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1、2020LEVELHTestExani3Thesessionofthe2020Level11Cha如edFinancialAnalystMockExaminationhas60questions不bestSimulatetheexamdayexperience,candidatesareadvisedtoallocateanaverageof18minutesperitemsetandmultiplechoicequestions)Icratotalof180minutes(3hours)forthissessionoftheexam.QuestionsTOpic1-6187-12Ethics
2、1813-18Quantitative1819-22FinancialRepollingandAnalysis1223-28FinancialandAnalysis182+32ColporaLeFinance1233-36Equity1237-42FixedInme1843-48Derivatives1849-541855-60PoltfolioM11Pagement18Total_180/UA】29令业来向钓投入！Add/上海市松花g2539号旦旦科技园1号楼出号楼（2071Tel/H,ebIEthicstheFollovmnginformationrelatestoquestionsi-6
3、ForsterInvestmentAdvisors(Forster)isasmallassetmanagementmmanagingfundsforbothretailandinstitutionalclients.Forsteralsoundertakesinvestmentbankingactivities,includingmarketnakng.butonlyfortleslaresofafewuaiestlatitfollowsclosely.Forstersfinancedirector,whoalsoservesasthefirmscolianceofficer,hasgiven
4、noticetlathewillretireiuonemontl,stime.ForstersmanagingdirectorasksTerryMcGuinn.CFA.ifhewouldbeinterestedinbeingthecomplianceofficerafterthefinancedirectorretires.McGuinii4aindependentconliaceconsultantwhoseclientsmostlyiucludepensionfinds.agreestomeetthemanagingdirectortodiscusstheposition.Attlemee
5、ting,McGiiiniiistold,*TorsteradoptedtleCFAListitiiteCodeadStandards10yearsago.TlieoutgomgfinancedirectorassuredusatthetimethatweadopteddieCodeadSIandardStlatallofForster,spoliciesandproceduresmettlerequirementsmostoftleFecomnieudatioiisaswell.Asaresult,wementioncom-pliaewitltleCodeadStandardsiallofo
6、urmarketingmaterial.Weencourageyoutoimplementnewchanges,buttheimplementationwillneedtobecoordinatedtlrouglthehumanresourcesdeartmenl.Afteragreeingonwri11enspecificdutiesadresponsibilitiesfortlerole.McGuinnacceptstheoffertoactasForster,scom-pIianceofficeronapart-timeconsultancybasis.Onhisfirstdayasth
7、enewcomplianceofficer.McGuinnimmediatelyreviewsadraftresponsetoarequestforproposal(RFP)tobesubmittedthenextdaytoapotentialpensionRIndclient.TlieproposalisidenticaltoaotlerRFPsentouttlreemonthsagoandincludesForster,sorganizationalchart.ai)in-depthdescriptionofitsivestuentprocessandtleOccasioualuseoft
8、lid-partyresearchproviders,andaguaranteeofaminimum5%investmentre11andreturnofprincipalthuglaguaranteedStnictiiredsavingsproduct,underwi11enbyaninvestment-gradelifeinsur-miceconay.McGuinnapprovestheRFPdocmuentwitloutnakmganychanges.Tliatsaueday.ColleenColliiis,aresearchanalyst,approachesMcGuinn,con-c
9、emedtlatShemaybeinpossessionofinsidermfbuation.CollinsrelatesthatshewasatapartythenightbeforeadoverheardaconversationbetweentwoCEOsofcompeting,publiclylistedmaufacnringcompanies.TheCEOsdiscussed,butdidnotexpresstieiropinionson.thevalidityofarecentarticlepublishedillanonlineindustrynewsletter,whichwa
10、sspeculatingouIhebenefitsofamergerbetweentheirtwocompanies.Thenewsletterisavailablebysubsaiptiononly.Oneofthesecom-paniesisonForstersrecounendedbuylist.Followingthisconversation.McGtiinnfeelsitisnecessarytoenhanceForsterslesandprocedureswhendealingwithpossibleinsiderifbnation.Herecommendsthefollowin
11、gchangestothempanyspoliciesandprocedures:Recommendation1:Stopmarket-makingactivitieswhenipossessionofmate-rialnonpublicinfbrmaon.Recommendation2:Regularlyreviewemployeeandproprietarytrading.Recoiumendatiou3:Requireallemployeestoattendai)annualrefresliercourseonhowtoidentifyandhandlematerialnonpublic
12、infbnation.AfterreviewinghowForsterchsesandretainsitsstockbrokerseveryyear,McGuiimmakesseveralchangesinthepolicy.Thefollowingguidelinesareimple-mentedandComuiimicatedtoclients.Stockbrokerselectionmustbebasedon(liebrokersabilityto:Guideline1:provideaccomtigsoftware.Guideline2:executeclienttransaction
13、sefficiently.Guideline3:obtaininvitationstoinvestmentconferencesforloyalclients.AfterUiideiiakiiiginvestigationsbasedonaanonymousreport.McGuiimcon-firmstlatseveralForsterudmanagerswerewitnessedbeingwilledanddiedoverthepastfewweeksbylargebrokeragefinustryingtogetForstersbusiness.Tliesameemployeeshave
14、notnotifiedhinaboutthesedimers.aviolationofForstersinternalpolicies.McGuiimnotifies(lieemployeesiwritingtlattleyhavebeenviolatingtlecompanypolicy.Inthele11erofnotication.herequiestheenloyeestoabidebythepolicyinthefiture.1.IsMcGiiiiuisproposeduIiaiiceofficerStnictiueuostlikelynsistatwitltleCFAInstiUi
15、teCodeandStandards?A.No.withregardtoauthorityadreonsibility.B.Yes.C.No,witlregaidtopoliciesandprocedures.2.Whichitemiutherequestforproposal(RFP)isleastlikelyconsistentwithStandaidI(C)-Misrepresentation?A.GuaranteedinvestmentreturnB.ThefirmsorganizationalStnictiireC.Useofthird-partyresearchproviders3
16、.DidCollinsmostlikelyreceiveinsidermfb*matiouasdefinedbytleCFAInstituteCodeandStandards?A.No.becausetheinfrmatiouisconsiderednon-material.B.Yes.C.No.becausedieiufbnnatiouisconsideredpublic.4.WliichofMcGuinnsrecommendationsisleastappropriatetoinpleme11asperrecommendedproceduresforconlianceofStandardI
17、I（八）-NlaterialNonpublicIiifbrmarion?A.Recommendation1B.Recommendation2C.Recommendation35.WliichguidelineWithregardtochsigStockbrokiiigservicesismostlikelyconsistentwithStandardI11(A-DtytoClients?A.Guideline2B.Guideline3C.Guideline16.Withregardtothefluidmanagersunderinvestigation,themostpopriateaddit
18、ionalactionMcGuiimshouldtakeisto:A.monitortheirfitreactions.B.eportthemisconductupthechainofmmaud.C.requireastatementstatingthebehaviorwillcease.EthicsTHEFoLLOWINGINFORMATlONRELATESTOQUESNS7-12FionaO,Connor.CFA,uoisbasedinEhibliiLnnstheassetmanagementfirmthatmanagestheassetsfortheSieplSocialImpactPr
19、ivateEquityFuiid(theFund),whichisregisteredinIreland.Thegeneralpa*tnerofeFundhasaskedOConnortomeetwithEliseJensen.CFA,apensionassetconsultant,tofindoutwhetherJenseuwillpitchtheFundtoherinstitutionalclientslookingforanenvironmental,social,andgovernance(ESG)approach.JensenSPeCialiZeSinworkingwithntien
20、talEuropean-basedpensionfunds,manyofwhichareSwisspensionftndsrequiredbySwisspensionregulationstoundertakeanESGassessmentpriortomakinganinvestment.Inaddition,allherclientshavearelativelylowriskprofile,becausetleyaresmallfinds.Thefewpensionfi11dsJaisenworkswitlthatdonotrequireaESGassessmentstillinclud
21、etledesirefortlistypeofevaluationintheirinvestmentmandate.Duringanintroductorymeetingthatlastsaboutanhour,JensenasksOConnortogiveanoverviewoftheFund.O,Conormakesfilefollowingtlreestatements:First,asyouareaware,tleStepUpFllndisaglobalsocialimpactfiud.Tlierefbre,wehaveallocated85%ofcmpoltfoliotoeducat
22、imandhealthCaraInadditio止someoftheCo名aidesweinvestinofferscholarshipsCreeadvicestothosewhocannotrffOrdtheIselvicesAsaneSllour*investmeitretnsmaynotbeashighasthoseofthathaveasti迁，frpfinvestmentstidegy,butwestilltrackourFundagainstESGindexesWehavealsodeasetofsodalHRpactme订icsd11ltoshowtheFlmdhasaposit
23、ive11T1pactonpplesEvesDetailsoftheandhowweselectinvestmentsareclearlyandextensivelydescdbedinourfbndInaddition,investcrsainotifedpriortoanychangesbeingmadeOurinvestmentprocessSecond,letmeexplainhowweselectinvestmentsllgiveyoutoo,yourbecauseitctainsalltfedetails1andtheyrequiteextensiveWemaroundtheglo
24、bethroughomownanalysts*reseaichwithintheeducationandhealthcareindustriesWealsouseth；工dpai1yagentstofmdpotentialIfwemakeaninvestlnetithetheypresenttous,wepayCbnsultantsnthemaf蓝sfoeOnesuchagentweAConsiltingfrmthathasadoptedtheCFAInsdouteCodeandStandardsFinally,Iala）wanttodisclosetoyoumpensationaflhnge
25、mentstheassetmanagement理sixinvestmentanalysts,alofwhomrcpIstudentsexpressesherexcitementaboutthepotentialofIheschoolandcannotwaittohometopresenttteSChoOlasapotentialinvestmenttoherdietsAfterhome,Jensenmakesh三*fastpresentationtosmallestCiienLwithassetstotalingmiIUionShemakesthefollowingstatementIjust
26、gotbackfromadediligencetiptoZimbabwewithFionaOConnor,dieportfoliomanageroftheStepUPFundwhichhasanESGinvestmentmandate.Wevisitedanamazingwomensuniversitythathassoliciteddonationsforascholarshprogramfordisadvantagedwomen.Theschlisverywellm.ai)dwiththenewscholarshipprogram,investmentreturnsareexpectedt
27、oincrease,becausetleywillnolongerneedtosubsidizetuition.vebeenassuredtheotherholdingswithintheStepLFundareofequalcaliber.IgottoknowO,ConorduringthetripaudfeelshehasagdgraspofESGissues.IreallybelieveyoushouldinvestintheStepLFmicLbecauseitIlIeetSyorinvestmentobjectives.IwouldstartwitlaEUR5millioninves
28、tment.7.Basedonlyoutheinformationgiven.Whenprovidinginvestmentadvicetoherclients.JensenshouldmostlikelyadleretowhichofthefollowingtoavoidviolatingStandardI（八）:KnowledgeoftheLaw?A.IrishlegislationB.SwissregulationsC.CFAInstituteStandardsOfProfessionalConduct8.GivenOConnorsfirststatementabouteassetall
29、ocation,expectedreturns,andstrategyoftheSteplSocialImpactPrivateEquityFund,doesOConnormost11kelyviolatetheCFAInstituteStandards?A.NoB.Yes,withregardtoStandardI11（八）:Loyalty.Pnidence.andCareC.Yes,withregardtoStandardV(B):CommunicationwithClientsandProspectiveClients9.GivenO,Comor,ssecondstatementtoJe
30、ns.whichfirtheractionShOlIIdO,ComorleastlikelytaketoplywitlrequiredorrecommendedproceduresfortheCFAbstihteStandaIdSofFxTofessionalConduct?A.Monitortheconsultantscouliaepolicyexecution.B.Disclosetlefindersfeearraugementindiefluidprospectus.C.Notifyclientsofthefindersfeepolicyonasemiannualbasis.10.Wit
31、hregardtodieassetmanagementfirmsmpei)sationarrangementsfortheinvestmentanalystsasmentionedinO,Connorsfinalstatement,doesOComormostlikelyviolateanyCFAInstituteStandards?A.NoB.Yes,relatiugtothebonusplC.Yes.relatingtothepart-timepolicy11.ToavoidviolatinganyoftleCFAInstihiteStandardsOfProfessionalConduc
32、t,howSlioukiO,ConormostlikelyreplytoJaisen,squestionregardingdietrtoZimbabwe?A.MyfirmB.YourclientsC.TheStUPFund12.DiiriugJensensmeetingWithherclient,didShemostlikelymakeanyinappropriatecommentsrelatedtoStazidaid11I(C):Suitability?A.NoB.Yes.withregardtoduediligenceC.Yes.withregardtodediligenceandasse
33、taltocationQuantitativeMethodsTHEFOLLoWINGINFORMATIONRELATESTOQUESNS13-18BrendanDennehyworksforTransonInvestments.PLC.aDublin-basedhedgeftndwithsigicatequityinvestmentsintechnologycouaiesiAsia,NortliAmerica,andEurope.Transonisconcernedabouttherecentprperformanceofoneofthefimd,sChiiwseinvestments,Win
34、stonCommunications,anassembleroftelecommunicationsequipmt.Transon,schiefofinformationtechnology(IT)isSeanMalloy.Yesterday.XMnstonsITofiicesentMalloydatarelatedtotleassemblyprocessandaprintoutofananalysisofthenumberofdefectiveassembliesperhour.WinstonsITpeoplebelievethattlenumberofdefectiveassemblies
35、perhourisaAmctionoftheoutsideairtemperatureandthespeed(productionrate)oftheassemblylines.MalloyrecallsthatDennehyhashadsubstantialtrainingiStaristicswhileworkingonhisMBA.HeasksDeiinehytohelphiminterprettheregressionresultssuppliedbyWinston.Exhibit1RegressionResultsDf=b+bjArt+b+的CoefficientStandardEr
36、rorConstant(b)0.0160.0942Outsideairteneratre(1)0.(XX)60.lAssemblylinespeed2)0.59840.3Numberofobse,ationsusedintheregression384CrifiCaIfvalueat5%significance(t,o-tailtestwhere.%coefficientequalszero)StandardErrorofR2theEstimateDurbin-WatsonStatisticF*StatisticSignificanceOfF0.4140.3331.89157.699ODurb
37、in-WatSOn1.631.72criticalvalues(5%significance)Correlationbetweenoutside0.015airtemperatureUsingthedataprovidedinExhibit1.Dennehyteststhehypothesisthatthecoefficientsforoutsideairtemperatureandassemblylinespeedaresignicatlydifierentfromzero,usingaSiguificaucelevelof5%.DeiMiehyalsousestheresultsgiven
38、illExliibit1toevaluatethepotentialforInulticollineaiityiuthedata.Finally.Dennehywouldliketoconfirmtlatnonstationarityisnotaproblem.TotestforthisheconductsDickey-Fullertestsforaunitrtoneachofthetimeseries.TheresultsarereportedinExhibit2.Exhibit2ResultsoftheDlckey-FullerTestsTimeSeriesValueoftheTestSt
39、atisticStandardError(-StatisticSignificanceoftDefectiveassemblies0.36O.231.5910.1123perhourOutsideair-0.4230.0724-5.8460temperatureASSeni)Iylinespeed-0.5860.043-13.5100DennehytellsMalloyabouttheDickey-Fullertestresults,stating:“Wfecansafelyuseregressiontoestimatetherelationshipbetweentledependentvar
40、iableandtheindependentvariablesif1)noneofthethreetimeseriesexhibitaunitrootor2)allthreetimeseriesexhibitaunitrootbuttheyarealsomutuallyCointegrated.,13.BasedonExhibit1audstatisticaltests,thebestconclusionDeniiehycamakeistlattleregressionefificientissignificantlydifieretfromzerowithrespectto(liecoeff
41、icient(s)for:A.assemblylineeed(b2)only.B.bothoutsideaitemperature(bl)andassemblyIiiiespeed(b2).C.outsideairteneralure(bl)only.14.TheustappropriateitepretatiooftheresultsreportedillExhibit1isthat:A.theF-statisticoftheregressionisnotsignificantB.predictionsofdefectiveassembliesperhourmadeusingtheregre
42、ssionhaveonlyabouta41%chanceofbeingcorrect.C.variationsintheindependentvariablesexplainapproximately41%ofthevariationinthedefectiveassembliesperhour.15.WhatisthemostpropiateinferencefromtheDurbin-WatsonstatisticreportedinExliibit1?TlieDwibiii-Watsontest:A.isinconclusive.B.rejectsthenullhypothesisofn
43、opositiveserialcorrelation.C.failstorejectthenullhypothesisofnopositivesaialcorrelation.16.TlieresultsreportedinExhibit1aremostacratelyiHepretedasdicatingflat:A.tlereportedR2isspurious.B.Iinilticoniiiearityisnotprest.C.theregressioncoefficientshaveinflatedstandardeors.17.Assuminga5%levelofsignificance,themostappropriateconclusionthatCanbedrawnfromtheDickey-FullerresultsrqxrtedillExhibit2isthatthe:A.testforaunitrtisinconclusiveforthedependentvaiable.B.independentvariablesexhibitunitrootsbutthedepadtvariabledoesnot.C.dependentvaiableexlibitsaunitroot
