CFA二级押题密卷M1直播讲义

1906高顿CFA押题密卷一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

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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

在任何情况下，基金经理投资产品要符合FS的投资范围，要符

合IPS的规定，Emma投资大宗商品并不符合IPS要求，所以她违

反了准则111(C)Suitability。

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2.DoesABC'scornpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttoperformance

presentation?

ANo,becauseterminatedaccountsareexcluded

BNo,becauseperformanceisreportedtoallclientsgrossoffees

CNo,becauseperformancedataarepresentedonabefore-taxbasis

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UI(D)PerformancePresentation这条细则要求无论是终止账户还

是正常账户都需要保留在业绩展示中，ABC公司只展示了active

账户业绩，所以违规了，所以A答案正确。在皿①)条款中推荐遵

守GIPS要求，但不是强制要求，所以无论披露grossof能es还是

netoffee以及before-tax或者after-tax并不违规in(D)条款0

Ethic上午卷

3.DoesABC'scanpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttodisclosuresofconflicts

ANo,becausenotonlybusinessinterestsbutalsopersonalbelief

BNo,becausenotjustthoserelatetocurrentportfolioholdingsbut

alsorelatetoallactualandpotentialconflictsofinterests

CYes

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VI(A)DisclosureofConflicts这条细则要求披露所有对客户或者雇

主产生或可能产生的利益冲突，policy相关要求披露的利益冲突

范围太狭窄，不符合CFA制定的准则。

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4.DoesABC'scompliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespectto:

ViolationsCompensation

Ethic上午卷

IV(C)这条细则要求作为管理层，当员工违规时需要立刻启动调

查，并限制该员工权限直到该调查结束，管理层需要做到此类

违规不能再次重复上演，不能仅仅只是给员工一个警告，所以

公司相关政策里面的陈述不符合CFA细则。额外报酬的陈述也不

符合，IV⑹条款要求员工在获得可能对雇主利益产生冲突的额

外报酬时，需要提前向雇主得到书面同意，不仅仅是文中提到

的discusswiththeirsupervisoro所以正确答案是A。

Ethic上午卷

5.DoesABC'scornpliancepolicystatementconformwiththeCFA

InstituteCodeandStandardswithrespecttorecord^etention?

ANo,becausetheCFAInstituterequiresmaintainingrecordsin

BNo,becausetheCFAInstituterequiresmaintainingrecordsatleast

Ethic上午卷

根据V(C)RecordRetention条款，企业可以选择保存electronic

form或者harcbcopy,无论那种形式的存档都是符合该细则的。

当地如果没有监管要求，该细则推荐文档保存7年，如果有监管

要求就按监管要求执行，文中提到根据当地监管要求保存5年，

所以并不违规V(C)。

Ethic上午卷

Ethic上午卷

VI(B)PriorityofTransactions条款要求CFA会员或者考生不能抢在

客户之前做交易，该细则对于员工具体的限制买卖期并没有具

体要求，只要不在客户之前做交易就符合该条款，所以ABC公司

关于PersonalSecuritiesTradingPolicy1的描述是正确的。

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

‘仇产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（内-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

Eco上午卷

Growthinlabor

productixdty

BubsconsultshiscolleagueLarrySmithtoreviewthepolicychoicesfacingthegovernment

andthepossibleeffectsoneconomicgrowthandpercapitaincome.

Smiths^tes:Albdspoliticiansaredebatingtheeffectsofgrowthratepoliciesfocusedon

threeoutcomes:

Eco上午卷

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

Eco上午卷

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

Eco上午卷

根据科布道格拉斯生产函数可得：AW=AVA+CMK/K+(1-

a)ALy£

△VA二percentagegrowthfir)mtotalfactorproductivity(1FP)

AK/K=percentagegrowthincapital

Al/L=percentagegrowthinlabor

a=shareofincomepaidtocapitalfactor

高顿财经CFA：finance,gaodun.cn高顿网校: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

Eco上午卷

Smith提到的观点是不存在边际回报递减，这是典型的

Endogenous观点，因为如果把资本扩展到人力资本、研发等方

面就不存在边际回报递减了。B说的古典主义，这是人口爆炸学

说，和本题的观点无关。C说的是新古典，认为存在边际回报递

减。故此本题选A

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15.Whichofthestatementsregardingpolicyalternativesdiscussed

betweenBubsandSmithinresponsetoAlbdsrecentincreasein

inflationandappreciationinexchangerateisleastaccurate?

A.SmithsstatementregardingRudigerDornbusch

B.BubdsstatementregardingMundell-Flemingmodel

C.Bothstatements

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关于蒙代尔弗莱明模型的说法错误，因为在资本可以自由流动

的情况下，宽松的货币政策使得本币贬值，而宽松的财政政策

使得本币升值，故此双宽松政策情况下本币是贬值还是升值是

不确定的。而关于多恩布什超调模型的说法是正确的。

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16.Inreviewingthethreestatementstoaddresstheimportanceof

GDPgrowthtoinvestorsandtheconceptofconvergence,whichcf

Bubdscolleaguesstatementsismostinaccurate?

A.Statement2

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A说的是条件趋同，当populationgrowthratesavingrateand

productionfunction相同的时候即可趋同，这是正确的。

B说的是俱乐部趋同，当发展中国家makeappropriate

institutionalchanges就可以和发达国家趋同，这也是正确的。

C的说法是错误的，错误点在于对于固定收益市场来说，

potentialGDP的高增长将会使得higherrealinterestratesand

higherexpected