2025年CFA二級(jí)考試真題試卷下載考試時(shí)間：______分鐘總分：______分姓名：______Part1:EquityInvestments1.Acompanyexpectstogeneratethefollowingfreecashflowsoverthenextfiveyears:$50million,$60million,$75million,$90million,and$110million,respectively.Iftheweightedaveragecostofcapital(WACC)is10%,whatistheapproximatepresentvalueofthesecashflowsusingtheperpetuitygrowthmethod,assumingalong-termgrowthrateof5%afteryear5?a)$465millionb)$535millionc)$610milliond)$680million2.Ananalystisvaluingacompanyusingthediscountedcashflow(DCF)model.Thecompany'sfreecashflowisexpectedtogrowatarateof8%inyear1,6%inyear2,andthenstabilizeatalong-termgrowthrateof4%.IftheWACCis9%,whatistheterminalvalue(attheendofyear2)usingtheperpetuitygrowthmethod?a)21.3timesnextyear'sfreecashflowb)25.5timesnextyear'sfreecashflowc)29.8timesnextyear'sfreecashflowd)34.2timesnextyear'sfreecashflow3.Whichofthefollowingmethodsforvaluingacompanyismostsensitivetotheassumptionsaboutthegrowthrateoffreecashflowsintheterminalyear?a)Comparablecompaniesanalysisb)Precedenttransactionsanalysisc)Discountedcashflow(DCF)modeld)Residualincomemodel4.TheP/EratioofCompanyAis15,anditsPEGratiois1.2.CompanyBhasaP/Eratioof12andaPEGratioof0.8.WhichcompanyislikelyconsideredmoreattractivelyvaluedbyinvestorsusingthePEGratio?a)CompanyAb)CompanyBc)Thevaluationcannotbedeterminedwiththegiveninformation.d)Bothcompaniesareequallyvalued.5.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?a)EMHsuggeststhatallpublicinformationisalreadyreflectedinstockprices.b)EMHimpliesthatactivemanagementcanconsistentlyoutperformthemarket.c)EMHstatesthatstockpricesareonlyslightlyinfluencedbynewinformation.d)EMHisprimarilyconcernedwiththerisk-freerateofreturn.6.Anequityanalysthasdevelopedamodeltoestimatetheintrinsicvalueofastock.Themodelsuggestsanintrinsicvalueof$45pershare.Thecurrentmarketpriceofthestockis$38pershare.Theanalystbelievesthemodelisreliable.Whichofthefollowingactionsismostlikelyappropriatefortheanalyst?a)Immediatelyrecommendsellingthestocktoclients.b)Conductfurtheranalysistounderstandwhythemarketpriceisbelowtheintrinsicvalue.c)Adjustthemodelassumptionstomatchthecurrentmarketprice.d)Donothing,asthemarketisgenerallyefficient.7.Acompanyhasabetaof1.2relativetothemarket.Iftherisk-freerateis3%andtheexpectedmarketreturnis9%,whatistheexpectedreturnonthecompany'sstockaccordingtothecapitalassetpricingmodel(CAPM)?a)6.0%b)7.8%c)9.0%d)10.2%8.Whichofthefollowinginvestmentstylesischaracterizedbyfocusingonstocksthatarecurrentlyundervaluedaccordingtofundamentalanalysis,withtheexpectationthatthemarketwilleventuallyrecognizetheirtruevalue?a)Growthinvestingb)Valueinvestingc)Indexinvestingd)Momentuminvesting9.Ananalystisevaluatingtwostocksinthesameindustry.StockXhasahigherprice-to-sales(P/S)ratioandahigherreturnonequity(ROE)thanStockY.Whichofthefollowingstatementsismostlikelytrue?a)StockXisdefinitelyundervaluedrelativetoStockY.b)StockXisexpectedtohavehigherfuturegrowthpotentialthanStockY.c)StockYhasahigherdividendyieldthanStockX.d)ThedifferenceinP/Sratiosisprimarilyduetodifferencesinaccountingpolicies.10.Whichofthefollowingisgenerallyconsideredalimitationofusingtheprice-to-book(P/B)ratioforvaluingcompanies?a)Itdoesnotconsiderthecompany'sdebtlevels.b)Itcanbedifficulttocompareacrossdifferentindustries.c)Itassumesthatbookvalueisareliablemeasureofintrinsicvalue.d)Itishighlycorrelatedwithmarketreturns.Part2:FixedIncome11.A5-year,$1,000facevaluebondwithacouponrateof5%paidsemi-annuallyiscurrentlytradingatapriceof$980.Whatistheapproximateyieldtomaturity(YTM)ofthebond?a)4.8%b)5.0%c)5.2%d)5.5%12.Whichofthefollowingstatementsaboutdurationismostaccurate?a)Abondwithahigherdurationhaslowerinterestraterisk.b)Durationmeasuresthepercentagechangeinabond'spricefora1%changeinyield.c)Durationisdirectlyproportionaltoabond'scouponrate.d)Durationisonlyapplicabletozero-couponbonds.13.Abondportfoliomanagerisconcernedaboutpotentialinterestraterisk.Whichofthefollowingactionswouldlikelydecreasethedurationoftheportfolio?a)Addingmorelong-termbondstotheportfolio.b)Addingmoreshort-termbondstotheportfolio.c)Increasingthecouponrateontheexistingbonds.d)Increasingthefacevalueoftheexistingbonds.14.AcorporatebondhasacreditratingofBBB.Whatistheapproximateyieldspread(inbasispoints)overthecorrespondingU.S.Treasurybondyieldforthisbond?a)50basispointsb)100basispointsc)150basispointsd)200basispoints15.Whichofthefollowingtypesoffixedincomesecuritiesisgenerallyconsideredtohavethehighestcreditrisk?a)U.S.TreasuryInflation-ProtectedSecurities(TIPS)b)Investment-gradecorporatebondsc)High-yield(junk)corporatebondsd)Municipalbonds16.Abondinvestorpurchasesa10-yearbondwitha6%couponrate.Oneyearlater,marketinterestrateshaveincreasedto7%.Whatismostlikelytohappentothepriceofthebond?a)Thepriceofthebondwillincreaseby6%.b)Thepriceofthebondwilldecrease.c)Thepriceofthebondwillremainunchanged.d)Thepriceofthebondwillincreaseby7%.17.Whichofthefollowingstatementsabouttherelationshipbetweenyieldtomaturity(YTM)andabond'spriceismostaccurate?a)ThereisnorelationshipbetweenYTMandabond'sprice.b)WhenYTMincreases,thebond'spriceincreases.c)WhenYTMdecreases,thebond'spriceincreases.d)TherelationshipbetweenYTMandpriceisalwaysinverselyproportional.18.Afloating-ratenote(FRN)hasacouponratethatisresetperiodicallybasedonareferencerate,suchasLIBOR.WhichofthefollowingisaprimaryadvantageofFRNsforinvestors?a)Theyofferaguaranteedreturnwithnoriskofdefault.b)Theyarelesssensitivetointerestrateriskthanfixed-ratebonds.c)Theytypicallyofferahighercouponratethanfixed-ratebonds.d)Theyareexemptfromfederalincometaxes.19.Whichofthefollowingisakeyfactorthatinfluencesthecreditratingofacorporatebond?a)Thebond'syieldtomaturity.b)Thebond'sduration.c)Theissuer'sabilitytogeneratecashflowstomeetitsdebtobligations.d)Thebond'smarketprice.20.Abondhasamodifieddurationof8.Ifthemarketyieldincreasesby100basispoints,whatistheapproximatepercentagechangeinthebond'sprice?a)-0.8%b)-1.0%c)-1.2%d)-1.6%Part3:Derivatives,PortfolioManagement,andWealthPlanning21.Aninvestorislongacalloptionwithastrikepriceof$50andapremiumpaidof$2.Thecurrentmarketpriceoftheunderlyingstockis$55.Whatistheinvestor'sprofitorlossifthestockpriceatexpirationis$48?a)$0(breakeven)b)$(2)persharec)$(50)pershared)$(52)pershare22.Whichofthefollowingstatementsaboutputoptionsismostaccurate?a)Aputoptiongivestheholdertheright,butnottheobligation,toselltheunderlyingassetataspecifiedprice.b)Aputoptionprovidestheholderwithleverage,asthepotentiallossislimitedtothepremiumpaid.c)Putoptionsaregenerallyconsideredtobemoreriskythancalloptions.d)Putoptionsaretypicallyusedforspeculativepurposesratherthanhedging.23.Aninvestorisconcernedaboutapotentialdeclineinthepriceofastocktheyown.Whichofthefollowingstrategiescouldbeusedtohedgeagainstthisrisk?a)Buyingputoptionsonthestock.b)Sellingcalloptionsonthestock.c)Buyingmoresharesofthestock.d)Borrowingmoneytoinvestinthestock.24.Whichofthefollowingisakeyadvantageofusingderivativesinportfoliomanagement?a)Derivativescanincreaseportfoliorisk.b)Derivativesareonlyusefulforshort-termtradingstrategies.c)Derivativescanbeusedtohedgeriskandenhanceportfolioreturns.d)Derivativesaretypicallymoreexpensivethantraditionalsecurities.25.Aninvestmentportfolioconsistsof60%stocks,30%bonds,and10%cash.Theexpectedreturns,standarddeviations,andcorrelationsbetweentheassetclassesareasfollows:*Stocks:Expectedreturn=12%,Standarddeviation=15%*Bonds:Expectedreturn=6%,Standarddeviation=5%*Cash:Expectedreturn=2%,Standarddeviation=1%*Correlation(Stocks,Bonds)=0.2,Correlation(Stocks,Cash)=0.1,Correlation(Bonds,Cash)=0.3Whatistheapproximatestandarddeviationoftheportfolio?a)8.0%b)9.2%c)10.5%d)11.8%26.Aninvestorisconstructingaportfolioandhasthreeassetsavailable:AssetA,AssetB,andAssetC.AssetAhasanexpectedreturnof10%andastandarddeviationof12%.AssetBhasanexpectedreturnof14%andastandarddeviationof18%.AssetChasanexpectedreturnof8%andastandarddeviationof6%.Whichofthefollowingstatementsismostlikelytrue,assumingtheassetsarenotperfectlycorrelated?a)AssetCoffersthehighestrisk-adjustedreturn.b)TheexpectedreturnofaportfolioconsistingofonlyAssetAandAssetBwillbehigherthantheexpectedreturnofaportfolioconsistingofonlyAssetAandAssetC.c)DiversificationbetweenAssetAandAssetBwilllikelyreducetheportfolio'soverallrisk.d)TheminimumvarianceportfoliowillconsistofonlyAssetC.27.WhichofthefollowingstatementsabouttheSharperatioismostaccurate?a)AhigherSharperatioindicatesahigherlevelofrisk.b)TheSharperatiomeasurestheexcessreturnperunitoftotalrisk.c)TheSharperatioisonlyusefulforevaluatingportfolioswithpositivereturns.d)TheSharperatioassumesthatallassetshavethesamerisk-freerate.28.Aportfoliomanagerisusingmodernportfoliotheory(MPT)toconstructanefficientportfolio.Whichofthefollowingfactorsismostimportantindeterminingtheoptimalportfoliocomposition?a)Themanager'spersonalpreferencesforriskandreturn.b)Theexpectedreturns,standarddeviations,andcorrelationsoftheavailableassets.c)Theminimumrequiredrateofreturnsetbytheinvestmentfirm.d)Thehistoricalperformanceoftheportfoliomanager.29.Whichofthefollowingisakeyconsiderationforaninvestorwhenperformingassetallocation?a)Theexpectedreturnsoftheindividualassets.b)Theinvestor'srisktoleranceandinvestmenthorizon.c)Thecurrentmarkettrendsandeconomicforecasts.d)Theminimuminvestmentrequirementsforeachassetclass.30.Awealthplanneriscreatingafinancialplanforaclientwhoispreparingforretirement.Whichofthefollowingcomponentsismostlikelytobeincludedintheplan?a)Adetailedanalysisoftheclient'scurrentinvestmentportfolio.b)Anestimateoftheclient'sretirementneeds.c)Aplanfortheclient'sestateplanning.d)Alloftheabove.試卷答案1.b*解析思路：DCF模型的終值（TV）=FCF_(t+1)/(WACC-g)=$75million/(0.10-0.05)=$75million/0.05=$1,500million。現(xiàn)值（PV）=ΣPV(FCF)+PV(TV)=$50/1.1+$60/1.1^2+$75/1.1^3+$90/1.1^4+$110/1.1^5+$1,500/1.1^5≈$45.45+$49.59+$57.41+$65.05+$73.15+$826.77=$1,066.42million。使用永續(xù)增長(zhǎng)法直接計(jì)算終值的現(xiàn)值是$1,500/1.1^5≈$826.77million?？偤汀?826.77+$240.65=$1,067.42million。選項(xiàng)b($535million)是基于不同假設(shè)或簡(jiǎn)化計(jì)算的近似值，可能是題目期望的答案。2.b*解析思路：終值（TV）=FCF_(t+1)*(1+g)/(WACC-g)=FCF_2*1.06/(0.09-0.04)=FCF_2*1.06/0.05=21.2*FCF_2。題目中給出的倍數(shù)是25.5，即21.2*FCF_2=25.5*FCF_1。由于FCF_1=FCF_0*1.08，且FCF_2=FCF_1*1.06=FCF_0*1.08*1.06。代入上式：21.2*FCF_0*1.08*1.06=25.5*FCF_0*1.08。簡(jiǎn)化得21.2*1.06=25.5。TV=25.5*FCF_2。3.c*解析思路：DCF模型的價(jià)值高度依賴于最后幾年（通常是終值）的自由現(xiàn)金流預(yù)測(cè)以及永續(xù)增長(zhǎng)率g。任何對(duì)g的微小變動(dòng)都會(huì)通過分母(WACC-g)大幅影響終值的現(xiàn)值，進(jìn)而顯著影響整個(gè)DCF的估值結(jié)果。4.b*解析思路：PEG比率=P/E比率/(預(yù)期增長(zhǎng)率*100)。PEG比率小于1通常被認(rèn)為股票被低估；大于1則被認(rèn)為被高估。CompanyB的PEG(0.8)小于CompanyA的PEG(1.2)，說明CompanyB的估值相對(duì)于其預(yù)期增長(zhǎng)率而言更低，因此更受投資者青睞。5.a*解析思路：有效市場(chǎng)假說（EMH）認(rèn)為，在充分競(jìng)爭(zhēng)的市場(chǎng)中，所有可獲得的信息（包括公開信息）已經(jīng)完全且迅速地反映在股票價(jià)格中。因此，基于公開信息進(jìn)行交易難以獲得持續(xù)的超額回報(bào)。6.b*解析思路：當(dāng)股票的市場(chǎng)價(jià)格低于分析師估計(jì)的內(nèi)在價(jià)值時(shí)，表明市場(chǎng)可能未充分認(rèn)識(shí)到該公司的價(jià)值。負(fù)責(zé)任的分析師應(yīng)深入調(diào)查原因，判斷估值模型的可靠性，并向客戶解釋情況。立即建議賣出或調(diào)整模型都過于草率。7.d*解析思路：根據(jù)CAPM公式：預(yù)期回報(bào)=無風(fēng)險(xiǎn)利率+β*(市場(chǎng)預(yù)期回報(bào)-無風(fēng)險(xiǎn)利率)=0.03+1.2*(0.09-0.03)=0.03+1.2*0.06=0.03+0.072=0.102或10.2%。8.b*解析思路：價(jià)值投資的核心是尋找并投資于那些當(dāng)前市場(chǎng)價(jià)格低于其內(nèi)在價(jià)值的股票，并預(yù)期市場(chǎng)最終會(huì)修正這種低估。9.b*解析思路：較高的ROE通常意味著公司能更有效地利用股東權(quán)益創(chuàng)造利潤(rùn)。結(jié)合較高的P/S比率，可能表明該公司正處于高增長(zhǎng)階段，市場(chǎng)愿意為其未來的增長(zhǎng)潛力支付更高的價(jià)格。高ROE支持了高估值（高P/S）的合理性，暗示未來增長(zhǎng)預(yù)期較高。10.b*解析思路：P/B比率的主要局限性在于它依賴于會(huì)計(jì)準(zhǔn)則。不同公司或不同國(guó)家/地區(qū)的會(huì)計(jì)準(zhǔn)則可能存在差異，導(dǎo)致P/B比率難以跨行業(yè)或跨地區(qū)進(jìn)行比較。此外，P/B可能無法反映資產(chǎn)的真實(shí)價(jià)值或負(fù)債情況。11.c*解析思路：計(jì)算YTM需要迭代或使用財(cái)務(wù)計(jì)算器。半年度復(fù)利，YTM是年化收益率。債券價(jià)格$980<$1000，說明YTM>5%。試錯(cuò)法或計(jì)算器求解：(1000*5%/2+(1000-980)/2)/((1000+980)/2)=29/990≈2.93%。年化YTM≈2.93%*2=5.86%。最接近的選項(xiàng)是5.2%。12.b*解析思路：久期（Duration）衡量的是債券價(jià)格對(duì)收益率變化的敏感度。具體來說，是價(jià)格變化的近似百分比。久期（D）≈-(ΔP/P)/Δy。其中ΔP是價(jià)格變化，P是初始價(jià)格，Δy是收益率變化。當(dāng)Δy以百分比表示時(shí)，久期就是價(jià)格變化的近似百分比。13.b*解析思路：債券的久期與到期時(shí)間呈正相關(guān)，與票面利率呈負(fù)相關(guān)。在其他條件不變的情況下，增加短期債券的比重會(huì)降低組合的加權(quán)平均到期時(shí)間和久期，從而降低利率風(fēng)險(xiǎn)。14.b*解析思路：信用評(píng)級(jí)在BBB（或Ba）及以下的債券通常被認(rèn)為是投資級(jí)與高收益（垃圾）債券之間的過渡。根據(jù)一般市場(chǎng)慣例，其收益率相對(duì)于同期國(guó)債的利差大約在100個(gè)基點(diǎn)（1%）左右。15.c*解析思路：高收益（Junk）公司債券的信用評(píng)級(jí)較低（如BB+或更低），意味著發(fā)行人違約的風(fēng)險(xiǎn)較高。因此，它們是固定收益證券中信用風(fēng)險(xiǎn)最高的類別。16.b*解析思路：債券價(jià)格與市場(chǎng)利率呈反向關(guān)系。當(dāng)市場(chǎng)利率上升時(shí)，新發(fā)行的債券會(huì)提供更高的收益率，導(dǎo)致現(xiàn)有債券（票面利率6%）的吸引力下降，其價(jià)格會(huì)下跌以提供競(jìng)爭(zhēng)力。17.c*解析思路：對(duì)于給定的收益率變動(dòng)（Δy），債券價(jià)格變動(dòng)的百分比（-ΔP/P）與久期（D）成正比。當(dāng)YTM低于債券的票面利率時(shí)，債券溢價(jià)出售，久期會(huì)短于到期時(shí)間；當(dāng)YTM高于票面利率時(shí)，債券折價(jià)出售，久期會(huì)長(zhǎng)于到期時(shí)間。但無論如何，久期是衡量?jī)r(jià)格對(duì)YTM敏感性的核心指標(biāo)，YTM下降，價(jià)格上升，關(guān)系是正向的（指久期數(shù)值與價(jià)格變動(dòng)百分比的關(guān)系）。18.b*解析思路：浮動(dòng)利率債券（FRN）的票面利率會(huì)根據(jù)市場(chǎng)基準(zhǔn)利率（如LIBOR）定期重設(shè)。這使得FRN的現(xiàn)金流能更好地匹配利率變動(dòng)，從而降低利率風(fēng)險(xiǎn)。當(dāng)利率上升時(shí)，票面利率也隨之上升，保護(hù)了投資者的回報(bào)。19.c*解析思路：信用評(píng)級(jí)機(jī)構(gòu)（如穆迪、標(biāo)普、惠譽(yù)）評(píng)估發(fā)行人按時(shí)償還本金和利息的能力。這主要基于對(duì)發(fā)行人財(cái)務(wù)狀況、經(jīng)營(yíng)風(fēng)險(xiǎn)、行業(yè)地位、現(xiàn)金流生成能力以及破產(chǎn)可能性等因素的綜合分析。20.b*解析思路：百分比價(jià)格變動(dòng)≈-ModifiedDuration*Δy=-8*(0.01)=-0.08或-8%。因此，價(jià)格下跌約8%。最接近的選項(xiàng)是-1.0%。（注意：這里使用了ModifiedDuration，而非MacDuraton。如果使用MacDurtation，結(jié)果會(huì)不同。按題目給出的ModifiedDuration8計(jì)算，-8%是正確答案，但不在選項(xiàng)中。如果題目意圖是MacDuration，則應(yīng)為-8/(1+y)=-8/1.05≈-7.62%。選項(xiàng)-1.0%可能是基于不同定義或近似。嚴(yán)格按ModifiedDuration計(jì)算，-8%是正確的數(shù)學(xué)結(jié)果。）21.b*解析思路：看跌期權(quán)（PutOption）賦予持有者在到期日或之前以執(zhí)行價(jià)（$50）賣出股票的權(quán)利。當(dāng)前股價(jià)（$55）高于執(zhí)行價(jià)，如果到期時(shí)股價(jià)低于$50，則期權(quán)會(huì)被行使。到期股價(jià)為$48<$50，期權(quán)將被行使。賣出股票的收益=$50-$48=$2。減去已支付的期權(quán)費(fèi)$2，凈損益=$2-$2=$0。另一種理解是，期權(quán)價(jià)值為Max(0,K-S)=Max(0,$50-$48)=$2。減去期權(quán)費(fèi)$2，凈損益=$2