1、DO NOT OPEN THIS EXAM COVER SHEET UNTIL INSTRUCTED TO DO SO BY EXAMINATION SUPERVISOR2004 CFALEVEL IMOCK EXAMOffered by SASFSASF Practice Exam With ANSWERS 2004Saturday, November 6, 2004Instructors:Patrick Collins, CFAEd Cordisco, CPADon Davis, CFARaymond Hawkins, CFAJivendra Kale, CFAJim Keene, CFA
2、John Stratton, CFA, CFPProf. John M. Veitch, CFALoren Walden, CFAThe Security Analysts of San Francisco The Association for CFA Institute does not endorse, promote, review, or warrant the accuracy of the products or services offered by organizations sponsoring or providing CFA exam preparation mater
3、ials or programs, nor does CFA Institute verify pass rates or exam results claimed by such organizations. SASF Mock Exam Answers December 2004 Level I Page 1 of 30SASF CFA Level I 2004 Practice ExamSaturday, November 6, 2004Question Number Topic # of questions Instructor1 14 Ethics and PPS 14 Loren
4、Walden15 34 Quantitative Analysis 20 J. Veitch/J. Kale35 49 Economics 15 J. Veitch50 64 Financial Statements 15 J. Stratton65 79 Accounting 15 Ed Cordisco80 93 Equity Valuation 14 J. Stratton94 107 Fixed Income 14 Don Davis108 112 Fin. Mkts./Alt. Invest. 5 J. Keene113 117 Derivatives 5 R. Hawkins118
5、 122 Portfolio Mgmt 5 Patrick Collins122 questionsPlease note that the distribution of questions on the SASF CFA Level I Practice exam broadly reflects the weights placed on each subject area by the CFA Level I study guide. There is no guarantee that the questions on the actual CFA exam will reflect
6、 these relative weights. The CFA Institute does not endorse, promote, review, or warrant the accuracy of the products or services offered by organizations sponsoring or providing CFA exam preparation materials or programs, nor does CFA Institute verify pass rates or exam results claimed by such orga
7、nizations. SASF Mock Exam Answers December 2004 Level I Page 2 of 30Study Session #1 Ethics 2004 Loren W. Walden, CFA. All rights reserved. Reproduction in any form, in whole or in part, is prohibited without permission.1. Which of the following are primary stated reasons for creating the GIPS stand
8、ards?A. To set a minimum standard to be augmented by a firm reporting performanceB. As countries adopt GIPS standards clients get better information to compare performanceC. To require a minimum standard for all firms that present performance to clarify unique circumstancesD. A. and B. only2. Which
9、of the following is NOT a key characteristic of GIPS?A. Minimal worldwide standard where local standards may not existB. Requires that all fee paying discretionary portfolios in composites be defined by like investment strategies and objectives and show a minimum of 5 years of history or since incep
10、tion if the composite was created less than 5 years priorC. Consists of guidelines that firms are required to follow in order to claim complianceD. If local law conflicts with GIPS the firm is required to comply with GIPS and must disclose the conflict3. Which of the following is NOT a requirement o
11、f GIPS disclosures?A. Definition of the firmB. If settlement date valuation is usedC. If local law overrides GIPS law a description of how this impacts performanceD. All of the above are required under GIPS4. Without a third party verifier, a firm cannot claim compliance with GIPS?A. TrueB. False5.
12、If a CFA candidate OR charter holder is promoted to a supervisory position in a firm where no written supervisory procedures are in place to manage employees under their direct supervision are in place, the candidate or charter holder shouldA. Take the supervisory position and promotion but require
13、that the firm adopt AIMRs code of ethics within a reasonable time frameB. Decline the promotion in writing until the firm has adopted AIMRs codeC. Decline the promotion in writing until a policy is put into placeD. Adopt AIMRs code and only then take the positionSASF Mock Exam Answers December 2004
14、Level I Page 3 of 306. Shane Dorian, CFA and software analyst and portfolio manager for a large pension fund management company is waiting for a taxi when he sees Rob Machado, CEO of Board Technology, a small software company walk by with Buzzy Kerbox, CFO of Rainbow Inc., a larger rival software co
15、mpany. Shane recognizes the two and observes them talking amiably and shake hands. Then, he overhears Buzzy say to Rob, “We look forward to being bought by your firm.” Shane can hardly believe his ears and immediately gets on his cell phone and tells his broker to buy 100,000 shares of Board Technol
16、ogy.Based on the information above, which best describes Shanes situation.A. Shane is in direct violation of insider trading laws because the information is both material and non-public in nature and he cannot trade on the information himselfB. Shane should not trade on the information for himself,
17、but he may trade in the shares of either company for his clients because what he has heard is hearsay onlyC. Shane is clear to trade on the information for his own account but not his clients accounts because the information is hearsay only and was not given to him as a breach of fiduciary duties, n
18、or was it stolen, nor is there any implied quid pro quo, nor is there any monetary exchange for the information receivedD. Shane is not allowed to trade on the information or cause others to trade on the information due to the nature of the information7. A buy-side portfolio manager can receive a $5
19、,000 watch as a bonus from her client if she has written permission from her boss.A. TrueB. False8. Assuming you are a portfolio manager - when updating your knowledge of a clients you should know what your clients needs are, tell your clients how the investment process works andA. Update your knowl
20、edge of client circumstances quarterlyB. Update your knowledge of client circumstances annuallyC. Update your knowledge of client circumstances at least annually or more frequently if necessaryD. Update your strategy and knowledge of your clients circumstances only when a material change is made to
21、the client circumstances9. Shawn Thompson, CFA charter holder, decides that he is going to leave his existing firm and take all of his clients with him and recruit some of his coworkers to join his new firm. His existing employment contract does not have a non-compete clause and the state where he i
22、s working does not bar client solicitations. Six months after defecting, Shawn gets a letter in the mail from AIMR with a list of violations he is accused of committing when he left his prior firm. Which is NOT true about Shawns next step.SASF Mock Exam Answers December 2004 Level I Page 4 of 30A. S
23、hawn must respond in writing to the letter and provide all information requested about the accusation.B. Shawn may hire an attorney to respond to the letter from AIMR on his behalfC. Shawn may elect to relinquish his CFA charter and membership of AIMR and not to respond to the letter but will be per
24、manently disallowed future participation in the CFA programD. Shawn must respond to the letter in writing and provide all information requested by the designated officer in charge of the investigation 10. Which of the following is NOT a part of the Professional Standards Policy Committees (PSPC) pow
25、ers over CFA candidates:A. Removal of a candidate from the CFA program for not putting a pencil down promptly when the proctor of the level I exam announces that the time is up for writing exam answersB. Reporting your violations to legal authorities if they think it is appropriateC. Public Censure
26、or Private CensureD. All of the above are powers of the PSPCFanky Quattro, CFA and portfolio manager of You Can Trust Us (YCTU) mutual fund and individual portfolio management services recently received a call from one of the brokers covering his account. The broker had 25,000 shares of an initial p
27、ublic offering that was priced at $13 dollars a share and opened for trading at $30. The broker said to Fanky “Im glad to get these to you, but we expect you to buy more shares in the aftermarket to support the stock. And we also strongly suggest that you take a hard look at our other investment ban
28、king deals if you want to continue getting allocations like this.”Based on the information above, Fanky decides to put the entire allocation into his largest three clients so that each one gets a 1% position. He decided to allocate the shares this way because the position would be too small to impac
29、t the mutual fund. 11. Which of the following is true?A. Fanky should not take the shares because of the implied quid pro quo;B. Fanky is in direct violation with the higher standards of AIMR by accepting shares that are not “blue skied.”C. Fanky violated AIMR rules by not dealing fairly with all of
30、 his clients.D. Fanky has not made any violations at this point given the information above.12. The Designated Officer (D.O.), when reviewing a violation of AIMRs code of ethics, can perform which of the following duties?SASF Mock Exam Answers December 2004 Level I Page 5 of 30A. Institute a private
31、 censure for minor infractions to which the covered person can accept by not responding or can reject in writing within 30 days of receipt of the private censure notification;B. Request material and notify the covered person of the right to be represented by counsel;C. Terminate the investigation;D.
32、 All of the above.13. Which of the following is not one of the parties the GIPS standards were created for?A. Prospective clients but not existing clientsB. International investment management firmsC. Prospective clients and existing clientsD. Domestic investment management firms14. Which of the fol
33、lowing is not a key characteristic of GIPS?A. If local law conflicts with GIPS the firm is required to comply with the local law and must disclose the conflict.B. If local law conflicts with GIPS the firm is required to comply with GIPS because it is the higher standard.C. GIPS are the minimum world
34、 wide standard where local laws may not exist.D. Applies to the presentation of investment performance on behalf of a third party.Study Session #2 Quantitative Methods 2004 Prof. John M. Veitch, CFA. All rights reserved. Reproduction in any form, in whole or in part, is prohibited without permission
35、.15. You are investigating buying a machine that involves an upfront expense of $600,000 today, a disposal cost of $750,000 at the end of the sixth year. It will generate $1,000,000 in revenue at the end of each of the next five years. What is the maximum amount you would be willing to pay for this
36、machine assuming that your required rate of return is 7.5%?A. $ 4,045,885B. $ 3,445,885C. $ 3,931,856 D. $ 2,959,914Three separate cash flows: outflow today, annuity for 5 years, cash outflow end of year 6.1. PV of Outflow today: -$ 600,0002. PV of 5-year annuity: = 51$,01$4,08.7.7NArrSASF Mock Exam
37、 Answers December 2004 Level I Page 6 of 303. PV of Outflow Year 6: 6$750,485,9711.Total value is the sum = $2,959,91416. An annuity due of $10,000 per year for 10 years sells for 6.21429 times that of an annuity of $1,750 per year for 10 years. The interest rate used in the annuity calculations is
38、closest to:A. 12.5%B. 4.375%C. 8.75%D. Impossible to determine from the information given.I. An annuity due of the same amount should sell for (1+r) times more than an ordinary annuity. II. PVs of ordinary annuities of same term should be in proportion to the ratio of the payments in each annuity.Ra
39、tio of PV of an ordinary annuity of $1,750 for 10 years to the PV of a $10,000 ordinary annuity over the same 10 years should be = 10,5.743Ratio of PV of an annuity of $1750 for 10 years to the PV of a $10,000 annuity due over the same 10 years should be = 5.7143 x (1+r) = 6.21429.Solve previous exp
40、ression for r = 8.75%17. You deposit $100,000 into an account that pays a stated 12% annual interest rate compounded monthly. The amount you have at the end of two years at this rate is closest to:A. $126,974.B. $125,440.C. $112,682.D. $124,000.Stated annual interest rate is 12% paid monthly. This m
41、eans the periodic interest rate is 1% per month. Invest $100,000 for 24 months yields $100,000 x (1.01)24 =$126,974 Use the numbers in this table to answer the following three questions8.2 21.4 26.9 31.5 39.912.3 22.0 27.1 33.3 44.515.1 22.6 27.5 33.8 47.216.6 23.4 28.6 36.8 50.017.4 26.7 29.2 39.7S
42、ASF Mock Exam Answers December 2004 Level I Page 7 of 3018. In constructing a frequency distribution using five classes, if the first class is “0 up to 10,“ the class frequency of the third class is:A. 1.B. 6.C. 10.D. 4.19. Instead construct quartiles of the data. The range of the second-highest qua
43、rtile is closest to:A. 8 to 21.7B. 17.1 to 23.0C. 31.5 to 40.0D. 27.3 to 35.320. In the table above, the quartile with the largest number of observations is:A. The lowest quartile.B. The highest quartile.C. The middle quartile.D. None of the above.Use the following information in the three questions
44、 that follow:Event ProbabilityReturn to Firm AReturn to Firm BBoom 0.1 24% -4%Normal Recovery 0.4 18% 8%Flat Economy 0.4 8% 18%Recession 0.1 -4% 24%21. Which one of the following statements is true?A. Expected return for Firm B is greater than expected return of Firm A.B. Expected return for Firm B
45、is less than expected return of Firm A.C. Expected return for Firm B is equal to expected return of Firm A.D. Expected return for Firm B is not comparable to the expected return of Firm A.22. Which one of the following statements regarding the returns of Firms A and B is true?A. Standard deviation f
46、or Firm B is greater than standard deviation of Firm A.B. Standard deviation for Firm B is less than standard deviation of Firm A.C. Standard deviation for Firm B is equal to standard deviation of Firm A.D. Standard deviation for Firm B is not comparable to the standard deviation of Firm A.SASF Mock
47、 Exam Answers December 2004 Level I Page 8 of 3023. Which one of the following statements regarding the returns of Firms A and B is true?A. There is high positive correlation between the returns of Firm A and Firm B.B. There is high negative correlation between the returns of Firm A and Firm B.C. Th
48、ere is no correlation between the returns of Firm A and Firm B.D. The correlation between the returns of Firm A and B cannot be determined with the information provided.24. You are given the following information about a companys historical returns.Mean return = 14% Std. deviation of Returns = 21% #
49、 datapoints = 20Assume the firms future returns are normally distributed and well-characterized by the historical data. What is the level of returns beyond which there is only a 5% chance of receiving returns higher than this level? A. 48.5%.B. 21.7%C. 55.2%D. 23.2%.Upper tail of a Normal distribution with 5% probability = mean + 1.65*Std. DeviationHere sample mean = 14%Std. Deviation = 21%Upper tail return is 14% + 1.65*21% = 48.65%This is a question about the behavior of the firms
