2025年CFA考試真題解析考試時(shí)間：______分鐘總分：______分姓名：______考試時(shí)間：3小時(shí)請(qǐng)仔細(xì)閱讀所有題目，并根據(jù)題目要求作答。第一部分：選擇題1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Theportfoliocurrentlyconsistsof60%stockswithastandarddeviationof15%and40%bondswithastandarddeviationof5%.Thecorrelationcoefficientbetweenthestockandtheexistingportfoliois0.3.Whatistheexpectedreturnandstandarddeviationoftheportfolioafteraddingthisstock,assumingtheweightsremain60%stocksand40%bonds?2.Acompany'sstockiscurrentlytradingat$50pershare.Thecompanyisexpectedtopayadividendof$2persharenextyear,andtherequiredrateofreturnis10%.Usingtheconstantgrowthdividenddiscountmodel,whatistheimpliedgrowthrateofdividends?3.WhichofthefollowingstatementsabouttheEfficientMarketHypothesis(EMH)ismostaccurate?4.Aportfoliomanagerusesafactormodeltoexplainstockreturns.Themodelis:R_i=α_i+β_i*Mkt+γ_i*SML+ε_(tái)i.Whichofthefollowingtermsrepresentsthestock'ssensitivitytothemarketfactor?5.Whatisthedurationofabondwitha5-yearmaturity,an8%annualcouponrate,andayieldtomaturityof6%,assumingannualpayments?6.Aninvestorsellsacalloptionwithastrikepriceof$45forapremiumof$2.Theunderlyingstockiscurrentlytradingat$50.Whatistheinitialposition'sprofitorlossifthestockpriceatexpirationis$55?7.Whichofthefollowingisgenerallyconsideredahigherriskforabondissuer?8.Acompany'sequitybetais1.2.Therisk-freerateis3%andthemarketriskpremiumis5%.Whatistherequiredrateofreturnonthecompany'sequityaccordingtotheCapitalAssetPricingModel(CAPM)?9.Aninvestorisanalyzingtwostocks.StockAhasanexpectedreturnof14%andastandarddeviationof18%.StockBhasanexpectedreturnof10%andastandarddeviationof12%.WhichstockislikelytohaveahigherSharperatio,assumingthesamerisk-freerateandcorrelationwiththemarket?10.Whichofthefollowingtechniquesismostsuitableforvaluingacompanywithsignificantintangibleassets?第二部分：案例題CaseStudy1:InvestmentDecisionYouareaportfoliomanagerresponsiblefora$10millionportfolioinvestedprimarilyinpubliclytradedstocks.Theportfoliohasabetaof1.1andastandarddeviationof15%.Youareconsideringaddingasmall-captechnologycompany,TechCorp,totheportfolio.TechCorphasanexpectedreturnof25%,astandarddeviationof40%,andabetaof1.8.ThecorrelationcoefficientbetweenTechCorp'sreturnsandtheportfolio'sreturnsis0.4.Yourclienthasexpressedaconcernabouttheportfolio'svolatilityandwouldliketounderstandthepotentialimpactofaddingTechCorp.Additionally,yourfirm'sriskmanagementpolicylimitstheportfolio'sbetatonomorethan1.2.Required:a.CalculatetheexpectedreturnandstandarddeviationoftheportfolioafteraddingTechCorp,assumingyouinvest5%oftheportfolioinTechCorp.b.EvaluatetheimpactofaddingTechCorpontheportfolio'sbeta.Willitmeetthefirm'sriskmanagementpolicy?c.DiscussthepotentialbenefitsandrisksofaddingTechCorptotheportfolio,consideringyourclient'sconcernaboutvolatilityandthefirm'sriskconstraints.CaseStudy2:FixedIncomeAnalysisYouareafixedincomeanalystevaluatingacorporatebondissuedbyCompanyX.Thebondhasafacevalueof$1,000,acouponrateof6%,andamaturityof10years.Thebondiscurrentlytradingatapriceof$920.Theyieldtomaturity(YTM)iscalculatedtobe7%.ThecompanyhasacreditratingofBBB,andthebondisunsecured.Youhaveaccesstothecompany'sfinancialstatementsandhaveperformedacreditanalysis.Youhaveidentifiedthefollowingkeyfactorsthatcouldimpactthebond'svalue:*Interestrates:Thecurrentmarketinterestrateforsimilarbondsis6.5%.*Creditquality:Therehavebeenrecentrumorsofpotentialfinancialdifficultiesatthecompany.*Bondcovenants:Thebondhasacovenantthatrestrictsthecompany'sabilitytotakeonadditionaldebt.Required:a.Explaintherelationshipbetweenthebond'sprice,couponrate,yieldtomaturity,andtimetomaturity.b.Calculatethebond'scurrentyieldandyieldtocall(YTC)ifthecompanyisconsideringcallingthebondin5yearsatacallpriceof$1,050.c.Discussthepotentialimpactofthefactorsidentifiedaboveonthebond'svalueandyield.Whichfactorislikelytohavethemostsignificantimpact?d.Basedonyouranalysis,whatisyourrecommendationregardingtheinvestmentofthisbond?Providearationaleforyourrecommendation.第三部分：寫(xiě)作題EssayQuestion1:Theconceptofdiversificationisacornerstoneofmodernportfoliotheory.Discussthebenefitsofdiversificationforaninvestor'sportfolio.Explainhowcorrelationbetweenassetsaffectsthediversificationbenefits.Provideanexampleofhowdiversificationcanreduceportfoliorisk.EssayQuestion2:Theuseofleveragecanamplifybothreturnsandrisksforaninvestor.Discussthepotentialbenefitsandrisksofusingleverageinaportfolio.Explainhowleveragecanimpactaninvestor'srequiredrateofreturnandrisktolerance.Provideanexampleofasituationwheretheuseofleveragemightbeappropriateandasituationwhereitmightbeinappropriate.---考試結(jié)束試卷答案第一部分：選擇題1.ExpectedReturn=0.6*12%+0.4*10%=11.2%.NewPortfolioVariance=(0.6^2*15%^2)+(0.4^2*5%^2)+(2*0.6*0.4*15%*5%*0.3)=0.011025+0.004+0.00108=0.016105.NewPortfolioStandardDeviation=sqrt(0.016105)≈12.69%.2.P0=D1/(r-g)=>50=2/(0.10-g)=>g=0.10-2/50=0.06=6%.3.TheweakformoftheEMHstatesthatpastpricemovementscannotbeusedtopredictfuturemovements.Iftheweakformisfalse,technicalanalysiscouldgenerateabnormalreturns.Thestrongformsuggeststhatallpublicinformationisreflectedinprices,makingfundamentalanalysisimpossible.Ifthestrongformisfalse,insiderinformationcouldgenerateabnormalreturns.Thesemi-strongformsuggeststhatpublicinformationisreflectedinpricesquickly,makingfundamentalanalysisdifficultbutnotimpossible.Ifthesemi-strongformisfalse,analyzingfinancialstatementscouldgenerateabnormalreturns.Mostempiricalevidencesupportsthesemi-strongform.4.β_irepresentsthestock'ssensitivity(orbeta)tothemarketfactor(Mkt).5.Usingafinancialcalculatororspreadsheet,theMacaulaydurationisapproximately7.36years.6.Theinitialpositionisshortthecalloption.Profit/Loss=Max(0,K-S_T)-Premium=Max(0,45-55)-2=0-2=-$2(alossof$2pershare).7.Refundingriskistheriskthatabondissuerwillcallabondwheninterestrateshavefallen,andtheycanissuenewdebtatalowerrate.Thisisgenerallyconsideredahigherriskfortheissueriftheyareforcedtorefinanceatahigherrate.8.RequiredReturn=R_f+β*(R_m-R_f)=3%+1.2*(5%)=3%+6%=9%.9.StockAhasahigherexpectedreturnandalsoahigherstandarddeviation.TodeterminewhichhasahigherSharperatio(SharpeRatio=(R_p-R_f)/σ_p),weneedtherisk-freerate(R_f).AssumingR_fisthesameforboth,thestockwiththehigherrisk-freerateminusstandarddeviationratiowillhavethehigherSharperatio.WithouttheexactR_f,wecannotdefinitivelystatewhichhasahigherSharperatio,butStockAhasthepotentialforahigherratiogivenitshigherexpectedreturnandslightlylowervolatilityrelativetoitsexpectedreturncomparedtoStockB.10.DiscountedCashFlow(DCF)analysisisgenerallymostsuitableforvaluingacompanywithsignificantintangibleassets,asitcanincorporatethepresentvalueofexpectedfuturecashflowsgeneratedbythoseassets.第二部分：案例題CaseStudy1:InvestmentDecisiona.ExpectedReturn=0.95*11.2%+0.05*25%=11.94%.PortfolioVariance=(0.6^2*15%^2)+(0.35^2*15%^2)+(0.15^2*40%^2)+(2*0.6*0.35*15%*15%*0.3)+(2*0.6*0.15*15%*40%*0.4)=0.0135+0.018975+0.0189+0.00189+0.00324=0.055515.NewPortfolioStandardDeviation=sqrt(0.055515)≈23.54%.b.NewPortfolioBeta=0.6*1.1+0.4*1.8=1.32.Since1.32>1.2,addingTechCorpwouldexceedthefirm'sbetalimit.c.Benefits:AddingTechCorpcouldpotentiallyincreasetheportfolio'sexpectedreturnduetoitshigherexpectedreturn.Itslowcorrelationwiththeexistingportfoliocouldalsodiversifytheportfolioandreduceitsoverallvolatility.Risks:Thestockhasahighbeta(1.8)andhighvolatility(40%),whichcouldsignificantlyincreasetheportfolio'sriskandpotentiallyleadtolargerlosses.Itslowcorrelationmightnotbesufficienttooffsetitshighrisk.Giventheclient'sconcernaboutvolatilityandthefirm'sbetaconstraint,addingthisstockappearsriskyandinadvisable.CaseStudy2:FixedIncomeAnalysisa.Thebond'spriceisinverselyrelatedtoitsyieldtomaturity.Astheyieldtomaturityincreases,thepresentvalueofthebond'sfuturecashflowsdecreases,andthebond'spricefalls.Thepriceisdirectlyrelatedtothecouponrate.Ahighercouponrateincreasesthepresentvalueofthecashflows,leadingtoahigherprice.Thepriceisdirectlyrelatedtotimetomaturity.Forapremiumbond(price>par),asmaturitydecreases,thepricetendstodecreasetowardsparvalue.Foradiscountbond(price<par),asmaturitydecreases,thepricetendstoincreasetowardsparvalue.b.CurrentYield=(AnnualCoupon/MarketPrice)=(0.08*1000/920)≈8.70%.YieldtoCall(YTC)=[(AnnualCoupon+(CallPrice-MarketPrice)/YearstoCall)/((CallPrice+MarketPrice)/2)]=[(80+(1050-920)/5)/((1050+920)/2)]=[(80+38)/987.5]=[118/987.5]≈0.1195or11.95%.c.Interestrates:AriseinmarketinterestrateswouldincreasetheYTMforthebond,decreasingitsvalue.SincethecurrentYTM(7%)ishigherthanthecouponrate(8%),thebondistradingatadiscount.Ifratesfallfurther,thebond'spricewouldincrease,butitisalreadybelowpar.Creditquality:Negativerumorssuggestingfinancialdifficultieswouldincreasetheperceivedriskofdefault,leadinginvestorstodemandahigheryield,whichwoulddecreasethebond'sprice.Thisfactorislikelythemostsignificant,asdefaultriskdirectlyimpactsthesafetyofprincipalandinterestpayments.Bondcovenants:Therestrictivecovenantlimitsthecompany'sleverageandpotentialfordefault,whichwouldgenerallybepositiveforbondholdersandsupportthebond'svalue.However,itsimpactmightbelesssignificantthantheoverallcreditqualityconcerns.d.Recommendation:Therecommendationdependsontheinvestor'srisktoleranceandviewonthecompany'screditworthiness.Giventhecurrentyieldtomaturity(7%)ishigherthanthecouponrate(8%),thebondisofferingayieldpremium.However,thenegativecreditrumorsareasignificantconcernandsuggestpotentialfuturecreditspreadwidening.Iftheinvestorhasahighrisktoleranceandiswillingtopotentiallyacceptfurtherpricedeclinesforthepotentialofhigheryields,theymightconsidertheinvestment,especiallyiftheybelievetherumorsareunfoundedortheYTCisattractive.Iftheinvestorisrisk-averseorbelievesthecreditconcernsareserious,theyshouldlikelyavoidinvestinginthisbondduetothepotentialfordefaultandpricevolatility.第三部分：寫(xiě)作題EssayQuestion1:Diversificationisthestrategyofspreadinginvestmentsacrossvariousfinancialinstruments,industries,andothercategoriestoreducerisk.Itsprimarybenefitisriskreduction,specificallyunsystematicrisk(specificcompanyorindustryrisk),withoutnecessarilysacrificingexpectedreturn.Unsystematicriskcanbeeliminatedbyholdingasufficientlydiversifiedportfolio.Thebenefitsofdiversificationaremaximizedwhentheassetsintheportfolioarenotperfectlypositivelycorrelated;thatis,whenthereturnsoftheassetsdonotmoveinperfectunison.Alowercorrelationmeansthatwhenoneassetperformspoorly,anothermayperformwell,offsettingthelosses.Forexample,consideraportfolioconsistingofstocksfromdifferentsectors(technology,healthcare,consumergoods).Ifthetechnologysectorexperiencesadownturn,theperformanceofthehealthcareandconsumergoodsstocksmightholdupbetter,reducingtheoverallportfoliodecline.Modernportfoliotheorysuggeststhatinvestorscanachievethelowestpossibleriskforagivenlevelofexpectedreturnbydiversifyingtheirinvestmentsacrossuncorrelatedassets.EssayQuestion2:Leveragereferstotheuseofborrowedfundsorfinancialinstruments(likederivatives)toincreasethepotentialreturnofaninvestment.Theuseofleverageofferspotentialbenefits,primarilytheamplificationofreturns.Ifaninvestment'sreturnispositive,leveragemagnifiesthegaincomparedtoanunleveragedinvestment.Forexample,ifaninvestoruses$100oftheirowncapital(100%leverage)andborrowsanadditional$100toinvestinanassetexpectedtoreturn20%,thetotalgainis$20.Thereturnontheinvestor'sowncapitalis