C.Volatility surface.

35

With respect to the replicating strategies, which scenario is most likely correct?

A.Scenario 1
B.Scenario 2
C.Scenario 3

36

Based on the two-period binomial tree model, Osaka Sushi's put option price is close to:

A.$0.36
B.$1.32
C.$0.74

Matthew Underwood, a quantitative analyst, is on a trading team at Knight Investments. Underwood reviewed a ticket to sell 9,000 shares of Barn Enterprises, limit $55.55. The order was executed over the day. The ticket was split into two orders that executed that day as follows:A market order to sell 6,000 shares executed at a price of $55.71.A market order to sell 3,000 shares executed at a price of $55.45.Underwood also finds out that two other trades, other than the trades done by Knight, took place that day: 2000 shares at USD 55.50 and 1500 shares at USD 55.60. Underwood uses this information to estimates the Volume-weighted average price (VWAP) transaction cost for the 9,000 shares of Barn enterprises that traded on that day.Next, Underwood is given a task to evaluate the performance of a US equity manager, Brian Wilson by Kenny Raven, the CFO of Knight Investments. Wilson uses Russell 1000, an index representing the performance of the 1,000 largest US stocks by market value, as a benchmark.Underwood decides to use the Carhart model to understand the sources of Wilson’s active return during the year, given an assumed set of factor returns. Exhibit 1 gives the results of Underwood’s analysis where the sum of an entry titled “A. Return from Factor Tilts,” and “B. Security Selection” gives the active return. 题目图片

Knight Investments is considering developing its own ETF products. Therefore, Raven calls a meeting to discuss details of ETFs. During the meeting, he makes the following statements about ETFs.Statement 1: Tracking difference is calculated as the standard deviation of the differences between daily index returns and daily ETF fund returns.Statement 2: ETFs generally have lower expense ratios as compared to mutual funds.Statement 3: Although the expense ratio is a useful measure, it does not fully reflect the cost of holding an ETF.Underwood is developing a model that will use economic inputs to provide an equity rotation strategy for equity funds. Underwood also decides to incorporate a target equity risk premium into the model. He makes the following notes:Note I. The equity premium should be positive and given the economic outlook quite large.Note II. The type of product sold or service provided by a company will impact earnings and equity performance.Note III. Equities demand a lower risk premium because of better consumption-hedging properties than investment grade fixed income securities.
拖动题目图片

37

The volume-weighted average price (VWAP) transaction cost estimate for the 9,000 shares of Barn Enterprises is closest to:

A.$ 0.0225
B.$ 55.71
C.$ 0.26

38

Based on the analysis reported in Exhibit 1, the most appropriate conclusions regarding the active return decomposition is that:

A.The dominant source of the manger's positive active return was his positive exposure to the HML factor.
B.The manager's active exposure to the overall market (RMRF) was profitable.
C.The manager's active exposures to RMRF, SMB, and WML led bets on active return that were major compared with his bet on HML.

39

Which of the following statements made by Raven regarding ETFs are correct?

A.All three statements are correct.
B.Only statement 1 and statement 2 are correct.
C.Only statement 2 and statement 3 are correct.

40

Which of Underwood’s notes is least likely correct?

A.Note I.
B.Note II.
C.Note III.

June 2017 was a life-changing month for Marcia Lopez. She earned a master’s degree in finance from a top national university, sat for the Level I CFA Program exam, and accepted a job offer in her hometown as an associate in the wealth management division of BankGlobal, a multinational financial services firm.In August, Lopez finds out that she passed Level I exam and begins working for BankGlobal. On her first day at BankGlobal, Lopez meets with her supervisor, David Hockett, CFA. During their meeting, Hockett reviews BankGlobal’s Code of Ethics, the specific policies and procedures needed to ensure compliance with their Code, the CFA Institute Code and Standards, and all applicable securities laws and regulations. At the end of the meeting, Lopez asks him to approve her Business Card Request form, on which she describes herself as a “CFA, Level I.” Hockett tells her that she should also put on her business card the year she expects to receive her CFA designation so clients can track her success in the program.Later that day, Hockett introduces Lopez to the four other members of his wealth management team. The team manages $900 million in assets for 150 high-net-worth clients. Almost 80% of the team’s assets are managed in discretionary accounts, with the balance managed in non-discretionary accounts. For the past two years, the portfolios managed by Hockett’s team have outperformed their benchmarks and most other wealth management teams at BankGlobal. This is partly due to the close relationships that the team has developed with the securities analysts in BankGlobal’s research department. Because of bottlenecks in BankGlobal’s information technology (IT) department, it generally takes about 45 minutes for changes in the analysts’ recommendations to be published on the firm’s website and emailed to clients. As a result, the analysts often call Hockett’s team about changes in their recommendations before IT has published the information on BankGlobal’s website. After receiving these calls, the team immediately acts upon any analyst changes for their discretionary accounts to prevent their clients’ portfolios from being adversely impacted when the recommendations are posted or to take advantage of better than expected reports.After several months of learning about the wealth management division’s operations and products, Hockett believes Lopez is ready to meet with prospective clients. Next week, Hockett is meeting with Marty and Mary Kochanski for the first time. The Kochanskis were referred to Hockett by Gary White, their business banker at BankGlobal. The Kochanskis are both 61 years of age, and they recently retired after Mary sold her medical insurance consulting business for $7.4 million. Hockett invites Lopez to participate in the meeting with the older couple and asks her to prepare a presentation on BankGlobal’s wealth management capabilities. Hockett also asks her to create a model “balanced portfolio” that he intends to recommend to the Kochanskis at the meeting.Lopez is excited and immediately begins work on the presentation. To develop the Kochanski’s “balanced portfolio,” Lopez prepares a list of fixed-income funds, equity mutual funds, and exchange-traded funds (ETFs). The list includes mutual funds and ETFs from BankGlobal’s proprietary offerings as well as those from other firms. Lopez then selects the top two performing equity and fixed-income funds with the highest five-year returns. To create a balanced portfolio, she gives an equal weight to each fund. Unsure how to present the model portfolio’s past performance, Lopez uses an average of the four funds’ five-year annualized rates of return and labels it “Total Portfolio Return.” For comparison purposes, Lopez shows the annual rates of return realized over a five-year period for a “composite portfolio” consisting of the team’s discretionary accounts of similar size to the Kochanski’s that also have a balanced objective. To simplify the presentation, she excludes terminated accounts.

41

Does Lopez violate the Code and Standards in her description of herself on the Business Card Request form?

A.Yes.
B.No, because she found out in August that she passed Level I.
C.No, because she knows the year that she expects to receive her CFA designation.

42

By acting upon the analysts’ recommendations for their discretionary accounts, are members of Hockett’s team violating the Code and Standards?

A.No.
B.Yes, because they are not dealing fairly with all clients.
C.Yes, because they are acting on material nonpublic information.

43

Did Hockett/Lopez violate the Code and Standards in their recommendation of a balanced portfolio to the Kochanskis?

A.Yes.
B.No, because they know the Kochanski’s investment objectives and risk tolerance.
C.No, because the balanced portfolio is most suitable for the Kochanskis given their age and wealth.

44

Which one of the following caused Lopez to violate the Code and Standards in her presentation of past performance information?

A.Exclusion of terminated accounts.
B.Using an average return for the model portfolio’s performance.
C.Using discretionary accounts of similar size to the Kochanski’s account.

2025年CFA特许金融分析师《CFA二级》模拟试卷二

一、综合分析题

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