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1、QuestiCnSl-6relatetoEthics,，Questions7-12relatetoQuantitativemethod6Questions13-18relatetoFinancialRepolIingjflalysis10Questions19-24RelatetoFinancialRepollingandAnalysis14Questions25-30relatetoCol-porateFinance.18Questions3136relatetoEquity.22Questions37-42relatetoEquity.26Questions43-48relatetoFix
2、edIncome30Questions4954relatetoDclivative33Questions55-60RelatetoPolIfolioManagement,.36RrstName:DateQuestions1-6relatetoEthicsCase1:TeaCaseScenarioC力口StianMathewCFA,isanequityj11lystspeciajfn11ginthebeveragemdusti%GuptaAssetMa血gers(GUPt),ap。ItfOiio皿血gementbasedmMflHhaiMathewisplamlingahiptoSriLanka
3、toresearchtheteamdus叨MmaliPtemadOSaCFA,as节em,isaresearch11UystabrollllgAshokaBrokerheadqualteredmColomb(Sri1.akaMathewcontactsntohelpai丁扣IgevisitstospecifcallyidentifiedteaestatesofpubliclyCohpalliesmthehighlandscfSriLaaka.阳m,wantingtoenhancethebusmessrelatiol6hiwithGUPlaarrangesalld,SlitobePciidfor
4、byAshokaThesecostsincludefoodhotelandThisStTangementisbasedthe皿derst扣汕ngthatallsecmityip455actiolisresultingMathewsniptoSLankaWiIIbeexecutedtlnougllAshoka沁hokabcrmnissirisaretypicallySimilartoitsbutitcantakeafewdaystoexecutelaigvolmncsofadesAshokaisnewtothebrokeragebusinessFVemsetstheitmeraiy,Withpl
5、allStoVisitanliimumofaxSriLankateaC(IIlPniIeSillttetleeregionSMathewtothevisitsandasksPLemtocl、eatealistcfquestiolistoasktlieofeachtowhichhewilladdRscprestiollSMalllewasksIVenltodelaythereleaseanyresearchreporthewritesonthesixSriLaakatheyvisittogetheruntilsuchtimettGuptaIifiShadanopportunitytoactont
6、ot螂KandyTeaEstateLimitedhfonnationisExhibit1.Exhibit1KandyTeaEstateLimitedDate:December2012Analyst:MuraIiPremadosaCharteredFinaialAnalystRecoui)eiaton:LongtenbuywithassociatedIiighconuiiodityrisksupportedbylargegrowthprospectsforSriLankaaswellasliquidityriskbecauseitisathinlytradedconayinafrontierma
7、rket.Exhibit1Conrd-TeaProductionbyCountry(millionkg)200820092010CAGR(2008-2010)Iudia980.8979.0966.4-0.7%SriLaiika318.7290.6331.42.9%Source:IndiaTeaBoardandSriLaiikaTeaBoardMatliewisimpressedwithPrem,sworkethicandresearchabilities.KnowingGuptawantstohireanalystsforitsnewColombooffice.MathewasksPremif
8、hewouldbeinterestedincIiangingenloyersandbuildingaresearchteamPremisexcitedabouttheprospectandtoshowhisworthtoGupta,Premundertakestkfollowingactionsathisofficeafternormalworkinghours:ActionECreatesalistofalltleworkliecoletedatAshokaontuspersonallaptop.Action2:Photocopiesresearchreportsherecentlycomp
9、letedontheteaindusty.Actiou3:MakesIiaiidwrittenexcerptsfrompreviousresearchmeetingtes.UponMatlew,sreturntoMumbai,liedeliverstohisclientshisInvesunentreportwitha“BuyrecommendationforKandyTeaEstatelimited,alongwithteasanleshecollectedwhileuiSriLaiika.WheIIbuyingKandysIiaresforIiisclients.Matliewalsobu
10、yshesamesharesforhispersonalaccount.Hehaddisclosedhisplantopurchasethesharesforhisownportfolioalongsidehisclientsbeforehebouglttheshares.However.MatliewisforcedtoselltleSameslarestwoweekslatertopayforamedicalemergency.MathewreceivedpermissionfromGupta,scomplianceofGcerforbothtransactions.LIstoelihan
11、cebusillessrdatisconsistentwiththeCFAInstituteCodeofEthicsandStand1Conduct?出ofA.YesB.NqUithregardtobestexecutionC.NqWithrcgardtoilldcpendenccandobjcctivitytoveViolatcdCFA扣idMathcwtheinfcrmationprovddedbythempany4.PIcmSresearchreportillExhibit1leastIikellyViolateSwlichCFAInstituteStandard?A.B.UseofCF
12、AttionC.CommunicationWithClients5WhichoftheactionsthatPIcmundettakestoshowvaluetoGuptaisnsistentWiththeCFAStandaid?6Matfewsacionsuponhisre血血。MuEtlJaiViQIateCFAStandardswithregardstohis:A.disclosuretoclients.B.personalteainvestments.C.giftsofteasanlestoclients.Questions7-12relatetoQuantitativemethodC
13、aSe2:LiheukoConsultuigCaseScenarioYiinLitveiikoisIhefbulerandprimaryanalystforLitvenkoConsulting,afintlalspecializesinanalysisandmodelingforinvestmentadvisories.Litvenkohasrecentlytakenonanewclient.LiiidaEpstein.EpsteiiimanagesanequityfhndandisseekingnewstrategiestlatwillIielpIierexcelinpickingcompa
14、niesforIhefundthatwillout-performthemarket.LitvenkosuggestsaquantitativeapproachtoSelectuigsecunties.Accordingtohisresearch,amultipleregressioncanprovideausefillscreenfornewstocks.Heproposesthefollowingmodel:&+1=bQ+b1(RmtR介)+fe2xSMBt+%xHMLt+h4Dt+fe5RltWhere%.=theeectedreturnonthesecurityintlenextper
15、iodRmt=thereturnontherelevantuarketindexRft=tlerisk-freerateSMBt=theexcessreturnoftlesmallestdecilemarket-capstocksoverthebiggest-decileonesHMLt=theexcessreturnoftleliglest-decilelxx)k-to-uarketstocksoverthelowest-decileonesDt=tlecurrentdividendyieldR/=theconanysearningsreinvestmentrate1.itveukotell
16、sEpsteinthatliewillusefiveyearsofquarterlyhistoricaldatatoestimatetheu)delandadviseshertoselectthosesecuritieswithreturnsabovehertargetthresholdforfirtheranalysis.Asanexanle.l)eestuiwtestlemodelforStorcon.Inc.abmldigconstructionfirmandprovidestheresultsshownillExhibit1.Exliibit1SelectedRegressionDat
17、aforStorcoiLInc.CoefficientIutValueIntercept(0)0.040Marketindex(Rmt)-Risk-freerate(Rft)0.780(0.161-0.034)Smallminusbig(SMBt:fromFama-FreiKhModel)0.025296Higliniinuslow(HMLt:fromFama-FrenchModel)0.132-048Dividendyield(Dt)0.1200.054Reinvestmentrate(RIt)0.0500.586Epsteiiiremarksthattheu)delisfine,butit
18、doesntseemparticularlyunique.Additionally.SheiscoemedastoMielberitmattersthatsomeofthevariables,suchasdivideiyieldadreuivestiiientrate,appeartoberelatedtoeachotler.EpsteinasksLitvenkowhetheritispossibletoidentifyconaniesthatarelikelytoOiitperfonntheInarketilltl)enextperiodratlerthanjsttryingtopredic
19、tthereturnforacompany.HerepliesthatIiisnlelasstatedwouldnotbeasuitableapproachforidentifyingOinperformers,buttherearewaystoconductsuchananalysis.1.itveiikotellsEpsteiiitlatliecanuseadatasetIiarvestedfromsociali)edatodevelopbetterpredictivemodelsbasedonbehavioralfactors.VFhiIebehaslimitedcomputingpow
20、erandhasnotyetworkedwithHiedata,liebelievestlaiitoflersaiqueopporhniitytoinplei)etivativestrategiesiftherighttlsareused,Epsteinagreestoatrialwiththenewdata,andLitvenkoconsidersbowbesttoapproachtheproblemsmgInaChineIeaniing.HebeginsbycreatingthedatadescriptiontableshowninExhibit2forthosevariableshewo
21、uldliketoinclude,withthegoalofcreatingadeltopredictwhichnid-capstockswilloutperfontheindexAllvariableswillbemeasuredcontinuouslyoverafour-yearperiod.Exliibit2ListofVariablestoBeUsedillMacluiieLeaniingTrialRusseilNlidcapIndex%changePro-goveuwentposts,likes,shares/retweetsAti-goveuentposts,likes,stare
22、s/retweetsRussellMidcapIndexindividualcomponentstockpositivetweets,negativetweetsSelectednid-capcompanystockreturnsListofudefollowinglistofIhestepsliebelievesareinvolvedintheIiiacliiiieIeaniingn)deltrainingprocess:1.Filtheappropriateuierlymgeco)iictleory.2.Establishtrainingandvalidationsamples.3.Imp
23、rovetheclassificationaccuracyofIhemodel.1.itvenkolaterstudiestbemodelcreatedbytheconuter.Whilebeisgenerallysatisfiedwithitsfit.heiscoemedthattbelargeIIuInberofvariablesusedmaymeanthatheis*ioverfittinghismodel,withsouevariablesaddinglittletoitsexplanatorypower.Heisalsoconviiicedthatlherelationshipshe
24、isobservingbetweentlbinaryoutcomeandtheelanatoryvariablesareIbliiiear.Heconsidersalternativestohisnlelingapproachtoaddresstheseconcerns.7.Basedontl)einfonmtionprovidedinExhibit1,EpsteiifsestimateofthenextperiodreturnonStorcon.Inc.isclosestto:A.18.5%.B.22.5%.C.27.3%.8.Epsteiifscouceregardingtberelati
25、onshipbetweenthedividelyieldandtbereinvestmentratevariablesismostappropriatelyaddressedbyevaluatinghe:A.R2and!-statistics.B.Drbin-tsonstatistic.C.Breusch-Pagantestresults.9.ThenstappropriatewaytoaddressUeOUtperfbniianceissuediscussedbyEpsteiiiandLitvenkoisto:A.useaprobitmodel.B.addadumyvariabletotle
26、regression.C.replaceOneormoreoftleUidependentvariableswithitsIogaritluiuctransfbr11)aton.10.GivenLitveiiko,sresourcesandejerienceandusingthevariablesshowninExhibit2.thetypeofIiiacliiiielearninglieshoulduseisbestdescribedas:A.deeplearning.B.servisedlearning.C.unsupervisedlearning.11.TheitemfromLitven
27、koslistthatbestdescribesastepintheuachiuelearningmodeltrainingprocessis:A.Item1.B.Item2.C.Item3.12.TheconcernsLitvenkohaswithhismachinelearningmodelcanbestbeaddressedusingwhichofthefollowingalternativemodelingapproaches?A.CARTapproachB.ClusteringalgorithmC.PenalizedregressionIeclniiqueQuestions13-18
28、*elatetoFinancialRepoilingAnaIySiSCaSe3:BardeinCaseSceuaiioJavierCasado,aanalystWhOIiiaiiagesfiulsforhigl-net-worthinvestors,isevaluatingBardemS.A.(Bardem)asapossibleadditiontoalargeinvestmentportfolio.Bardem.basedinMadrid.SpaiiLisaInanUfctungfirmtlatspecializesiPaCkagingmaterials.Tliecompanyreports
29、usingIFRS,anditsreportingcurrencyistheEuro.On2January2016.BardempureIiasedan18%stakeinthenewbondissueofPapelco.aSpanishmakerofspecialtypapersfromwhomBardembuysinventory.Thebonds,whichmanireon31December2023.payinterestannuallywithacouponrateof4%.Bardempaid5.000.000fortledebt,whichhadaparvalueof4.800.
30、000reflectingayieldtomaturityof3.4%.Bardemclassifiestheinvestmentasamortizedcost.CasadoistryingtodeteminetheinactofthePapelcopurchase,audwondershowitwillaffectBardem,sGnanCialstatements.CasadoIeanistlatBardemacquireda25stakeinArianaShippingS.A.(Ariana)ou1January2017.Ariaiia,whichisbasedinGreece,lias
31、bougltpackagingsuppliesfromBardeniinthepastbasedoncatalogprices.CasadobelievesthatthepurchasewillchangetherelationshipbetweenthetwoconanesandwillalsoaffectBardenfsfinancialreporting.Henientionstoacoworker.AnaDomingues.IhatIhepricepaidbyBardemforIheArianashareswas80millioaDonnnguestellsCasadoIhalBard
32、enfspureIiaseofAriaiia,sequitywilllikelyallowBardeintoinfluenceAriana,sfinancialandoperatingperformance.Asaresult,shestates.Bardemwillberequiredtousetheequityetbodofaccoutingforthisinvestment.CasadorepliesthattleequityUietbodofaccoutigisonlyrequiredwiderIFRSforjointventuresorWhentheinvesteeholdsasea
33、tontheassociatesboardofdirectors.Bardempreparesthefollowingtabletoexauii)ethepurchasemoreclosely.Exhibit1:BookVluesandFairVhesofArianaShippingAssetsandLiabilitiesasof31December(millions)BookvalueFairvalueCurrentassets1515Plamalequipnent230275Land100115345405LiabilitiesIlOIlONetassets235295Doiuiiigii
34、essaysIbatsheiscoemedthatBardemdidntsufficientlyinvestigateAriaiiabeforeIhepurchase,giveueconomicWicertaiutysurroundingGreekconaues.SheasksCasadowhatwillIiappentoBardenfsfiaialstatementsifthevalueofAriaiiaisPermanenHyimpairedduetobusinesslossesorotherdemonstrableevents.Casadorepliesthatiftheequityme
35、thodisnotrequired,tlentlerewillbenoiact.However,iftl)eequitymethodisused,liestates:1.Goodwillmustbeseparatelytestedforinainent.2.Impar11)entlossescam)lbereversedeveniffairvaluelaterincreases.3.harentlossesexceedinghegdwillvalueareallocatedpro-ratatoIheuitsassets.CasadohasIearuedfromBardemsmanagement
36、thattheyareconsideringthepurchaseof60%ofAslievilleIndustries.Iiic.(Aslieville).aUS-basedmanufacturerofComigatedcardboard,inastock-for-stockacquisitionBardemtlinksthatAshevillewillprovideaconsistentsupplyofmaterialforitsboxproductionline.Ashevillerqx)itsIuKkrUSGAAP.Casadonotesthatthisacquisitionwilla
37、ffectIhevaluationmodelshehascreatedforBardemandwondersWhethertheconanywillstillbeagoodcandidateforIheinvestmentportfolio.HepreparesaSimmiaryofbalancesleetdatainadvaceOftheacquisition,withAshevillesiiifbrnmtionejressedii)eros.(Exhibit2).adstudiesitcarefully.Exhibit2:SelectedBardemandAslievilleBalance
38、SlieetItemsasof31December2016(Uiillions)BardemAshevilleBOOkvalueBookvalueFairvalueCash20.03.03,0Accountsreceivables75.05.0ZOPP&E(Net)110.024.052DoiuiuguesinformsCasadoofafinalpieceofinformationrelevanttohisevahiatioaToincreaseliquidity.BardemisCousideringborrowing70Magainstaccountsreceivable.Asanalt
39、ernativetoborrowing,tleycouldsecuritizethereceivablesbycreatingaspecialpurposeentity(SPE)overwhichtheywouldexercisecontrol.Todoso.theywouldinvest5MintheSPE.TheSPEwouldthenborrow70M.andwouldbuy75MinreceivablesfromBardeiiLDoiiiiiigiiescommeutsthatsecuritizationusinganSPEwouldimpactBardemsreportedfinan
40、cialconditioninthreeways.Itwould:1.reducethecostofborrowing.2.increasethelevelofcurrentassets.3.improvebalaeSheelratios.13.TlieinvestmentincomethaBardeiuwillreporti2016fromthePapelcodebtisclosestto:A.A170.000.B.Bfl92,0.C.C200.000.14.InthediscussionaboutusingtheequityIDetbodtoaccountforBardemspurchas
41、eofAhaa.wlichStateiiieiitismostaccurate?Tliestatementby:A.Domingues.B.Casadocoemigjointventures.C.CasadoConCeruingboardofdirectors*positions.15.IfBardemdoesusetleequitymethodofaccoutigforitsPurchaSCofAriana,usingExhibit1.thevalueofgoodwill,inmillions,arisingfromIhepurchaseisclosestto:A.625.B.21.25.C
42、.15.00.16.WliichofCasadosteestatementsregardingthepotentialinaii)entoftheinvestmentinAriaiiaismostaccurate?Statement:A.2B.1C.317.IfBardempurchasesAslieville.usingtheiiifbniiationinExlribit2,Ihevalue(inmillions)ofPP&Eontheconsolidatedbalancesheetimmediatelyaftertheacquisitionwillbeclosestto:A.162.B.1
43、34.C.141.18.IfBardemcreatesaspecialpuposeentityralertlanborrowingagainstitsreceivables,whichofDoiiiiiigues,conuentsisu)staccurate?ConnDentA.1B.2C.3Questions19-24RelatetoFinancialRepoilingaudAnalySiSCaSe4:PauoiainaInvestineutPaituenCaseSceiiaiioIitsideIheofficesofPanoraniaInvestmentPartners.AisliaIsl
44、uiiaelaiLiamLeiuliaii.pripalsatthefirm,aremeetingtodiscusssomeinvestmentdecisionsfortheirflagshipequityfond.NewlyIiiredanalystBrandonBurgessjoinedhemeetingtoobserveandtoprovidesoueUifbniiatioiiliehadgatheredresearchingthepotentialinvestments.Tbetwoconanestheyarediscussingarenetworkingequipmentmakers
45、.ZipTechnologiesLtd.(ZipTech)audEuronetGmBH(Eiironet).bothofwhichrecentlyreportedresultsforthefiscalyeareling31December2017.EhiuaelstartsoffbyIueutioniuganaualysheIiadpickedUPonwlilelisteningtoIheanalystcallsofOetWorkandteleconuiiuiucatiousproviders.WhiCharecustomersofthenetworkingequipnientmakers.S
46、everalofthesecustomerorganizationshadreportedIugher-tlan-origiaUy-forceastedcapitalspendiuginthefinalthreemonthsof2017,andafewhadbraggedaboutthefavorablepricing:beyhadbeenabletonegotiate.IShluaelfiherobservesthatallthosewiththeunexpectedlyhigherspendingwereknowntouseZipTechastheirprimaryequipmentprovider.B
