2024年CFA一級(jí)真題匯編考試時(shí)間：______分鐘總分：______分姓名：______一、道德與專業(yè)標(biāo)準(zhǔn)1.Ananalystisevaluatingacompanyforinclusioninthefirm'sequityportfolio.Thecompany'sCEO,afriendoftheanalyst,recentlyofferedtheanalystasignificantdiscountonaluxuryvacationinexchangeforapositivestockrecommendation.Theanalyst'semployerhasapolicyprohibitingacceptinggiftsaboveacertainvalue.Whatshouldtheanalystdo?a.AcceptthevacationbecausetheCEOisafriend.b.Acceptthevacationbutdiscloseittotheportfoliomanager.c.Declinethevacationandrecuseherselffromtheanalysisandrecommendationprocess.d.Acceptthediscountifthevalueisbelowthefirm'spolicythreshold,asitisaminorbenefit.2.Aportfoliomanagerisconsideringincludingastockintheportfolio.Thecompanyrecentlymadealargecharitabledonationintheportfoliomanager'shometown.Theportfoliomanagerlearnsthatthedonationwasprimarilyaimedatgainingpositivepublicityratherthanbeingagenuineactofcorporatesocialresponsibility.Whatistheportfoliomanager'sethicalobligation?a.Investinthestocktosupportthelocalcommunity,despitethecompany'smotives.b.Avoidinvestinginthestockbecausethecharitableactwasinsincere.c.Investinthestockbutinformclientsaboutthecompany'slackofgenuinesocialresponsibility.d.Conductfurtherresearchtodetermineifthecompany'soverallbusinesspracticesareethicalbeforemakinganinvestmentdecision.3.Aninvestorisconsideringinvestinginahedgefund.Thehedgefund'sprospectusstatesthatitusesleverageandderivativestoachievehighreturns.Theinvestorisconcernedaboutthepotentialrisksassociatedwiththesestrategies.Whatshouldtheinvestordo?a.Investinthehedgefundiftheexpectedreturnjustifiestherisks.b.Declinetoinvestinthehedgefundbecausetheuseofleverageandderivativesisinherentlyrisky.c.Requestadditionalinformationfromthehedgefundaboutitsriskmanagementpracticesbeforeinvesting.d.Investinthehedgefundbecausetheprospectusdisclosuresatisfiestheinvestor'sduediligenceobligations.二、數(shù)量方法1.Aportfolioconsistsoftwoassets,AandB.AssetAhasanexpectedreturnof12%andastandarddeviationof15%.AssetBhasanexpectedreturnof8%andastandarddeviationof10%.Thecorrelationcoefficientbetweenthetwoassetsis0.4.Whatistheexpectedreturnandstandarddeviationofaportfoliothatinvests60%inAssetAand40%inAssetB?a.Expectedreturn=10.8%,Standarddeviation=12.6%b.Expectedreturn=10.8%,Standarddeviation=9.8%c.Expectedreturn=9.6%,Standarddeviation=12.6%d.Expectedreturn=9.6%,Standarddeviation=9.8%2.Aninvestorisconsideringaddinganewstocktoaportfolio.Thestockhasabetaof1.2,therisk-freerateis3%,andthemarketriskpremiumis5%.WhatistheexpectedreturnofthestockaccordingtotheCapitalAssetPricingModel(CAPM)?a.9.0%b.9.6%c.10.0%d.10.4%3.Ananalystisusingalinearregressionmodeltopredictacompany'sfutureearningsbasedonitspastearnings.Themodelisasfollows:Earnings(t+1)=0.8*Earnings(t)+10.Theanalystestimatesthecurrentearnings(Earnings(t))tobe$100million.Whatisthepredictedearningsforthenextperiod(Earnings(t+1))?a.$80millionb.$90millionc.$180milliond.$190million三、經(jīng)濟(jì)學(xué)1.SupposethedemandforagoodisrepresentedbytheequationQd=100-2P,andthesupplyofthegoodisrepresentedbytheequationQs=20+3P,whereQdisthequantitydemanded,Qsisthequantitysupplied,andPistheprice.Whatistheequilibriumpriceandquantityinthismarket?a.Equilibriumprice=$20,Equilibriumquantity=60b.Equilibriumprice=$25,Equilibriumquantity=50c.Equilibriumprice=$30,Equilibriumquantity=40d.Equilibriumprice=$35,Equilibriumquantity=302.Acountry'scentralbankdecidestoincreasethemoneysupply.Whatarethepotentialshort-termeffectsofthispolicy?a.Increasedinterestrates,decreasedinvestment,decreasedaggregatedemandb.Decreasedinterestrates,increasedinvestment,increasedaggregatedemandc.Increasedinterestrates,increasedinvestment,increasedaggregatedemandd.Decreasedinterestrates,decreasedinvestment,decreasedaggregatedemand3.Afirmisoperatinginaperfectlycompetitivemarket.Themarketpriceofthegoodis$10perunit.Thefirm'smarginalcostcurveisMC=2Q,whereQisthequantityproduced.Whatistheprofit-maximizingquantityofoutputforthefirm?a.2unitsb.5unitsc.10unitsd.20units四、財(cái)務(wù)報(bào)表分析1.Acompany'sincomestatementshowsthatitsnetincomefortheyearwas$100million.Thecompany'sdepreciationexpensefortheyearwas$20million.Whatisthecompany'soperatingcashflow?a.$80millionb.$100millionc.$120milliond.$200million2.Acompany'sbalancesheetshowsthatitstotalassetsare$500millionanditstotalliabilitiesare$300million.Whatisthecompany'sdebt-to-equityratio?a.0.6b.1.0c.1.5d.2.03.Ananalystisevaluatingacompany'sfinancialperformance.Thecompany'sreturnonassets(ROA)is8%,anditsdebt-to-equityratiois1.5.Whatisthecompany'sreturnonequity(ROE)?a.5.33%b.8.0%c.12.0%d.16.0%五、公司發(fā)行人1.Acompanyisconsideringinvestinginanewproject.Theprojectrequiresaninitialinvestmentof$1millionandisexpectedtogeneratecashinflowsof$300,000peryearforthenextfiveyears.Thecompany'scostofcapitalis10%.Whatisthenetpresentvalue(NPV)oftheproject?a.-$100,000b.$0c.$100,000d.$500,0002.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%,andthemarketriskpremiumis5%.Whatistherequiredrateofreturnonthecompany'sstockaccordingtotheCapitalAssetPricingModel(CAPM)?a.9.0%b.9.6%c.10.0%d.10.4%3.Acompanyisconsideringissuingnewdebttofinanceitsoperations.Whatarethepotentialadvantagesofusingdebtfinancing?a.Increasedfinancialleverage,taxshield,potentialforfinancialdistressb.Decreasedfinancialleverage,notaxshield,potentialforfinancialdistressc.Increasedfinancialleverage,notaxshield,nopotentialforfinancialdistressd.Decreasedfinancialleverage,taxshield,nopotentialforfinancialdistress六、權(quán)益投資1.Aninvestorisconsideringinvestinginacompany'sstock.Thecompany'sstockiscurrentlytradingat$50pershare,andtheinvestorexpectsthestocktoappreciateby10%overthenextyear.Thecompanyisexpectedtopayadividendof$2pershareattheendoftheyear.Whatistheexpectedtotalreturnontheinvestment?a.12.0%b.14.0%c.16.0%d.18.0%2.Ananalystisevaluatingacompany'sstockusingtheDividendDiscountModel(DDM).Thecompany'scurrentdividendis$2pershare,andtheanalystexpectsthedividendtogrowataconstantrateof5%peryear.Therequiredrateofreturnonthestockis10%.WhatistheintrinsicvalueofthestockaccordingtotheDDM?a.$20b.$25c.$30d.$353.Whataretheprimarydifferencesbetweencommonstockandpreferredstock?a.Commonstockcarriesvotingrights,whilepreferredstockdoesnot.Preferredstocktypicallyhasafixeddividendrate,whilecommonstockdoesnot.b.Commonstockdoesnotcarryvotingrights,whilepreferredstockdoes.Commonstocktypicallyhasafixeddividendrate,whilepreferredstockdoesnot.c.Commonstockcarriesvotingrights,whilepreferredstockdoesnot.Commonstocktypicallyhasafixeddividendrate,whilepreferredstockdoesnot.d.Commonstockdoesnotcarryvotingrights,whilepreferredstockdoes.Preferredstocktypicallyhasafixeddividendrate,whilecommonstockdoesnot.七、固定收益1.Abondhasafacevalueof$1,000andacouponrateof5%.Thebondmaturesin10years.Whatistheannualcouponpaymentonthebond?a.$50b.$100c.$150d.$2002.Abondiscurrentlytradingatadiscount.Whatdoesthisindicateaboutthebond'syieldtomaturitycomparedtoitscouponrate?a.Theyieldtomaturityisgreaterthanthecouponrate.b.Theyieldtomaturityisequaltothecouponrate.c.Theyieldtomaturityislessthanthecouponrate.d.Theyieldtomaturitycannotbedeterminedfromtheinformationgiven.3.Whatisthedurationofabond?a.Thetimeittakesforthebond'spricetodouble.b.Theweightedaveragetimeuntilthebond'scashflowsarereceived.c.Theinterestratesensitivityofthebond'sprice.d.Thebond'screditrating.八、衍生品1.Aninvestorisconcernedaboutthepotentialdeclineinthepriceofastock.Thestock'scurrentpriceis$100pershare.Theinvestorbuysaputoptionwithastrikepriceof$90andapremiumof$5pershare.Whatisthemaximumlosstheinvestorcouldincur?a.$5b.$90c.$95d.$1002.Acompanyisenteringintoaforwardcontracttobuy1,000barrelsofoilinthreemonths.Thecurrentspotpriceofoilis$50perbarrel.Whatisthevalueoftheforwardcontractattheendofonemonth,assumingthespotpriceofoilhasincreasedto$55perbarrel?a.$0b.$5,000c.$10,000d.$15,0003.Whatistheprimarypurposeofusingderivatives?a.Toincreasethepotentialreturnonaninvestmentportfolio.b.Toreducetheriskexposureofaninvestmentportfolio.c.Tospeculateonthefuturepricemovementsofanasset.d.Toincreasetheliquidityofanasset.九、另類投資1.Whataresomeexamplesofalternativeinvestments?a.Stocksandbondsb.Mutualfundsandexchange-tradedfundsc.Realestateandprivateequityd.Cashandcashequivalents2.Whataresomepotentialrisksassociatedwithinvestinginalternativeinvestments?a.Marketriskandcreditriskb.Liquidityriskandregulatoryriskc.Interestrateriskandinflationriskd.Systemicriskandcounterpartyrisk3.Whymightaninvestorchoosetoincludealternativeinvestmentsinadiversifiedportfolio?a.Alternativeinvestmentstypicallyhaveahighcorrelationwithtraditionalinvestments.b.Alternativeinvestmentscanprovideexposuretodifferentmarketsandinvestmentstrategies.c.Alternativeinvestmentsaregenerallyconsideredtobelow-riskinvestments.d.Alternativeinvestmentsaretypicallyonlysuitableforinvestorswithahighrisktolerance.試卷答案一、道德與專業(yè)標(biāo)準(zhǔn)1.c解析：根據(jù)CFA協(xié)會(huì)道德與專業(yè)標(biāo)準(zhǔn)，分析師不得接受可能影響其獨(dú)立性和客觀性的利益。在這種情況下，CEO提供的奢侈假期是為了換取股票推薦，構(gòu)成了明顯的利益沖突。分析師應(yīng)拒絕該假期，并從分析和推薦過程中撤出，以保持其獨(dú)立性。2.b解析：根據(jù)CFA協(xié)會(huì)道德與專業(yè)標(biāo)準(zhǔn)，會(huì)員和候選人必須誠(chéng)實(shí)守信。如果分析師發(fā)現(xiàn)公司做出的慈善捐贈(zèng)并非出于真誠(chéng)的社會(huì)責(zé)任感，而是為了獲得正面宣傳，這屬于不誠(chéng)實(shí)的行為。分析師有義務(wù)避免投資該股票，因?yàn)樵摴镜男袨椴环系赖聵?biāo)準(zhǔn)。3.c解析：根據(jù)CFA協(xié)會(huì)道德與專業(yè)標(biāo)準(zhǔn)，會(huì)員和候選人有責(zé)任進(jìn)行充分的盡職調(diào)查。投資者在考慮投資于使用杠桿和衍生品策略的對(duì)沖基金時(shí)，應(yīng)要求基金提供更多關(guān)于其風(fēng)險(xiǎn)管理實(shí)踐的信息。僅僅因?yàn)閜rospectus中有披露并不意味著滿足了盡職調(diào)查的義務(wù)，投資者需要更深入的了解。二、數(shù)量方法1.b解析：預(yù)期收益=0.6*12%+0.4*8%=10.8%。預(yù)期收益率的方差=0.6^2*15%^2+0.4^2*10%^2+2*0.6*0.4*15%*10%*0.4=0.01584。預(yù)期收益的標(biāo)準(zhǔn)差=sqrt(0.01584)=0.126，即12.6%?？偡讲?0.01584+0.6^2*(0.15-0.126)^2=0.01584+0.003844=0.019684?？倶?biāo)準(zhǔn)差=sqrt(0.019684)=0.14025，即14.025%。修正后，總方差=0.01584+0.4*(0.15^2-0.126^2)=0.01584+0.004684=0.020524?？倶?biāo)準(zhǔn)差=sqrt(0.020524)=0.1435，即14.35%。重新計(jì)算，預(yù)期收益=10.8%，預(yù)期收益率的方差=0.6^2*15%^2+0.4^2*10%^2+2*0.6*0.4*15%*10%*0.4=0.01584?？偡讲?0.01584+0.6^2*(0.15-0.126)^2=0.01584+0.003844=0.019684。總標(biāo)準(zhǔn)差=sqrt(0.019684)=0.14025，即14.025%。最終答案為b。2.b解析：根據(jù)CAPM模型，預(yù)期回報(bào)率=無風(fēng)險(xiǎn)利率+Beta*市場(chǎng)風(fēng)險(xiǎn)溢價(jià)=3%+1.2*5%=9.6%。3.b解析：根據(jù)線性回歸模型，下一期預(yù)測(cè)收益=0.8*當(dāng)前收益+10=0.8*100+10=90百萬美元。三、經(jīng)濟(jì)學(xué)1.b解析：令需求等于供給：100-2P=20+3P。解方程得：5P=80，P=16。將P=16代入需求或供給方程，得到Q=50。所以，均衡價(jià)格是$25，均衡數(shù)量是50。2.b解析：中央銀行增加貨幣供應(yīng)量，通常會(huì)降低利率。較低的利率會(huì)刺激投資，從而增加總需求。3.b解析：在完全競(jìng)爭(zhēng)市場(chǎng)中，利潤(rùn)最大化發(fā)生在邊際成本等于價(jià)格的地方。MC=2Q，P=10。所以，2Q=10，Q=5。利潤(rùn)最大化的產(chǎn)量是5單位。四、財(cái)務(wù)報(bào)表分析1.c解析：經(jīng)營(yíng)現(xiàn)金流量=凈收入+折舊=100+20=120百萬美元。2.c解析：總資產(chǎn)=總負(fù)債+股東權(quán)益。股東權(quán)益=500-300=200百萬美元。債務(wù)權(quán)益比=總負(fù)債/股東權(quán)益=300/200