Level II

2016 年 CFA 二级模拟试卷

Questions1~6 relate to Code of Ethics ................................................................................... 2

Case 1: Theresa LeCompte..................................................................................................... 2
Questions7~12 relate to Quantitative analysis ....................................................................... 5
Case 2: Hamilton................................................................................................................... 5

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Last Name: First Name:

MOCK EXAM 64
No: Date:

Questions1~6 relate to Code of Ethics

Case 1: Theresa LeCompte
Theresa LeCompte, CFA, is an equity analyst for Topaz Group, a full-service financial firm that
offers insurance, investment banking, brokerage and investment management services through its
various divisions. Topaz has adopted the CFA Institute Research Objectivity Standards to
demonstrate their commitment to managing and fully disclosing conflicts of interest to all
investors with access to the firm's research.

LeCompte's primary responsibility is to follow the information technology sector for the firm's
research department that provides the research to Topaz clients and sells it to outside parties. She
is working on two follow-up reports for NanoMem and UniFlash. Topaz makes markets in both
companies' securities and LeCompte owns a small position in NanoMem only.

LeCompte has an excellent relationship with company officials at NanoMem, and her past
research reports made favorable recommendations regarding NanoMem. In appreciation for her
work on NanoMem, last December LeCompte was invited to attend a company-sponsored event
held at an exclusive beach resort overseas. NanoMem paid all expenses related to the trip and
provided some excellent entertainment activities for attendees. Prior to participating, LeCompte
disclosed the agenda for the trip to her supervisor at Topaz, but did not mention details concerning
expenses since they were not what she considered material. Shortly after LeCompte returned from
this trip, Topaz was named the lead underwriter for NanoMem's upcoming secondary offering.
LeCompte believes her excellent relationship with NanoMem played a large part in securing this
business.

LeCompte, however, considers her relationship with UniFlash to be contentious since company
officials appear reluctant to share as much information with her as they have in the past. She
believes this change in behavior is a direct result of her recent less-than-favorable reports she
wrote on UniFlash. Prior to publication of her follow-up reports on both NanoMem and UniFlash,
LeCompte shares her report on NanoMem in its entirety with top management at NanoMem.
UniFlash management on the other hand is provided only the factual information component of
LeCompte's UniFlash report.

LeCompte's compensation at Topaz includes an annual salary plus a bonus based on both the
accuracy of her recommendations over time and the overall profitability of the group. Topaz
makes public disclosure of the extent to which research analyst compensation in general is
dependent upon the firm's investment banking revenues, identifying the exact dollar amounts
moved from one unit to the other.

Following the release of her reports in early March, LeCompte is invited to appear on a television
program to discuss her recommendations. During her appearance, she makes the following

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statements:
Statement 1. My firm makes markets in the securities of both NanoMem and UniFlash, and I
personally own a position in NanoMem.

Statement 2. Although my report on UniFlash issued last quarter reflected a neutral rating, after
meeting with management yesterday, I now believe a sell rating is more appropriate. I am
finalizing an updated research report for UniFlash that I will release tomorrow.

When she returns to her office the following day, LeCompte is informed by her supervisor that a
company official at UniFlash called to express his disappointment and anger regarding the
negative remarks she made about UniFlash during her television appearance. LeCompte states she
believes her deteriorating relationship with UniFlash will make it difficult to effectively cover the
company in the future. Privately, she wonders if she should revise her recommendation, ask
permission of her supervisor to discontinue coverage of UniFlash, or request another analyst be
assigned to the company.

1. Before attending the company-sponsored event, which of the following actions is least
appropriate for LeCompte to take to avoid violating any CFA Institute Standards?
A. Decline the invitation.
B. Disclose the costs of attendance to her immediate supervisor.
C. Request her company pay costs related to her attendance.

2. In sharing her research material with the subject companies, LeCompte most likely violated
CFA Institute Research Objectivity Standards with respect to her report(s) on:
A. UniFlash.
B. Both NanoMem and UniFlash.
C. NanoMem.

3. Regarding LeCompte's compensation structure, is Topaz most likely in violation of CFA

Institute's Research Objectively Standards?
A. Yes, with respect to accuracy of analyst recommendations.
B. Yes, with respect to overall profitability of the group.
C. No.

4. According to the CFA Institute Research Objectivity Standards, does LeCompte's first
statement made during her television appearance most likely provide all the recommended
disclosures relating to potential conflicts of interest?
A. No, only with respect to NanoMem.
B. Yes.
C. No, only with respect to UniFlash.

5. Does LeCompte's second statement during her TV appearance most likely meet the CFA
Institute Research Objectivity Standards recommendations?
A. No, with regards to her inconsistent recommendations

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B. No, with regards to the timing of her updated research report
C. Yes

6. With respect to LeCompte's coverage of UniFlash, according to CFA Institute Standards, the
least appropriate course of action for Topaz to take would be to:
A. upgrade recommendation.
B. change assigned analyst.
C. discontinue coverage.

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Questions7~12 relate to Quantitative analysis
Case 2: Hamilton
Rhonda Hamilton manages the Select Electric Fund. Hamilton is reviewing a research report
written by her colleague Brian Ender about the U.S. electric utility industry. Ender’s report
includes the results of a regression of the monthly return for an electric utility equity index for the
previous 203 months (the dependent variable) against the monthly returns for the S&P 500 Index
and the difference between the monthly returns on long-term U.S. government bonds and
one-month U.S. Treasury bills (SPREAD) (the two independent variables).

Hamilton has reviewed Ender’s regression results. She agrees that the S&P 500 and SPREAD are
reasonable independent variables, but she is not convinced of the validity of Ender’s model. Using
Ender’s data, Hamilton tested for and confirmed the presence of conditional heteroskedasticity.
She then ran a regression similar to that run by Ender and corrected for conditional
heteroskedasticity using robust standard errors (i.e., Hansen’s method). Hamilton’s regression
model and relevant statistics are presented in Exhibit 1.

Exhibit 1
Hamilton’s Regression Model
Electric Utility Industry
Variable Coefficient t-statistic p-value
Constant 0.0069 0.013 0.99
S&P 500 0.3625 6.190 <0.01
SPREAD 1.0264 4.280 <0.01

R2 0.40
Durbin-Watson statistic 0.84
Correlation between SPREAD and S&P 500 0.30
Hamilton wants to test the null hypothesis that the coefficient on SPREAD is equal to 1 against
the alternative hypothesis that it is not equal to 1. She is also interested in how closely the S&P
500 predicts the electric utility index returns. Hamilton wants to use the regression results to
address both of these issues. Finally, she wants to determine whether the model has serial
correlation. Selected values of the t-distribution are shown in Exhibit 2.

Exhibit 2
Selected Values of the t-Distribution
(Degrees of Freedom = DF, one-tailed probabilities = p)
DF p = 0.05 p = 0.025
100 1.660 1.984
110 1.659 1.982
120 1.658 1.980
200 1.653 1.972
 1.645 1.960

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7. Given Hamilton’s finding regarding heteroskedasticity, the most appropriate conclusion is that
the variance of the error term is correlated with:
A. the independent variables only.
B. both the dependent and independent variables.
C. the dependent variable only.

8. If Hamilton assumes that the monthly value for SPREAD is 1.5% and the monthly value for
the S&P 500 is –1.0%, the predicted monthly return for the electric utility equity index is
closest to:
A. 1.17%.
B. 1.89%.
C. –0.49%.

9. Based on the results in Exhibit 1, the value of the test statistic relating to Hamilton’s null
hypothesis about the value of the coefficient on SPREAD is closest to:
A. 4.28.
B. 0.24.
C. 0.11.

10. Based on Exhibits 1 and 2, if the standard error of the coefficient is 0.055 and the degrees of
freedom is 200, the 95% confidence interval for the coefficient on the S&P 500 is closest to:
A. 0.27 to 0.46.
B. 0.25 to 0.47.
C. –1.61 to 2.33.

11. Given the information in Exhibit 1, Hamilton’s conclusion that multicollinearity is not a
problem, is most likely based on the observation that the:
A. correlation between the S&P 500 and SPREAD is low.
B. model F-value is high and the p-values for the S&P 500 and SPREAD are low.
C. model R2 is relatively low.

12. The most appropriate conclusion Hamilton can make about whether the model has serial
correlation is that the model errors appear to have:
A. no significant serial correlation.
B. positive serial correlation.
C. negative serial correlation.

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