2025年CFA二級英文真題集考試時間：______分鐘總分：______分姓名：______Section1:MultipleChoiceQuestions1.Aninvestmentmanagerisevaluatingtwopotentialinvestments.Bothinvestmentshaveanexpectedreturnof12%andastandarddeviationof20%.InvestmentAhasabetaof1.2,whileInvestmentBhasabetaof0.8.Whichofthefollowingstatementsismostlikelyaccurate?A.InvestmentAoffershigherpotentialupsidebutalsohigherdownsideriskcomparedtoInvestmentB.B.InvestmentBislikelytobelesssensitivetomarketmovementsthanInvestmentA.C.Theexpectedreturnsofbothinvestmentsareidentical,buttheirriskprofilesdifferbasedonmarketcorrelation.D.InvestmentAisundervaluedaccordingtotheCapitalAssetPricingModel(CAPM)iftherisk-freerateis3%andthemarketreturnis10%.2.Acompanyisexpectedtopayadividendof$2persharenextyear.Thedividendisexpectedtogrowataconstantrateof5%peryearindefinitely.Iftherequiredrateofreturnonthestockis10%,whatistheestimatedvalueofthestocktoday?A.$40.00B.$42.00C.$45.00D.$50.003.Ananalystisvaluingacompanyusingthetwo-stagedividenddiscountmodel.Thecompanyisexpectedtopayadividendof$1.00thisyear,withdividendsgrowingatahighrateof15%forthenextthreeyears.Afterthreeyears,dividendsareexpectedtogrowataconstantrateof5%indefinitely.Therequiredrateofreturnis9%.Whatistheestimatedintrinsicvalueofthestocktoday?A.$18.00B.$20.00C.$22.00D.$25.004.Aportfolioconsistsof60%stocksand40%bonds.Theexpectedreturnandstandarddeviationofthestocksare15%and25%,respectively.Theexpectedreturnandstandarddeviationofthebondsare5%and10%,respectively.Thecorrelationcoefficientbetweenthereturnsofstocksandbondsis0.2.Whatistheapproximateexpectedreturnoftheportfolio?A.9.00%B.10.50%C.11.00%D.12.00%5.Whichofthefollowingmethodsismostappropriateforvaluingacompanythatownsalargeportfolioofrealestateassets?A.DiscountedCashFlow(DCF)analysisusingfreecashflowstoequity.B.ComparableCompanyAnalysisusingmultiplesfromsimilarcompaniesintherealestatesector.C.Sum-of-the-Parts(SOTP)valuationbyvaluingeachrealestateassetindividuallyandsummingthevalues.D.PrecedentTransactionAnalysisusingmultiplesfromrecentM&Atransactionsintherealestatesector.6.Acompany'smanagementisconsideringtwomutuallyexclusiveprojects.ProjectAhasaninitialcostof$100,000andisexpectedtogeneratecashflowsof$40,000peryearfor4years.ProjectBhasaninitialcostof$150,000andisexpectedtogeneratecashflowsof$60,000peryearfor4years.Iftherequiredrateofreturnforbothprojectsis10%,whichprojectshouldbeacceptedbasedontheNetPresentValue(NPV)criterion?A.ProjectAB.ProjectBC.Bothprojectsshouldbeaccepted.D.Neitherprojectshouldbeaccepted.7.Acompanyhasadebt-to-equityratioof1.5.Ifthemarketvalueofitsequityis$500,000,whatisthemarketvalueofitsdebt?A.$500,000B.$750,000C.$1,000,000D.$1,250,0008.WhichofthefollowingstatementsregardingtheModigliani-Millertheoremwithcorporatetaxesismostaccurate?A.Thevalueofaleveredfirmisalwaysgreaterthanthevalueofanunleveredfirm.B.Thevalueofaleveredfirmisequaltothevalueofanunleveredfirmplusthepresentvalueofthetaxshieldprovidedbydebt.C.TheModigliani-Millertheoremimpliesthatthecostofequityincreaseslinearlywiththedebt-to-equityratio.D.Thetheoremsuggeststhatthereisnooptimalcapitalstructureforafirm.9.Ananalystisevaluatingacompany'sfinancialperformance.Thecompanyreportedthefollowingfiguresforthemostrecentyear:NetIncome=$100,NetCashProvidedbyOperatingActivities=$150,DividendsPaid=$30,CapitalExpenditures=$40.Whatisthefreecashflow(FCF)fortheyear?A.$20B.$40C.$80D.$12010.Whichofthefollowingfinancialratiosismostcommonlyusedtoassessacompany'sliquidity?A.ReturnonEquity(ROE)B.Debt-to-EquityRatioC.CurrentRatioD.Price-to-Earnings(P/E)RatioSection2:ItemSetsItemSet1:AnanalystisfollowingCompanyXYZ,amanufacturerofelectronicdevices.Thecompanyrecentlyreporteditsquarterlyfinancialstatements.Herearesomekeyfigures:*NetIncome:$200million*InterestExpense:$20million*Taxes:$50million*DepreciationandAmortization:$30million*OperatingCurrentAssets:$150million*OperatingCurrentLiabilities:$80million*CapitalExpenditures:$100million*DividendsPaid:$40millionThecompany'staxrateis25%.Theanalystisinterestedincalculatingvariousfinancialmetricsforthequarter.11.Basedontheprovidedinformation,whatisthecashflowfromoperations(CFO)forthequarter?12.Whatisthefreecashflow(FCF)forthequarter?13.Thecompany'scurrentratioiscalculatedas:A.OperatingCurrentAssets/OperatingCurrentLiabilitiesB.TotalCurrentAssets/TotalCurrentLiabilitiesC.(OperatingCurrentAssets-OperatingCurrentLiabilities)/TotalAssetsD.TotalCurrentLiabilities/TotalEquity14.Ifthecompany'stotalassetsare$1,000millionandtotalliabilitiesare$600million,whatisthedebt-to-assetsratio?ItemSet2:Aninvestmentmanagerisconsideringaddinganewstocktotheportfolio.Thestockisexpectedtopayadividendof$2persharenextyear.Themanagerexpectsthedividendtogrowataconstantrateof8%peryearindefinitely.Therequiredrateofreturnonthestockis12%,basedonthemanager'sassessmentofthestock'srisk.15.WhatistheestimatedintrinsicvalueofthestocktodayusingtheDividendDiscountModel(DDM)?16.ThemanagerisalsoconsideringusingtheConstantGrowthModeltoestimatethestock'srequiredrateofreturn.Iftheestimatedintrinsicvalueofthestockis$40,whatwouldbetheimpliedrequiredrateofreturn?17.Thestockhasabetaof1.5.Iftherisk-freerateis4%andthemarketreturnis10%,whatistherequiredrateofreturnaccordingtotheCapitalAssetPricingModel(CAPM)?18.Themanagergathershistoricaldataandfindsthatthestock'sreturnshaveastandarddeviationof30%.Ifthemarket'sstandarddeviationis15%andthecorrelationcoefficientbetweenthestock'sreturnsandthemarketreturnsis0.6,whatisthestock'sportfoliobetaifthestockconstitutes10%oftheportfolio?ItemSet3:Acompanyisevaluatingthepurchaseofanewmachine.Themachinehasaninitialcostof$500,000andausefullifeof5years.Itisexpectedtogenerateadditionalannualsalesrevenueof$200,000andadditionalannualoperatingcosts(excludingdepreciation)of$50,000.Themachinewillbedepreciatedusingthestraight-linemethodoverits5-yearusefullife.Thecompany'srequiredrateofreturnis10%.19.Whatistheannualdepreciationexpenseforthemachine?20.Whatistheannualoperatingcashflow(OCF)generatedbythemachine?21.WhatistheNetPresentValue(NPV)oftheinvestmentinthemachine?22.ThecompanyisconsideringwhethertoaccepttheprojectbasedontheInternalRateofReturn(IRR)criterion.IftheIRRoftheprojectis12%,shouldthecompanyaccepttheproject?Section3:ProblemAcompanyisexpectedtogeneratethefollowingfreecashflows(FCF)overthenextthreeyears:*Year1:$100million*Year2:$150million*Year3:$200millionAfterYear3,thecompanyisexpectedtoenterastablegrowthphasewithaconstantgrowthrateof5%peryearindefinitely.Therequiredrateofreturnonthecompany'sequityis12%.Calculatetheestimatedintrinsicvalueofthecompany'sequitytodayusingatwo-stagediscountedcashflow(DCF)model.(Assumeallcashflowsoccurattheendofeachyear).試卷答案Section1:MultipleChoiceQuestions1.B*解析思路：Beta衡量投資相對于市場變動的敏感性。Beta為0.8表示該投資對市場變動的敏感性低于Beta為1.2的投資。因此，InvestmentBlikelytobelesssensitivetomarketmovementsthanInvestmentA是正確的。2.C*解析思路：使用戈登增長模型（GordonGrowthModel）計算股票價值：V0=D1/(r-g)=$2/(0.10-0.05)=$2/0.05=$40.00。3.B*解析思路：需要分階段計算現(xiàn)值。*Year1DividendPV=$1/(1.09)^1=$0.9174*Year2DividendPV=$1*(1.15)/(1.09)^2=$1.15/1.1881=$0.9671*Year3DividendPV=$1*(1.15)^2/(1.09)^3=$1.3225/1.2950=$1.0221*Year4DividendPV=$1*(1.15)^3/(1.09)^4=$1.5209/1.4116=$1.0735*TerminalValueatYear3=D4/(r-g)=[1*(1.15)^4]/(0.09-0.05)=$1.7490/0.04=$43.7250*TerminalValuePVatYear0=$43.7250/(1.09)^3=$43.7250/1.2950=$33.7786*TotalPV=$0.9174+$0.9671+$1.0221+$1.0735+$33.7786=$20.6787≈$20.004.B*解析思路：使用加權(quán)平均計算預(yù)期回報：E(Rp)=w_s*E(Rs)+w_b*E(Rb)=0.60*15%+0.40*5%=9%+2%=11.00%。*注意：題目要求“approximately”，11.00%是精確計算結(jié)果。如果需要近似，可能需要考慮協(xié)方差或相關(guān)系數(shù)對組合標(biāo)準(zhǔn)差的影響，但僅計算預(yù)期回報較為直接。根據(jù)選項，B最接近，但精確計算結(jié)果應(yīng)為11.00%。此處按加權(quán)平均直接計算結(jié)果選擇。*（修正：預(yù)期回報計算本身是11.00%，選項B為10.50%，若必須選擇一個，需確認(rèn)題目或選項是否有誤。若按標(biāo)準(zhǔn)加權(quán)平均，11.00%是正確答案，不在選項中。若理解為僅用權(quán)重和單期回報簡單加總，則得11.00%。此處按最直接的加權(quán)平均法計算結(jié)果11.00%進行說明，但未在選項中。題目或選項可能存在偏差。假設(shè)題目允許此直接計算。）*5.C*解析思路：對于擁有大量房地產(chǎn)資產(chǎn)的公司，Sum-of-the-Parts(SOTP)valuation方法最為適用，即分別評估每個資產(chǎn)的價值然后加總。6.A*解析思路：計算兩個項目的NPV。*NPV_A=-100,000+$40,000/1.10+$40,000/1.10^2+$40,000/1.10^3+$40,000/1.10^4=-100,000+$36,363.64+$33,057.85+$30,052.59+$27,320.55=$24,794.63*NPV_B=-150,000+$60,000/1.10+$60,000/1.10^2+$60,000/1.10^3+$60,000/1.10^4=-150,000+$54,545.45+$49,534.69+$45,078.90+$41,324.65=$14,483.69*根據(jù)NPV準(zhǔn)則，選擇NPV較高的項目。NPV_A($24,794.63)>NPV_B($14,483.69)，應(yīng)選擇ProjectA。7.D*解析思路：債務(wù)對權(quán)益比率(D/E)=債務(wù)(D)/權(quán)益(E)=1.5。已知權(quán)益(E)=$500,000。因此，債務(wù)(D)=1.5*$500,000=$750,000。8.B*解析思路：Modigliani-Miller定理（含稅）指出，有負(fù)債公司的價值（V_L）等于無負(fù)債公司的價值（V_U）加上稅盾的價值。稅盾的價值是公司支付利息所獲得的稅收節(jié)省的現(xiàn)值，即D*T_c。9.B*解析思路：自由現(xiàn)金流(FCF)=現(xiàn)金流從運營活動-資本支出=$150-$40=$110。**（注意：更標(biāo)準(zhǔn)的FCF=OCF-NetCapitalSpending=(NetIncome+InterestExpense*(1-T))-CapEx。按此計算FCF=$100+$20*(1-0.25)-$40=$100+$15-$40=$75。但題目直接給出NetCashProvidedbyOperatingActivities，通常直接使用此數(shù)據(jù)減去CapEx。根據(jù)題目提供的數(shù)據(jù)，$150-$40=$110是計算FCF的一種常見方式，尤其是在有OCF直接數(shù)據(jù)時。此處按題目直接給定的OCF計算。）*10.C*解析思路：CurrentRatio（流動比率）=CurrentAssets/CurrentLiabilities，是衡量公司短期償債能力最常用的指標(biāo)之一。Section2:ItemSetsItemSet1:11.$220million*解析思路：現(xiàn)金流量表中的“現(xiàn)金流量從運營活動”（CFO）通常可以通過多種方法計算，最常用的是間接法：CFO=凈利潤+非現(xiàn)金支出（折舊攤銷）-經(jīng)營性營運資本增加。經(jīng)營性營運資本增加=(期末經(jīng)營性流動資產(chǎn)-期初經(jīng)營性流動資產(chǎn))=(150-80)=70million。因此，CFO=$200+$30-$70=$160million。*（修正：更標(biāo)準(zhǔn)的間接法CFO=NetIncome+Depreciation-ΔOperatingCurrentAssets+ΔOperatingCurrentLiabilities。ΔOCF=$200+$30-($150-$80)=$200+$30-(-$70)=$200+$30+$70=$300million。但題目中未明確給出經(jīng)營性營運資本變動是增加還是減少，或給出期初/期末總額，僅給出了經(jīng)營性部分。若必須使用提供的數(shù)據(jù)，且題目意圖可能是考察凈利潤加非現(xiàn)金支出，則得$160M。但通常題目會提供更完整信息。假設(shè)題目意圖是考察OCF的組成部分，且題目給的是經(jīng)營性資產(chǎn)和負(fù)債的“期初”和“期末”部分，應(yīng)計算變動。ΔOperatingCCL=$80-?。題目未給期初OCL，無法直接計算ΔOCL。此題數(shù)據(jù)可能不完整或存在歧義。若按最常見的間接法公式，需補充信息。假設(shè)題目意在考察凈利潤+折舊，則為$230M。此題按標(biāo)準(zhǔn)間接法公式要求完整信息。若必須作答，需假設(shè)。）***（重新評估ItemSet1數(shù)據(jù)：題目給出NetIncome,Interest,Taxes,Depreciation,OperatingCurrentAssets,OperatingCurrentLiabilities.最常用的計算CFO的間接法公式是CFO=NetIncome+Interest*(1-TaxRate)+Depreciation-ΔOperatingCurrentAssets+ΔOperatingCurrentLiabilities。但題目只給了OCAssets和OCL的“值”，未給期初/期末的變動量(Δ)。無法直接計算。標(biāo)準(zhǔn)答案$220M($200+$20*(1-0.25)+$30-($150-$80))需要假設(shè)是期初和期末的給定值代表凈變動或某種特定定義，這在標(biāo)準(zhǔn)CFA題目中不常見。此題數(shù)據(jù)可能存在問題或需要特殊解讀。若題目意在考察NetIncome+Interest(aftertax)+Depreciation，則為$250M($200+$20*(1-0.25)+$30=$250)。若考察NetIncome+Depreciation，則為$230M。由于數(shù)據(jù)缺失導(dǎo)致無法唯一確定標(biāo)準(zhǔn)答案。為完成模擬，此處提供一個可能的合理假設(shè)答案，例如考察凈利潤加折舊：$200+$30=$230。但標(biāo)準(zhǔn)間接法需要變動量。）*12.$120million*解析思路：自由現(xiàn)金流(FCF)通常定義為：FCF=現(xiàn)金流從運營活動-資本支出。根據(jù)ItemSet1的數(shù)據(jù)，F(xiàn)CF=$150-$100=$50million。*（再次注意：此計算基于題目提供的數(shù)據(jù)$150和$100。如果ItemSet1的第11題答案被修正為$160或$230，則FCF也會相應(yīng)改變。此處按$150-$100計算。）*13.A*解析思路：CurrentRatio（流動比率）是衡量公司短期償債能力的指標(biāo)，計算公式為：CurrentRatio=OperatingCurrentAssets/OperatingCurrentLiabilities。14.0.60*解析思路：Debt-to-AssetsRatio（負(fù)債對總資產(chǎn)比率）=TotalLiabilities/TotalAssets=$600million/$1,000million=0.60或60%。ItemSet2:15.$40.00*解析思路：使用戈登增長模型（ConstantGrowthDDM）計算股票價值：V0=D1/(r-g)=$2/(0.12-0.08)=$2/0.04=$50.00。*（注意：題目中要求的“estimatedintrinsicvalue”使用的是模型本身，即$50。但選項中沒有$50，只有$40。這表明題目或選項可能存在錯誤。如果必須選擇，可能需要考慮題目是否有特殊定義或打印錯誤。但如果嚴(yán)格按照模型計算，答案應(yīng)為$50。）*16.14.00%*解析思路：使用ConstantGrowthDDM反推要求回報率(r)：$40=$2/(r-0.08)。解方程得：r-0.08=$2/$40=0.05。r=0.05+0.08=0.13或13.00%。*（注意：計算結(jié)果為13%，選項中沒有13%，只有14%。可能存在題目或選項錯誤。最接近的選項是14%，如果必須選擇，可以選擇B。但精確計算結(jié)果為13%。）*17.13.00%*解析思路：使用CAPM計算要求回報率(r)=Rf+β*(Rm-Rf)=0.04+1.5*(0.10-0.04)=0.04+1.5*0.06=0.04+0.09=0.13或13.00%。18.0.90*解析思路：首先計算股票的個別Beta(β_stock)=Covariance(Stock,Market)/Variance(Market)=Correlation*(StdDev(Stock)/StdDev(Market))=0.6*($30/$15)=0.6*2=1.2。然后計算股票在10%權(quán)重組合中的貢獻Beta=β_stock*Weight=1.2*0.10=0.12。注意：此題問的是組合中該股票的Beta貢獻值。如果題目問的是組合的總體Beta(β_portfolio)，則β_portfolio=(w_s*β_s)+(w_b*β_b)=(0.10*1.2)+(0.90*1.0)=0.12+0.90=1.02。但題目明確問“stock'sportfoliobetaifthestockconstitutes10%oftheportfolio”，指單個股票在該組合下的Beta貢獻，即0.12。*（注意：此處根據(jù)公式計算結(jié)果為0.12，但選項中沒有0.12，最接近的是0.90。這表明題目或選項存在錯誤。如果必須選擇，可能需要考慮題目是否有特殊定義或打印錯誤。最合理的解釋是題目可能指組合Beta，結(jié)果為1.02，不在選項中。或者指股票標(biāo)準(zhǔn)差除以市場標(biāo)準(zhǔn)差，結(jié)果為2，不在選項中?；蛘咧附M合中股票Beta貢獻0.12，不在選項中。此題存在明顯問題。）*ItemSet3:19.$100,000*解析思路：使用直線折舊法計算年折舊額=(資產(chǎn)成本-殘值)/使用年限。題目未給出殘值，通常假設(shè)殘值為零。年折舊額=($500,000-0)/5years=$100,000peryear。20.$50,000*解析思路：計算年經(jīng)營現(xiàn)金流(OCF)=(銷售收入-付現(xiàn)成本-折舊)*(1-T)+折舊。OCF=($200,000-$50,000-$100,000)*(1-0.25)+$100,000=$50,000*0.75+$100,000=$37,500+$100,000=$137,500。*（修正：此計算公式包含了所得稅。更直接的OCF計算公式是OCF=EBIT+Depreciation。EBIT=Sales-OperatingCosts-Depreciation=$200,000-$50,000-$100,000=$50,000。OCF=$50,000+$100,000=$150,000?；蛘呤褂肙CF=CFO+CapEx。CFO=OCF-CapEx=($200,000-$50,000-$100,000)-$100,000=$50,000-$100,000=-$50,000。OCF=-$50,000+$100,000=$50,000。根據(jù)題目提供的數(shù)據(jù)和標(biāo)準(zhǔn)財務(wù)公式，$50,000是一個可能的結(jié)果。）**（進一步澄清ItemSet3計算：OCF=(Sales-Costs-Depreciation)*(1-T)+Depreciation。如果題目意圖是計算稅后OCF，則OCF=($200k-$50k-$100k)*(1-0.25)+$100k=$50k*0.75+$100k=$37.5k+$100k=$137.5k。如果題目意圖是計算OCF，不扣除稅的影響（即稅前OCF再減稅），則OCF=EBIT+Depreciation*(1-T)=$50k+$100k*0.75=$50k+$75k=$125k。如果題目意圖是計算OCF，不包含稅的影響，則OCF=EBIT+Depreciation=$50k+$100k=$150k。如果題目意圖是計算稅后OCF，但錯誤地應(yīng)用了稅盾，則OCF=EBIT*(1-T)+Depreciation=$50k*0.75+$100k=$37.5k+$100k=$137.5k。根據(jù)題目數(shù)據(jù)，$150k($50kEBIT+$100kDepreciation)是最直接的稅前OCF計算結(jié)果。）***（最終決定：根據(jù)題目數(shù)據(jù)，最直接的OCF計算是稅前OCF，即OCF=EBIT+Depreciation。$50,000(EBIT)+$100,000(Depreciation)=$150,000。）*21.$49,440.21*解析思路：計算項目的NPV。NPV=-InitialCost+Σ(OCF/(1+r)^t)+(TerminalValue/(1+r)^n)。*InitialCost=$500,000。*OCF=$150,000(根據(jù)上一題解析)。*r=10%or0.10。*n=5years。*Year1toYear4OCFPV=$150,000/1.10+$150,000/1.10^2+$150,000/1.10^3+$150,000/1.10^4*PV=$136,363.64+$124,184.26+$112,697.22+$102,452.02=$497,