试卷：2019年CFA二级M1模考卷 上午卷（含解析）

2019IISampleAM（M1）Themorningthe2019IIFinancial®Sample60theexperience,18per(vignette6multiplechoicea(3thistheQuestions1–615and13–18–43–48EconomicsEquity15151560EquityaccessingthisSamplethetermsuse:ThisisviewtheThestrictlydisciplinaryand/oraction:orpermittingbythancopying,postingemailing,distributingreprintingthepurpose.®2019Allrights12019IISampleAMEthicsTheGoldenFinancialCorporationCaseGoldenFinancialisafirm,aonbondsandAliceWang,aJune5th,Alicedinnerwithonefriends,FitchGlobalRatinghedidntknowinglyapopularwouldbewhichwouldpeoplesAliceinoneherportfoliosapositionheldthisbondbutshedidnttheannouncement,whichtheJune8th.themorningJune8th,Alicethepricethisbondsoshemindsoldoutallthepositionsloss.AllthetheironthepoliciesJune9th,Alicedidtheonethinlybondthistime.Duethepoorliquiditythebond,theusualtransactionsthepricebond.Acolleagueinthisthelargethebond.SheAlicethespolicyonmanipulation,GoldenFinancialmakingtransactionsthatsecuritypricesorwiththeparticipants.”anequitythespendspertheainspecialtheorbyChen,aflatand2onthebutneverdisclosestheisindependentobjectiveinthesincehenotgivebuysuggestionsthewhichhethinksnotbuying.hisbuytheherecommends.Chenssummariesbelogics.HesucceedsinthepermissionChenusehissummarieswithoutattribution.theChensdirectlyinhisownwithattributions.Chenisdealingtheattributionsonefindsanopinion,whichisbyanarticlebyatendsusethisopinionreportthethearticleJonesLiu,aPhDaIIIisansummerworkingFinancialafull-timethecomingsincehethisHefamilyfriendsopenGoldenFinancialinmanagingthenothimthefull-timesincetherecruitingplanwillbeJonesquitelookopportunities.Duringinterviewinanotherfirm,JoneshightoldthesolicithisclientsGoldentheirthenewSinceonlyanhethinkheownsparticularGolden.3AlicetheTheannualfund-raisingAliceherannualdonationscharityTheregularallclients,sheincludesasectiondiscussingthefundraisingpositionthe1.DoesAlicetheInstituteConductonthebondtheA.sincesheonnonpublicsinceshetheprioritytransactionsshetheand2.AreAlicesthebondGoldenspolicyonmanipulation,withGoldenspolicymanipulationiswithandAlicesrebalancethebondiswith3.Doesdisseminatinghisequityreports?A.No.sincenotdisclosethesincetheonhe4.Inpreparingreports,Alicethe4withuseChenssummariesopinioninChenspostings?AAlicetheactionsBAlicetheheruseChenssummariesCAlicetheherstudiesinChenspostings5.solicitingthetheirheGolden,wouldthisactionaA.sincehenotsolicitstheGolden.becausehedutyGolden.6.DoesAlicewiththeConductshesendsallclients?A.AlicedidnottheCodeAlicethebysolicitingdonationsherclientstheAlicethebynotthesoliciting5TheAisaflourishingtourismcurrencyisXYZ.TheisalsoabundantinoilTheisconcerningoilwillharmthecountrystourism.beenadvicethisissue.that,“Iftheoilourcountrymoreoilthanandoureconomicbetheoilhurttheotherandthustheircompetitiveness.”WhendoingonthecurrencyfindsoutcurrencybeingsometheinExhibit1findstheopportunitiestriangularInafundsExhibit1:andDealerCurrencyandCurrencyBidLIBORInterbankEUR/USDXYZ/USD0.81150.82651.18200.82EUR0.5%1.14051.196USD1.2%、3.6%Dealer:XYZ/EUR1.4938thecurrencyisaboutthebetweenparityandthatsometheparityconditionsnocouldbeby6TheCountryAaflexiblewithhighBecausethethegovernmentisdepreciatingthethecombinationsfiscalpoliciesandalsoaimstheeconomichisownsuggestionsMundell-Flemingmodel.that,“Thefiscalpolicytheeconomicthetime.AlthoughthefiscalpolicyeconomicalsotheInaddition,inthelongthewillbeardebttheThus,thefiscalpolicyorthelongtheisdepreciate.”13.theistheexplanationsthattheonoilwilltheotherA.ThecurrencyDiminishingmarginal14.ontheinExhibit1,apossibletriangularopportunitybetweentheIfamanageronefunds,whichthewillA.BuyEURinthesellEURtheBuyEURthedealerEURthetriangularopportunity715.theinExhibit1theinterbankawhoanormalaEUR10,000positionwillainEURclosestA.+198-198-24816.notabnormalbydoingtradewhen:A.parityholds.parityholds.parityholds.WhichthecombinationfiscalpolicyinthecurrencyMundell-Flemingmodel?A.ExpansionaryfiscalpolicyandmonetaryExpansionaryfiscalpolicyandfiscalpolicyandthemodelsthefiscalpolicy?A.Mundell-Flemingmodel.Puremodel.TheBalanceApproach.8Theisamanagementintheanditanhistoricalperformance.theThomasMarvelAndyajunioranalyst,iscollectfinancialanddosomeincludingequityrisktheWizardCo.andMagicCo..Exhibit1thebywhichbeequityriskpremium.Exhibit1:2%inearningsperinin3%2%2.5%1.5%2.2%AndyusetheWizardCo..alsousemodeltheMagicCo..TheExhibit2:WizardCo.CAPMMagicCo.model2.20%2.20%91.601.805%risk5%premium---0.342.80%premium---0.671.24%premiumLiquidity--0.54LiquiditypremiumSabrinaChen,aseniorwhoisisassignedtheintrinsictheSigmaGo.ShereadstheannualreportreportsthisdownsomeSigmaGoadividend-payingTheoutputbyenlarginganhigh-speedthe20%islinearlythe8untila4%9%.Nooracquisitioninthenearsincethethisisquitewiththeperformance.SabrinaisonaisaSigmaGo.thetrailingExhibit3:SigmaGo10DividendLong-term60%4%50%3.5%10%9%Larine,senioranalyst,istheupcomingseminarwithinthefirmTheseminaraimstheidea-sharingtheandenhancethe’abilitiesskills.downmemostheseminar:thetheCAPMissimplemodelislowwhilebuild-upmodelissuitablecloselyheld2:DividendmodelisamongItiswhodividendsinaisaItbedownwhichdividend37.AndytheequityriskthestockExhibit1theisA.7%6%5%11WizardCo.MagicCo.Exhibit2A.10.2%8.33%10.2%11.45%10.2%9.42%istheintrinsictheSigmaiftheH-modelisA.$50.4perper$69.6per40.Sabrinaisthreemodels.WhichtheisA.DividendspaidvolatilethanotherIfanotdividend,incomeisthedividend-payingthisAllbackbyonExhibit3,isexpensiveconsideringthetrailingA.SigmaGo.Samethebywhichtheismost？12A.NonethemisonethemisthemTheSmartWealthCaseSmartamanagementfirmJapan,long-termappreciationtheirusinganalysis.TheisholdingthediscussionThetopicislong-termaajuniortheThesaleisJPY13,600millionis4.5%thisThethethisis3%.OtherfinancialtheinExhibit1.Exhibit1:millionsNet16822996SellingGeneralexpenseOtherexpense21451255Inaddition,andsellingalinkwithwhiletheremainingaaround4%13thisThetopicistheapplicationsflowmodels.asfinancialreportingExhibit2:millionsflow88,3623,41525%CAPEX894NewdebtDebtEBIT1,3003,091（Assumingisdisposalassets.）Then,thethat,Ifreeflowmodels,bytakingathenotdividendall,themodelwithsomeabouttheintrinsic”Phal,anotherthat,Icantanecessarywhenmakingthe&portionlong-termshouldtheworking”Finch,aadditionalthat,deepinsightsthemodel.Inaddition,specialthis:ifaoutdividends,ornewtheshallwhileremainsthesame.”14ThepartthediscussionismadebytheWilliams.Olinathan10theiscrucialtheWhentrytheabitsinceisapopularprofitabilityabutshouldalsoCompanieshighisasigncompetitivewouldnotbythechangetheby(Exhibit1),thethethisisbe:A.46.38.44.Matthewisdoingontheofawithaposition.thesituationalbelowishim?A.premium.Lackdiscount.IlliquiditytheExhibit2,theisA.89,356.90,029.1546.Iftheis3%andis9%,andnumberismillion,istheintrinsicvaluethethisA.12.23.12.6.13.33.thePhalFinch,themA.onethem.them.Allthem.theisconsideringthebyOlin?A.1is2is162019IISampleAM（M1）Themorningthe2019IIFinancial®Sample60theexperience,18per(vignette6multiplechoicea(3thistheQuestions1–615and13–18–43–48EconomicsEquity15151560EquityaccessingthisSamplethetermsuse:ThisisviewtheThestrictlydisciplinaryand/oraction:orpermittingbythancopying,postingemailing,distributingreprintingthepurpose.®2019Allrights12019IISampleAMEthicsTheGoldenFinancialCorporationCaseGoldenFinancialisafirm,aonbondsandAliceWang,aJune5th,Alicedinnerwithonefriends,FitchGlobalRatinghedidntknowinglyapopularwouldbewhichwouldpeoplesAliceinoneherportfoliosapositionheldthisbondbutshedidnttheannouncement,whichtheJune8th.themorningJune8th,Alicethepricethisbondsoshemindsoldoutallthepositionsloss.AllthetheironthepoliciesJune9th,Alicedidtheonethinlybondthistime.Duethepoorliquiditythebond,theusualtransactionsthepricebond.Acolleagueinthisthelargethebond.SheAlicethespolicyonmanipulation,GoldenFinancialmakingtransactionsthatsecuritypricesorwiththeparticipants.”anequitythespendspertheainspecialtheorbyChen,aflatand2onthebutneverdisclosestheisindependentobjectiveinthesincehenotgivebuysuggestionsthewhichhethinksnotbuying.hisbuytheherecommends.Chenssummariesbelogics.HesucceedsinthepermissionChenusehissummarieswithoutattribution.theChensdirectlyinhisownwithattributions.Chenisdealingtheattributionsonefindsanopinion,whichisbyanarticlebyatendsusethisopinionreportthethearticleJonesLiu,aPhDaIIIisansummerworkingFinancialafull-timethecomingsincehethisHefamilyfriendsopenGoldenFinancialinmanagingthenothimthefull-timesincetherecruitingplanwillbeJonesquitelookopportunities.Duringinterviewinanotherfirm,JoneshightoldthesolicithisclientsGoldentheirthenewSinceonlyanhethinkheownsparticularGolden.3AlicetheTheannualfund-raisingAliceherannualdonationscharityTheregularallclients,sheincludesasectiondiscussingthefundraisingpositionthe1.DoesAlicetheInstituteConductonthebondtheA.sincesheonnonpublicsinceshetheprioritytransactionsshetheandAnswer:A正式的评级下调要到3月8日下午才会正式对外公布，Alice从朋友这里得知了这个内幕信息，但是不能在信息正式发布之前去交易获利或避免亏损。2.AreAlicesthebondGoldenspolicyonmanipulation,withGoldenspolicymanipulationiswithandAlicesrebalancethebondisAnswer:AAlice对于债券的交易主要是为了做组合的再调整而不是去故意影响和操作这只细则。43.Doesdisseminatinghisequityreports?A.No.sincenotdisclosethesincetheonheAnswer:BChen写研究报告可以收费，这一点并不违规CFA职业道德，但收费没有披露就违I(B)条款中明确要求收费研报需要对外披露任何潜在的利益冲突，包括如何收费，所以Chen违规I(B)独立客观性。4.Inpreparingreports,AlicethewithuseChenssummariesopinioninChenspostings?AAlicetheactionsBAlicetheheruseChenssummariesCAlicetheherinChenspostingsAnswer:B这题文中有2个场景，第一个场景是Alice使用Chen的债券研报中的总结和预测，但没有标明来源（withoutattributionI(C)MisrepresentationWang得到了Chen景是Wang看了Chen发表的其他网络文章，该文章里Chen有提到相关的学术研究，WangChenChen原创的，Wang题Wang只违规第一个场景。55.solicitingthetheirheGolden,wouldthisactionaA.sincehenotsolicitstheGolden.becausehedutyGolden.Answer:BIV(A)Loyalty，该条款要求禁止员工在还没离职之前招揽公司现任客户到其他公司，但Jones离职之后把原客户带到GoldenFinancialCorporation，所以他的行为并不违规该条款，所以答案选B。6.DoesAlicewiththeConductshesendsallclients?A.AlicedidnottheCodeAlicethebysolicitingdonationsherclientstheAlicethebynotthesolicitingAnswer:AAlice的行为并不违规，她只是在给客户的里提到有捐款这个活动并告知了她在反III(E)保密条款，所以A正确。6TheAisaflourishingtourismcurrencyisXYZ.TheisalsoabundantinoilTheisconcerningoilwillharmthecountrystourism.beenadvicethisissue.that,“Iftheoilourcountrymoreoilthanandoureconomicbetheoilhurttheotherandthustheircompetitiveness.”WhendoingonthecurrencyfindsoutcurrencybeingsometheinExhibit1findstheopportunitiestriangularInafundsExhibit1:andDealerCurrencyandCurrencyBidLIBORInterbankEUR/USDXYZ/USD0.81150.82651.18200.82EUR0.5%1.14051.196USD1.2%、3.6%Dealer:XYZ/EUR1.4938thecurrencyisaboutthebetweenparityandthatsometheparityconditionsnocouldbebyTheCountryAaflexiblewithhigh7BecausethethegovernmentisdepreciatingthethecombinationsfiscalpoliciesalsoaimstheeconomichisownsuggestionsMundell-Flemingmodel.that,“Thefiscalpolicytheeconomicthetime.AlthoughthefiscalpolicyeconomicalsotheInaddition,inthelongthewillbeardebttheThus,thefiscalpolicyorthelongtheisdepreciate.”13.theistheexplanationsthattheonoilwilltheotherA.ThecurrencyDiminishingmarginalAnswer:C14.ontheinExhibit1,apossibletriangularopportunitybetweentheIfamanageronefunds,whichthewillA.BuyEURinthesellEURtheBuyEURthedealerEURthetriangularopportunity8Answer:A这题考的是交叉汇率，在不同的dealer之间寻找套利机会。在interbank市场，XYZ/EUR=[1.1405/0.8265-1.182/0.8115]=[1.3799-1.4566]在localdealer报价XYZ/EUR=[1.4725-1.4938].那么就可以在interbank市场以1.4566XYZ买1EUR，再把卖给localdealer，换得1.4725XYZ,实现套利。15.theinExhibit1theinterbankawhoanormalaEUR10,000positionwillainEURA.+198-198-248Answer:C借EUR投资XYZ一年，之后换回EUR。carrytrade不是一定能赚取正收益的,因为有可能最高息国货币对应于最低息国未来贬值的幅度超过两国的息差。Carrytrade回报如下：期初，(10000EUR/0.8265)*1.1405=13799XYZ，投资一年，13799*1.036=14296XYZ，换回EUR（14296/1.196）*0.82=9802，再减去10000*1.0059802-10050=-24816.notabnormalbydoingtradewhen:A.parityholds.parityholds.9parityholds.Answer:B资高息的国家，过段时间后结算汇率换回低息国货币实现赚取息差的交易。当uncoveredIRP存在时，套息交易就不能实现获利。因为uncoveredIRP一旦存一国投资的回报是相等的。WhichthecombinationfiscalpolicyinthecurrencyMundell-Flemingmodel?A.ExpansionaryfiscalpolicyandmonetaryExpansionaryfiscalpolicyandfiscalpolicyandAnswer:C根据蒙代尔-弗莱明模型，在资金可自由流动及浮动汇率政策下，宽松的货币政利率下跌，资金流出，本币贬值。所以选C。themodelsthefiscalpolicy?A.Mundell-Flemingmodel.Puremodel.TheBalanceApproach.Answer:C府债务过多，政府必须收紧财政政策或者通过印发货币，那么会导致经济放缓，本币贬值。这观点是关于投资组合平衡方法，选C。10Theisamanagementintheanditanhistoricalperformance.theThomasMarvelAndyajunioranalyst,iscollectfinancialanddosomeincludingequityrisktheWizardCo.andMagicCo..Exhibit1thebywhichbeequityriskpremium.Exhibit1:2%inearningsperinin3%2%2.5%1.5%2.2%AndyusetheWizardCo..alsousemodeltheMagicCo..TheExhibit2:WizardCo.CAPMMagicCo.model2.20%2.20%111.601.805%risk5%premium---0.342.80%premium---0.671.24%premiumLiquidity--0.54LiquiditypremiumSabrinaChen,aseniorwhoisisassignedtheintrinsictheSigmaGo.ShereadstheannualreportthisdownsomeSigmaGoadividend-payingTheoutputbyenlarginganhigh-speedthe20%islinearlythe8untila4%9%.Nooracquisitioninthenearsincethethisisquitewiththeperformance.SabrinaisonaisaSigmaGo.thetrailingExhibit3:SigmaGo12DividendLong-term60%4%50%3.5%10%9%Larine,senioristheupcomingseminarwithinthefirmTheseminaraimstheidea-sharingtheandenhancethe’abilitiesskills.downmemostheseminar:thetheCAPMissimplemodelislowwhilebuild-upmodeliscloselyheld2:DividendmodelisamongItiswhodividendsinaisaItbedownwhichdividend37.AndytheequityriskthestockExhibit1theisA.7%6%5%Answer:AERP={[(1+EINFL)(1+EGREPS)(1+EGPE)-1]+EINC}-expected13=(1+2%)*(1+3%)*(1+2.5%)-1+1.5%-2.2%=6.99%.WizardCo.MagicCo.Exhibit2A.10.2%8.33%10.2%11.45%10.2%9.42%Answer:C使用CAPM计算可得r=2.2%+1.6*5%=10.2%。使用Fama-French三因子模型计算可得r=2.2%+1.8*5%-0.34*2.8%-0.67*1.24%=9.42%.istheintrinsictheSigmaiftheH-modelisA.$50.4perper$69.6perAnswer:A使用H模型，V=1.5*(1+4%)/(9%-4%)+1.5*(8/2)*(20%-4%)/(9%-4%)=50.4.40.Sabrinaisthreemodels.WhichtheisA.DividendspaidvolatilethanotherIfanotdividend,incomeisthedividend-payingthisAllbackby14Answer:A如果一个公司不发放任何分红，自由现金流可以用来衡量该公司发放分红的能力，因此B选项错误；使用自由现金流公式进行估值时，未来的FCFE使用权益要求回报率来折现，不是WACC。如果是FCFF，则用WACC进行折现。onExhibit3,isconsideringthetrailingA.SigmaGo.SameAnswer:ASigmaGo的滞后市盈率=0.6*(1+4%)/(9%-4%)=12.48;。Greentree的滞后市盈率=0.5*(1+3.5%)/(10%-3.5%)=7.96。所以SigmaGo从市盈率的角度看更贵。thebywhichtheismost？A.NonethemisonethemisthemAnswer:ADDM润率，资产周转率，杠杆率及留存收益率。TheSmartWealthCase15SmartamanagementfirmJapan,long-termappreciationtheirusinganalysis.TheisholdingthediscussionThetopicislong-termaajuniortheThesaleisJPY13,600millionis4.5%thisThethethisis3%.OtherfinancialtheinExhibit1.Exhibit1