1.Monique Gretta, CFA, is a research analyst at East West Investment Bank. Gretta has several long-standing relationships with mutual funds and institutional investors. Gretta often provides these clients with draft copies of her research before disseminating the information to all of the bank’s clients. This practice has helped Gretta avoid several errors in her reports and she believes it is beneficial to the rest of her client base. Regarding her research, Gretta least likely violated the CFA Institute Code of Ethics and Standards of Professional Conduct because:
A. Her report is a draft.
B. Of her conflicts of interest
C. This practice benefits clients.
2. Investment analysts often use earnings per share (EPS) forecasts. One test of forecasting quality is the zero-mean test, which states that optimal forecasts should have a mean forecasting error of 0. (Forecasting error = Predicted value of variable ? Actual value of variable.)
To test whether the mean forecasting error is 0, the t-statistic calculated is most likely:
A. 5.000
B. 5.025
C. 0.500
3. An increase in the nominal money supply would shift the:
A. IS curve and the LM curve.
B. IS curve and the aggregate demand curve.
C. LM curve and the aggregate demand curve.
4. Using the following information, what is the firm's cash flow from operations?
A. $158
B. $170
C. $174
5. Freytag Company currently has assets on its balance sheet that are financed with 60% equity and 40% debt. The company can issue debt at the yield of 8% when the value of the debt doesn’t exceed 1 million. If larger amounts of debt are issued by the company, the yield of the debt will be 9%. Calculate the break points for the company.
A. 1 million
B. 1.67 million
C. 2.5 million
6. Which of the following is not included in behavior finance?
A. Risk aversion
B. Loss aversion
C. Overconfidence
7. Using the "Four Cs of Credit Analysis" framework, which of the following is the least likely factor to be considered under the category of "capacity"?
A. Industry fundamentals
B. History of fraud or malfeasance
C. Level of competition
8. Which of the following best describes how futures contract payoffs differ from forward contract payoffs?
A. Forward contract payoffs are larger.
B. They are equal, ignoring the time value of money.
C. Futures contract payoffs are larger if the underlying is a commodity.
9. The following information is available about a hedge fund:
No deposits to the fund or withdrawals from the fund occurred during the year. Management fees are calculated using end-of-period valuation. Management fees and incentive fees are calculated independently. The net-of-fees return of the investor is closest to:
A. 7.8%.
B. 7.4%.
C. 5.8%.
10. Which of the following performance measures is consistent with the CAPM?
A. M–squared.
B. Sharpe ratio.
C. Jensen's alpha.
1. Solution: B.
Even though the analyst is not treating all clients in an equitable manner, there is no indication she has breached any conflicts of interest.(No special interest relationship of conflicts.
2. Solution: B.
3. Solution: C.
The LM curve represents combinations of income and the interest rate at which the demand for real money balances equals the supply. For a given price level, an increase in the nominal money supply is also an increase in the real money supply. To increase the demand for real money balances, either the interest must decline or income must increase. Therefore, at each level of the interest rate, income (= expenditure) must increase—a rightward shift of the LM curve. Since the IS curve is downward sloping (higher income requires a lower interest rate), a rightward shift in the LM curve means that the IS and LM curves will intersect at a higher level of aggregate expenditure/income. This implies a higher level of aggregate expenditure at each price level—a rightward shift of the Aggregate Demand curve.
4. Solution: B.
Net income — profits from sale of land + depreciation + decrease in receivables — increase in inventories + increase in accounts payable — decrease in wages payable + increase
in deferred tax liabilities = 120 — 2 + 25 + 20 — 10 + 7 — 5 + 15 = $170. Note that the profit on the sale of land should be subtracted from net income to avoid double counting the gain in net income and investing activities.
5. Solution: C.
When the value of the debt exceeds 1 million, the yield of the bonds issued changed. So the break point for the company occurs when 40% of the whole capital exceeds 1 million. Break point = 1million/40% = 2.5million.
6. Solution: A.
Risk aversion belongs to traditional finance. Behavioral finance examines investor behavior, its effect on financial markets, how cognitive biases may result in anomalies, and whether investors are rational.
7. Solution: B.
Any history of fraud or malfeasance is a major warning flag to credit analysis under the category of "character."
8. Solution: B.
Forward payoffs occur all at expiration, whereas futures payoffs occur on a day-to-day basis but would equal forward payoffs ignoring interest. Payoffs could differ, so forward payoffs are not always larger. The type of underlying is not relevant to the point of which payoff is larger.
9. Solution: C.
The soft hurdle rate is surpassed, because the return of the fund is 10%. For that reason, the full fee, based on the full performance, is due.
Management fee: 2% of $110 million = $2.2 million.
Incentive fee: 20% of $10 million = $2 million.
Total fees: $4.2 million.
Therefore, the fund assets at the end of the period after fees are $105.8 million. The return for the investor is 5.8%.
10. Solution: C.
Jensen’s alpha adjusts for systematic risk, and M-squared and the Sharpe Ratio adjust for total risk.
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備注：(CFA備考資料包含：1、CFA職業(yè)倫理道德手冊 2、CFA專用詞匯表3、CFA專用公式表 4、CFA協(xié)會(huì)原版書課后習(xí)題5、CFA協(xié)會(huì)歷年MOCK習(xí)題6、CFA前導(dǎo)課程7、CFA 報(bào)名流程引導(dǎo)圖 8、CFA電子版資料 9、CFA百題精選題)
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