2011年6月CFA 2级真题

CFA考试《CFA二级》历年真题精选及答案1122-401、Based on Exhibit 1, the maximum loss of Strategy 1 is:【单选题】A.￥210.44.B.￥225.76.C.￥232.34.正确答案:A答案解析:A is correct. Strategy 1 is a covered call position using SMTC July 240 calls. A covered call position is a combination of a long position in the shares and a short call option. For this covered call position on SMTC, YCM would have a long position in SMTC shares and a short position in the July 240 call option on SMTC shares. The maximum loss for this covered call position would occur if the SMTC share price fell to zero. The loss on the shares would be reduced by the amount of the premium received from selling the call option. Therefore, the maximum loss of Strategy 1 is the difference between the original share price (S0) and the option premium (c2、Should Costa’s end-of-meeting comments result in changesto Hernández’s capital budgeting analysis?【单选题】A.No.B.Yes, but only to incorporate the possible delay.C.Yes, to incorporate both the possible delay and the cost of producing the prototype.正确答案:B答案解析:B is correct. Timing options (e.g., delay investing) should be included in the NPV analysis, but sunk costs should not.3、Are the two observations Berg records after the fixed income conference accurate?【单选题】A.Both statements are accurate.?B.Only Statement 1 is accurate.C.Only Statement 2 is accurate.正确答案:A答案解析:Statement 1 is correct. Swap markets tend to have more maturities with which to construct a yield curve as compared to government bond markets. Statement 2 is correct. Retail banks tend to have little exposure to swaps and hence are more likely to use the government spot curve as their benchmark.4、【单选题】。

CFA考试《CFA二级》历年真题精选及详细解析1107-741、Which of the notes made by Bourne regarding the valuation methods is least accurate? The note about the:【单选题】A.Market-based method.parable transactions method.C.Discounted cash flow method.正确答案:B答案解析:The comparable transactions method uses details from recent takeover transactions for comparable companies to make direct estimates of the target company\\\'s takeover value. However it is not necessary to separately estimate a takeover premium as this is already included in the multiples determined from the comparable transactions.2、Based on the relationship of Borgonovo’s stock to the SML, what is the most appropriate decision Benedetti should make regarding the Borgonovo stock?【单选题】A.Keep Borgonovo on the recommended list because it plots below the SML.B.Keep Borgonovo on the recommended list because it plotsabove the SML.C.Remove Borgonovo from the recommended list because it plots below the SML.正确答案:C答案解析:C is correct. The SML required return for Borgonovo is 2.5% + 1.2(7%) = 10.9%. With a forecasted return of 9.0%, Borgonovo lies below the SML (indicating it is overvalued) and should be removed from the bank’s recommended list.3、Based on the regression output in Exhibit 1, there is evidence of positive serial correlation in the errors in:【单选题】A.the linear trend model but not the log-linear trend model.B.both the linear trend model and the log-linear trend model.C.neither the linear trend model nor the log-linear trend model.正确答案:B答案解析:B is correct. The Durbin–Watson statistic for the linear trend model is 0.10 and, for the log-linear trend model, 0.08. Both of these values are below the critical value of 1.75. Therefore, we can reject the hypothesis of no positive serial correlation in the regression errors in both the linear trend model and the log-linear trend model.4、In accounting for the use of derivatives against the three risks that Minor has discovered, the entire gains or losses from the。

CFA考试《CFA二级》历年真题精选及答案1122-471、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.DSRB.LEVIC.SGAI正确答案:A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 companies are allowed to determine when to incorporate new。

CFA考试《CFA二级》历年真题精选及详细解析1007-41、If the US dollar were chosen as the functional currency for Acceletron in 2007, Redline could reduce its balance sheet exposure to exchange rates by:【单选题】A.selling SGD30 million of fixed assets for cash.B.issuing SGD30 million of long-term debt to buy fixed assets.C.issuing SGD30 million in short-term debt to purchase marketable securities.正确答案:A答案解析:A is correct. If the US dollar is the functional currency, the temporal method must be used, and the balance sheet exposure will be the net monetary assets of 125 + 230 – 185 – 200 = –30, or a net monetary liability of SGD30 million. This net monetary liability would be eliminated if fixed assets (non-monetary) were sold to increase cash. Issuing debt, either short-term or long-term, would increase the net monetary liability.2、In relation to Kostecka’s handling of the Jabbertalk stockrecommendation, which of the following CFA Institute Standards of Professional Conduct did he least likely violate?【单选题】A.Priority of TransactionsB.Fair Dealingmunication with Clients正确答案:B答案解析:B is correct. Standard III(B)–Fair Dealing requires members and candidates to deal fairly and objectively with all clients when providing investment analysis, making investment recommendations, taking investment action, or engaging in other professional activities. When Kostecka informs clients of the upcoming investment recommendation by Forkson, he has treated all clients fairly because this disclosure is provided to all of his current clients.A is incorrect because Kostecka has violated Standard VI(B)–Priority of Transactions. There is a potential conflict of interest because the client and the adviser hold the same stock, so the client should be given first priority to trade Jabbertalk.C is incorrect because according to Standard V(B)–Communication with Clients and Prospective Clients, Kostecka should have distinguished fact from opinion. In addition, Kostecka should also disclose to clients andprospective clients the basic format and general principles of the investment processes used to analyze investments, select securities, and construct portfolios and must promptly disclose any changes that might materially affect those processes and use reasonable judgment in identifying which factors are important to his investment analyses, recommendations, or actions and include those factors in communications with clients and prospective clients.3、Zhang\'s statement to support using the harmonic mean is best described as:【单选题】A.incorrect with respect to large outliers.B.incorrect with respect to small outliners.C.correct.正确答案:B答案解析:B is correct. Zhang’s statement is incorrect with respect to small outliers. The harmonic mean tends to mitigate the impact of large outliers. It may aggravate the impact of small outliers, but such outliers are bounded by zero on the downside.A is incorrect. The harmonic mean may aggravate the impact of small outliers, but such outliers are bounded by zero on the downside.C is incorrect. The harmonic mean may aggravate the impact of small outliers, but such outliers arebounded by zero on the downside.4、Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 2015 is most likely to be:【单选题】A.4、Is Dua most likely correct with regard to the factors that drive demand for different commercial real estate property types?【单选题】A.No, he is incorrect about retail space.B.Yes.C.No, he is incorrect about industrial and warehouse space.正确答案:A答案解析:A is correct. Dua is correct about factors that drive demand for office space and industrial and warehouse space but incorrect about retail space. Employment growth drives demand for office space, while warehouse space demand depends broadly on economic strength. The level of import and export activity is more directly related to demand for industrial and warehouse space, not retail space. Demand for retail space depends on consumer spending, job growth, and economic strength.B is incorrect. Dua is correct about factors that drive demand for office space and industrial and warehouse spacebut incorrect about retail space.C is incorrect. Dua is correct about factors that drive demand for and industrial and warehouse space.5、Bickchip’s cash-flow-based accruals ratio in 2009 is closest to:【单选题】A.9.9%.B.13.4%.C.23.3%.正确答案:A答案解析:A is correct. The cash-flow-based accruals ratio = [ni – (cfo + cfi)]/(Average NOA) =<span style="font-style: " microsoft="" yahei",="" 微软雅黑;"="">[4,038 – (9,822 – 10,068)]/43,192 = 9.9%.6、The fraction of SGC\'s market price that is attributable to the value of growth is closest to:【单选题】A.21%.B.34%.C.50%.正确答案:B答案解析:Using the Pastor-Stambaugh model to calculate SGC\'s cost of equity:0.04 + (1.20 × 0.05) + (0.50 × 0.02) + (–0.20 × 0.04) + (0.20 × 0.045) =11.10%<imgsrc="https:///bkwimg/up/201911/1118 8395e98f83e5435892d6bc291037a70f.png" alt="" width="222" height="45" title="" align="">$28.45 = $18.74 + PVGOPVGO = $9.71PVGO/Price = $9.71/$28.45 = 34.13%7、Based on Exhibit 2, the implied credit and liquidity risks as indicated by the historical three-year swap spreads for Country B were the lowest:【单选题】A.1 month ago.B.6 months ago.C.12 months ago.正确答案:B答案解析:B is correct. The historical three-year swap spread for Country B was the lowest six months ago. Swap spread is defined as the spread paid by the fixed-rate payer of an interest rate swap over the rate of the “on the run” (most recently issued) government bond security with the same maturity as the swap. The lower (higher) the swap spread, the lower (higher) the return that investors require for credit and/or liquidity risks.The fixed rate of the three-year fixed-for-floating Libor swap was 0.01% six months ago, and the three-year government bond yield was –0.08% six months ago. Thus theswap spread six months ago was 0.01% – (–0.08%) = 0.09%.One month ago, the fixed rate of the three-year fixed-for-floating Libor swap was 0.16%, and the three-year government bond yield was –0.10%. Thus the swap spread one month ago was 0.16% – (–0.10%) = 0.26%.Twelve months ago, the fixed rate of the three-year fixed-for-floating Libor swap was 0.71%, and the three-year government bond yield was –0.07%. Thus, the swap spread 12 months ago was 0.71% – (–0.07%) = 0.78%.8、Using the data in Exhibit 2, the portfolio’s annual 1% parametric VaR is closest to:【单选题】A.CAD 17 million.B.CAD 31 million.C.CAD 48 million.正确答案:B答案解析:B is correct. The VaR is derived as follows:VaR = [(e(rp) – 2.33σp)(–1)](Portfolio value)whereE(Rp) = Annualized daily return = (0.00026 × 250) = 0.065250 = Number of trading days annually2.33 = Number of standard deviations to attain 1% VaR<imgsrc="https:///bkwimg/up/201910/1025 1224ff09b79546919adff44ced35b5d9.png" alt="" width="613" height="50" title="" align="">Portfolio value = CAD260,000,000VaR = –(0.065 – 0.184571) × CAD 260,000,000= CAD31,088,4609、Confabulated’s reported interest income would be lower if the cost was the same but the par value (in € thousands) of:【单选题】A.Bugle was €28,000.B.Cathay was €37,000.C.Dumas was €55,000.正确答案:B答案解析:B is correct. The difference between historical cost and par value must be amortized under the effective interest method. If the par value is less than the initial cost (stated interest rate is greater than the effective rate), the interest income would be lower than the interest received because of amortization of the premium.10、Is his response to Scahill’s question regarding the impact of changes in interest rate volatility on the OAS of callable and putable bonds, Morgan is most likely:【单选题】A.incorrect about callable and putable bonds.B.correct about callable bonds and incorrect about putable bonds.C.correct about putable bonds and incorrect about callablebonds.正确答案:A答案解析:A is correct. Morgan’s response to Scahill is incorrect. As interest rate volatility declines, the embedded call option becomes cheaper; thus, the higher the arbitrage-free value (or model value) of the callable bond.Callable bond value = Value of straight bond – Value of call optionA higher value for the callable bond means that a higher spread needs to be added to one-period forward rates to make the arbitrage-free bond value equal to the market price (i.e., the OAS is higher). For putable bonds as interest rate volatility declines, the value of the put option declines as does the arbitrage-free value of the putable bond.Putable bond value = Value of straight bond + Value of put optionThis implies that a lower spread needs to be added to one-period forward rates to make the arbitrage free bond value equal to the market price. Thus, in this instance, the OAS is lower.B is incorrect. Morgan is correct about the impact on OAS for callable bonds.C is incorrect. Morgan is correct about the impact on OAS for putable bonds.。

CFA考试《CFA二级》历年真题精选及详细解析1007-41、In replying to Hextall’s recollection of the financial crisis, Klink most likely considered which risk measure?【单选题】A.VaRB.Scenario analysisC.Sensitivity analysis正确答案:B答案解析:B is correct. Scenario analysis is used for estimating how a portfolio might perform under conditions of market stress. Scenario risk measures estimate the portfolio returns that would result from a hypothetical change in markets. Stress tests and reverse stress tests are closely related to scenario risk measures. In addressing the possibility of direct exposure to extreme, negative events, Klink is describing a reverse stress test in which specific exposures of the portfolio (10 in this example) are identified. A hypothetical stress test (“reverse stress test”) is designed to measure its effect on each of these exposures.A is incorrect. VaR is used to measure the probabilityof a large loss. One limitation of VaR is its failure to take into account illiquidity.C is incorrect. Sensitivity analysis is used to estimate how gains and losses in the portfolio change with changes in the underlying risk factors. For a short-term investment portfolio consisting entirely of short-duration, high-credit-quality fixed-income securities, there is likely little or no exposure to market sensitivity risk measures, such as beta, duration, convexity, delta, and gamma.2、Stephenson’s return objective and risk tolerance are most appropriately described as:【单选题】A.Return Objective: Below average; Risk Tolerance: Above average.B.Return Objective: Above average; Risk Tolerance: Below average.C.Return Objective: Above average; Risk Tolerance: Above average.正确答案:C答案解析:C is correct.Risk: Stephenson has an above-average risk tolerance based on both his ability and willingness to assume risk. His large asset base, long time horizon, ample income to cover expenses, and lack of need for liquidity or cash flow indicate an above-average ability to assume risk. Hisconcentration in US small-capitalization stocks and his desire for high returns indicate substantial willingness to assume risk.Return: Stephenson’s financial circumstances (long time horizon, sizable asset base, ample income, and low liquidity needs) and his risk tolerance warrant an above-average total return objective. His expressed desire for a continued return of 20 percent, however, is unrealistic. Coppa should counsel Stephenson on what level of returns to reasonably expect from the financial markets over long periods of time and to define an achievable return objective.3、Stephenson’s time horizon is best characterized as:【单选题】A.short-term and single-stage.B.long-term and single-stage.C.long-term and multistage.正确答案:C答案解析:C is correct. Stephenson’s time horizon is long—he is currently only 55 years old. The time horizon consists of two stages: the first stage extends to his retirement in 15 years; the second stage may last for 20 years or more and extends from retirement until his death.4、Is Quek’s response to Yusuf most likely correct?【单选题】A.Yes.B.No, she is incorrect regarding the number of factors.C.No, she is incorrect regarding the identity of the factors.正确答案:B答案解析:B is correct. Quek is incorrect in stating that APT specifies the number of factors in a multifactor model but is correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.A is incorrect. Quek is incorrect in stating that APT specifies the number of factors in a multifactor model but correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.C is incorrect. Quek is correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.5、Is Hextall’s statement regarding the private wealth division likely correct?【单选题】A.Yes.B.No, it is incorrect about forward-looking beta.C.No, it is incorrect about ex ante tracking error.正确答案:A答案解析:A is correct. Hextall’s statement is correct. Riskmeasures for banks are typically focused on liquidity, solvency, and capital sufficiency, whereas risk measures for traditional asset managers are typically focused on investment performance. Ex ante tracking error correctly compares the current portfolio with its benchmark in attempting to measure future potential performance. Forward-looking beta is a current risk measure of a current portfolio and measures an equity portfolio’s sensitivity to the broad equity market.B is incorrect. Hextall’s statement about forward-looking beta is correct.C is incorrect. Hextall’s statement about ex ante tracking error is correct.。

1、有一张债券的票面价值为100元，票面利率10%，期限5年，到期一次还本付息，如果目前市场上的必要收益率是8%，试分别按单利和复利计算这张债券的价格( )。

A.单利：102、行业成熟先表现为产业组织上的成熟，即行业内企业普遍采用的是适用的且至少有一定先进性、稳定性的技术。

( )3、我国的证券分析师行业自律组织——中国证券业协会证券分析师专业委员会的简称为( )。

A.SAACB.ASAFC.ASACD.ACIIA4、完全垄断市场结构的特点是( )。

A.市场被独家企业所控制，其他企业不可以或不可能进入该行业B.产品没有或缺少相近的替代品C.垄断者能够根据市场的供需情况制定理想的价格和产量，在高价少销和低价多销之间进行选择，以获取最大的利润D.垄断者在制定产品的价格与生产数量方面的自由性是有限度的，要受到反垄断法和政府管制的约束5、当风险从σ2A增加到σ2B时，期望收益率将得到补偿[E(rA)-E(rB)]，若投资者认为，增加的期望收益率恰好能够补偿增加的风险，所以A与B两种证券组合的满意程度相同，证券组合A与证券组合B无差异。

则该投资者是( )。

A.保守投资者B.进取投资者C.中庸投资者D.难以判断6、我国个人收入分配实行以按劳分配为主体、多种分配方式并存的收人分配方式。

( )7、5% C.8、46元D.单利：19、中国证监会于2001年4月4日公布的《上市公司行业分类指引》，当公司没有一类业务的营业收入比重大于或等于50%时，如果某类业务营业收入比重比其他业务收入比重均高出30%，则将该公司划入此类业务相对应的行业类别;否则，将其划为综合类。

( )10、关于β系数，下列说法中，错误的是( )。

A.反映证券或组合的收益水平对市场平均收益水平变化的敏感性B.β系数的绝对数值越大，表明证券承担的系统风险越大C.β系数是衡量证券承担系统风险水平的指数D.β系数是对放弃即期消费的补偿11、套利定价模型为：Eri=λ0+bi1λ，下列说法中，错误的是( )。

CFA二级练习题精选及答案0601-51、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel's first comment is correct. EBITDA has the non-cash charges ofdepreciation and amortization added back, so Covey's statement is incorrect, not all non-cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel's second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honorédescribes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honorédescribes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value iscomputed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is3.26% – 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.4、Based on Exhibit 1, which independent variables in Varden’s model are significant at the 0.05 level?【单选题】A.ESG onlyB.10.957%.C.Tenure onlyD.Neither ESG nor tenure正确答案:C答案解析:B is correct. The t-statistic for tenure is 2.308, which is significant at the 0.027 level. The t-statistic for ESG is 1.201, with a p-value of 0.238. This result is not significant at the 0.05 level.5、Based on Exhibit 1 and Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?【单选题】A.Country AB.Country BC.Country C正确答案:A答案解析:A is correct. Country A’s yield curve is upward sloping—a condition for the strategy—and more so than Country B’s.6、To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:【单选题】A.adjust the volatility assumption.B.increase the number of simulations.C.add a constant to all interest rates on all paths.正确答案:C答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market prices only by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.A is incorrect because adjusting the volatility assumption will generate another random value not equal to the benchmark bond value. The benchmark bond is option-free, so its value should not be affected by interest rate volatility.B is incorrect because increasing the model beyond 2000 paths will not lead to a different average value for the benchmark bond.7、Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:【单选题】A.one-year loan beginning in two years.B.two-year loan beginning in two years.C.three-year loan beginning in two years.正确答案:C答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows: The equation above indicates that in order to calculate the rate for a three-year loan beginning at the end of two years you need the five year spot rate r(5) and the two-year spot rate r(2). However r(5) is not provided.8、Cannan has been working from home on weekends and occasionally saves correspondence with clients and completed work on her home computer. Because of worsening market conditions, Cannan is one of several employees released by her firm. While Cannan is looking for a new job, she uses the filesshe saved at home to request letters of recommendation from former clients. She also provides to prospective clients some of the reports as examples of her abilities.【单选题】A.Cannan violated the Code and Standards because she did not receive permission from her former employer to keep or use the files after her employment ended.B.Cannan did not violate the Code and Standards because the files were created and saved on her own time and computer.C.Cannan violated the Code and Standards because she is prohibited from saving files on her home computer.正确答案:A答案解析:Answer A is correct. According to Standard V(C)–Record Retention, Cannan needed the permission of her employer to maintain the files at home after her employment ended. Without that permission, she should have deleted thefiles. All files created as part of a member’s or candidate’s professional activity are the property of the firm, even those created outside normal work hours. Thus, answer B is incorrect. Answer C is incorrect because the Code and Standards do not prohibit using one’s personal computer to complete work for one’s employer.9、Based on the data in Exhibit 1, current real short-term interest rates would most likely be highest in:【单选题】A.Country #1.B.Country #2.C.Country #3.正确答案:B答案解析:B is correct. Real short-term interest rates arepositively related to both real GDP growth and the volatility of real GDP growth. Country #1 and Country #2 have the highest real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5% – 4.0% = 2.5% and 5.0% – 2.5% = 2.5%, respectively), while Country #3 has the lowest real GDP growth (3.5% – 2.0% = 1.5%). Looking at the volatility of real GDP growth, Country #2 has high real GDP growth volatility, whereas Country #1 and Country #3 have low real GDP growth volatility. Therefore, Country #2 would most likely have the highest real short-term interest rates.10、Which approach would an appraiser most likely use for valuing Property #2?【单选题】A.Cost approach.B.Income approach.C.Sales comparison approach.正确答案:B答案解析:Property #2 is an older office building with unique characteristics that could not be easily reproduced using current architectural designs and materials. Therefore, the cost approach would be less appropriate than the income approach as a basis for appraisal. The sales comparison approach would also be less suitable as the property is relatively unique.。

CFA二级练习题精选及答案0601-51、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel's first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey's statement is incorrect, not all non-cash charges will need to beadded back. Net borrowing is added back for FCFE not FCFF, so Paschel's second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honorédescribes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other twopotential consequences Honorédescribes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in thesolution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is3.26% – 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.4、Based on Exhibit 1, which independent variables in Varden’s model are significant at the 0.05 level?【单选题】A.ESG onlyB.10.957%.C.Tenure onlyD.Neither ESG nor tenure正确答案:C答案解析:B is correct. The t-statistic for tenure is 2.308, which is significant at the 0.027 level. The t-statistic for ESG is 1.201, with a p-value of 0.238. This result is not significant at the 0.05 level.5、Based on Exhibit 1 and Tyo’s expectations, which country’s term structure is currently best for traders seeking to ride the yield curve?【单选题】A.Country AB.Country BC.Country C正确答案:A答案解析:A is correct. Country A’s yield curve is upward sloping—a condition for the strategy—and more so than Country B’s.6、To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:【单选题】A.adjust the volatility assumption.B.increase the number of simulations.C.add a constant to all interest rates on all paths.正确答案:C答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market pricesonly by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.A is incorrect because adjusting the volatility assumption will generate another random value not equal to the benchmark bond value. The benchmark bond is option-free, so its value should not be affected by interest rate volatility.B is incorrect because increasing the model beyond 2000 paths will not lead to a different average value for the benchmark bond.7、Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:【单选题】A.one-year loan beginning in two years.B.two-year loan beginning in two years.C.three-year loan beginning in two years.正确答案:C答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows: The equation above indicates that in order to calculate the rate for a three-year loan beginning at the end of two years you need the five year spot rate r(5) and the two-year spot rate r(2). However r(5) is not provided.8、Cannan has been working from home on weekends and occasionally saves correspondence with clients and completed work on her home computer. Because of worsening market conditions, Cannan is one of several employees released by her firm. While Cannan is looking for a new job, she uses the files she saved at home to request letters of recommendation from former clients. She also provides to prospective clients some of the reports as examples of her abilities.【单选题】A.Cannan violated the Code and Standards because she did not receive permission from her former employer to keep or use the files after her employment ended.B.Cannan did not violate the Code and Standards because the files were created and saved on her own time and computer.C.Cannan violated the Code and Standards because she is prohibited from saving files on her home computer.正确答案:A答案解析:Answer A is correct. According to Standard V(C)–Record Retention, Cannan needed the permission of her employer to maintain the files at home after her employment ended. Without that permission, she should have deleted the files. All files created as p art of a member’s or candidate’s professional activity are the property of the firm, even those created outside normal work hours. Thus, answer B is incorrect. Answer C is incorrect because the Code and Standards do not prohibit using one’s personal computer to complete work for one’s employer.9、Based on the data in Exhibit 1, current real short-term interest rates would most likely be highest in:【单选题】A.Country #1.B.Country #2.C.Country #3.正确答案:B答案解析:B is correct. Real short-term interest rates are positively related to both real GDP growth and the volatility of real GDP growth. Country #1 and Country #2 have the highest real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5% – 4.0% = 2.5% and 5.0% – 2.5% = 2.5%, respectively), while Country #3 has the lowest real GDP growth (3.5% –2.0% = 1.5%). Looking at the volatility of real GDP growth, Country #2 has high real GDP growth volatility, whereas Country #1 and Country #3 have low real GDP growth volatility. Therefore, Country #2 would most likely have the highest real short-term interest rates.10、Which approach would an appraiser most likely use for valuing Property #2?【单选题】A.Cost approach.B.Income approach.C.Sales comparison approach.正确答案:B答案解析:Property #2 is an older office building with unique characteristics that could not be easily reproduced using current architectural designs and materials. Therefore, the cost approach would be less appropriate than the income approach as a basis for appraisal. The sales comparison approach would also be less suitable as the property is relatively unique.11。

CFA考试《CFA二级》历年真题精选及答案1122-371、In replying to Hextall’s recollection of the financial crisis, Klink most likely considered which risk measure?【单选题】A.VaRB.Scenario analysisC.Sensitivity analysis正确答案:B答案解析:B is correct. Scenario analysis is used for estimating how a portfolio might perform under conditions of market stress. Scenario risk measures estimate the portfolio returns that would result from a hypothetical change in markets. Stress tests and reverse stress tests are closely related to scenario risk measures. In addressing the possibility of direct exposure to extreme, negative events, Klink is describing a reverse stress test in which specific exposures of the portfolio (10 in this example) are identified. A hypothetical stress test (“reverse stress test”) is designed to measure its effect on each of these exposures.A is incorrect. VaR is used to measure the probability of a large loss. One limitation of VaR is its failure to take intoaccount illiquidity.C is incorrect. Sensitivity analysis is used to estimate how gains and losses in the portfolio change with changes in the underlying risk factors. For a short-term investment portfolio consisting entirely of short-duration, high-credit-quality fixed-income securities, there is likely little or no exposure to market sensitivity risk measures, such as beta, duration, convexity, delta, and gamma.2、Stephenson’s return objective and risk tolerance are most appropriately described as:【单选题】A.Return Objective: Below average; Risk Tolerance: Above average.B.Return Objective: Above average; Risk Tolerance: Below average.C.Return Objective: Above average; Risk Tolerance: Above average.正确答案:C答案解析:C is correct.Risk: Stephenson has an above-average risk tolerance based on both his ability and willingness to assume risk. His large asset base, long time horizon, ample income to cover expenses, and lack of need for liquidity or cash flow indicate an above-average ability to assume risk. His concentration in US small-capitalization stocks and his desire for。

CFA考试《CFA二级》历年真题精选及答案1122-481、In regard to calculating Wadgett\\\\\'s FCFF, the comment that is most appropriate is the one dealing with:【单选题】A.working capital adjustments.B.treatment of all non-cash charges.C.treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel\\\\\'s first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey\\\\\'s statement is incorrect, not all non-cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel\\\\\'s second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honoré describes three potential consequences ofmulticollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】A.108 bps.B.101 bps.C.225 bps.正确答案:A答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as €1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical。