2025年CFA二級案例分析真題卷考試時間：______分鐘總分：______分姓名：______SectionA:AssetValuation1.Youareanalyzingacompanyexpectedtogrowitsearningsatarateof15%peryearforthenextthreeyears,afterwhichgrowthisexpectedtodeclinetoalong-termrateof5%peryear.Thecompany'smostrecentearningspershare(EPS)were$2.00.Therequiredrateofreturnonthestockis10%.Usingthetwo-stagedividenddiscountmodel,calculatetheintrinsicvalueofthestock.2.Youareconsideringinvestinginacorporatebondwithafacevalueof$1,000,acouponrateof6%,andamaturityof10years.Theyieldtomaturity(YTM)ofthebondis5%.Calculatethecurrentpriceofthebond.3.Youareanalyzingarealestateinvestmentthatisexpectedtogenerateannualnetoperatingincomeof$100,000forthenext10years.Theinitialinvestmentrequiredis$1,000,000.Usingacapitalizationrateof8%,calculatetheintrinsicvalueoftheinvestment.4.Youareconsideringinvestinginaprivateequityfundthatisexpectedtogenerateaninternalrateofreturn(IRR)of20%peryear.Thefundhasa10-yearinvestmenthorizonanda2%managementfee.Ifyouinvest$500,000inthefund,howmuchwillyoureceiveuponmaturity,assumingnodistributionofprofitsduringtheinvestmentperiod?5.Youareanalyzingacompanywiththefollowingfinancialdataforthemostrecentyear:*Sales:$1,000,000*Costofgoodssold:$600,000*Grossprofit:$400,000*Operatingexpenses:$250,000*Depreciation:$50,000*Earningsbeforeinterestandtaxes(EBIT):$100,000*Interestexpense:$20,000*Earningsbeforetaxes(EBT):$80,000*Taxes(30%):$24,000*Netincome:$56,000Thecompanyhasnodebt.Usingthefreecashflowtoequity(FCFE)model,calculatetheintrinsicvalueofthestockiftherequiredrateofreturnonequityis12%andthecompanyisexpectedtogrowitsFCFEatarateof10%peryearforthenextthreeyears,afterwhichgrowthisexpectedtodeclinetoalong-termrateof5%peryear.SectionB:PortfolioManagement6.Youaremanagingaportfolioofstockswithatotalvalueof$1,000,000.Theportfolioconsistsofthefollowingthreestocks:*StockA:$400,000,standarddeviationofreturns=20%,correlationwithportfolio=0.5*StockB:$300,000,standarddeviationofreturns=15%,correlationwithportfolio=0.3*StockC:$300,000,standarddeviationofreturns=10%,correlationwithportfolio=0.2Calculatethestandarddeviationoftheportfolio.7.Youareconsideringaddinganewstocktoyourportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationofreturnsof25%.Thecorrelationbetweenthestock'sreturnsandtheportfolio'sreturnsis0.4.Ifyouadd$100,000toyourportfolio,calculatetheexpectedreturnandstandarddeviationofthenewportfolio.8.Youaremanagingaportfolioofbondswithatotalvalueof$500,000.Theportfolioconsistsofthefollowingtwobonds:*Bond1:$250,000,yieldtomaturity(YTM)=5%,duration=5years*Bond2:$250,000,YTM=7%,duration=8yearsCalculatethedurationoftheportfolio.9.Youaremanagingaportfolioofstocksandbonds.Theportfolioconsistsof60%stocksand40%bonds.Theexpectedreturnonstocksis10%andtheexpectedreturnonbondsis5%.Thestandarddeviationofreturnsonstocksis20%andthestandarddeviationofreturnsonbondsis10%.Thecorrelationbetweenthereturnsonstocksandbondsis-0.5.Calculatetheexpectedreturnandstandarddeviationoftheportfolio.10.Youareevaluatingtheperformanceofaportfoliomanager.Theportfoliomanager'sportfoliohadareturnof15%inthepastyear,whilethebenchmarkindexhadareturnof10%.Therisk-freeratewas2%.CalculatetheSharperatiooftheportfolio.SectionC:CorporateIssuerAnalysis11.Youareanalyzingacompanywiththefollowingfinancialdataforthemostrecentyear:*Earningsbeforeinterestandtaxes(EBIT):$200,000*Interestexpense:$50,000*Earningsbeforetaxes(EBT):$150,000*Taxes(30%):$45,000*Netincome:$105,000*Totalassets:$1,000,000*Totalliabilities:$400,000Calculatethecompany'sreturnonassets(ROA)andreturnonequity(ROE).12.Youareanalyzingacompanywiththefollowingfinancialdataforthemostrecentyear:*Earningspershare(EPS):$2.00*Price-to-earnings(P/E)ratio:20*Bookvaluepershare:$20.00Calculatethecompany'smarket-to-book(M/B)ratio.13.Youareanalyzingacompanyconsideringissuingnewdebttofinanceacapitalexpenditureproject.Thecompany'scurrentdebt-to-equityratiois1.0.Thecompany'scostofdebtis6%anditscostofequityis12%.Ifthecompanyissuesnewdebttofinancetheproject,howwillitsweightedaveragecostofcapital(WACC)beaffected?14.Youareanalyzingacompanywiththefollowinggovernancestructure:*Theboardofdirectorsiscomposedof10members,allofwhomareindependent.*Thecompanyhasastaggeredboardstructure.*Thecompany'smanagementishighlycompensated.Evaluatethecompany'scorporategovernancestructure.15.Youareanalyzingacompanywiththefollowingfinancialdataforthemostrecentyear:*Sales:$1,000,000*Costofgoodssold:$600,000*Grossprofit:$400,000*Operatingexpenses:$250,000*Depreciation:$50,000*Earningsbeforeinterestandtaxes(EBIT):$100,000*Interestexpense:$20,000*Earningsbeforetaxes(EBT):$80,000*Taxes(30%):$24,000*Netincome:$56,000Thecompanyhasnodebt.Calculatethecompany'sprice/earnings(P/E)ratioifthemarketrequiredrateofreturnonequityis12%andthecompanyisexpectedtogrowitsEPSatarateof10%peryearforthenextthreeyears,afterwhichgrowthisexpectedtodeclinetoalong-termrateof5%peryear.SectionD:Derivatives16.Youareconsideringbuyingacalloptiononastockwithastrikepriceof$50andapremiumof$2.Thestock'scurrentpriceis$48.Calculatethebreak-evenpriceforthecalloption.17.Youaremanagingaportfolioofstocksandareconcernedaboutapotentialdeclineinthestockmarket.YoudecidetobuyputoptionsontheS&P500indexwithastrikepriceof2,000andapremiumof$25.Thecurrentindexlevelis2,100.Calculatethebreak-evenlevelfortheputoptions.18.Youareconsideringbuyingaputoptiononastockwithastrikepriceof$60andapremiumof$3.Thestock'scurrentpriceis$65.Calculatethemaximumlossyoucouldincurifyoubuytheputoption.19.Youaremanagingaportfolioofbondsandareconcernedabouttheriskofinterestrateincreases.Youdecidetobuyinterestrateswapstoconvertyourbondportfoliointoafloating-rateportfolio.Youenterintoaswapagreementwhereyoupayafixedinterestrateof5%andreceiveafloatinginterestratebasedontheLIBORrate.IftheLIBORrateis4%forthenextyear,calculateyournetinterestexpensefortheyear.20.Youaremanagingaportfolioofcurrenciesandareconcernedabouttheriskofcurrencyfluctuations.Youdecidetousecurrencyforwardstohedgeyourcurrencyrisk.Youenterintoaforwardcontracttosell1millionEurosataforwardexchangerateof$1.10perEuro.Ifthespotexchangerateatthetimeoftheforwardcontractexpiresis$1.15perEuro,calculateyourgainorlossfromtheforwardcontract.試卷答案SectionA:AssetValuation1.IntrinsicValue=$2.00*(1.15^1/(1.10^1))+$2.00*(1.15^2/(1.10^2))+$2.00*(1.15^3/(1.10^3))+$2.00*(1.15^3*(1.05/(1.10^3-1.05^3)))IntrinsicValue=$2.00*(1.15/1.10)+$2.00*(1.3225/1.21)+$2.00*(1.520875/1.331)+$2.00*(1.520875*(1.05/0.040601))IntrinsicValue=$2.09+$2.20+$2.28+$77.76IntrinsicValue=$84.33*解析思路：運(yùn)用兩階段紅利貼現(xiàn)模型。首先計算前三年的股利現(xiàn)值，然后計算第三年末股票的內(nèi)在價值（使用永續(xù)年金現(xiàn)值公式計算），最后將所有現(xiàn)值加總得到股票的內(nèi)在價值。2.CurrentPrice=$60*(1-1/(1.05^10))/0.05+$1,000/(1.05^10)CurrentPrice=$60*(1-1/1.6289)/0.05+$1,000/1.6289CurrentPrice=$60*(1-0.6139)/0.05+$613.91CurrentPrice=$60*0.3861/0.05+$613.91CurrentPrice=$463.32+$613.91CurrentPrice=$1,077.23*解析思路：運(yùn)用債券定價公式。將每年的利息收入折現(xiàn)到當(dāng)前，并加上到期時收回的本金折現(xiàn)值，得到債券的當(dāng)前價格。3.IntrinsicValue=$100,000/0.08IntrinsicValue=$1,250,000*解析思路：運(yùn)用資本化率法。將每年的凈運(yùn)營收入除以資本化率，得到房地產(chǎn)的內(nèi)在價值。4.FutureValue=$500,000*(1+0.20*10)*(1-0.02)=$500,000*2*0.98=$980,000*解析思路：計算私募股權(quán)基金的總回報。首先計算10年的總收益，然后減去管理費(fèi)，得到最終收益。5.FCFEYear1=$56,000*(1+0.10)=$61,600FCFEYear2=$61,600*(1+0.10)=$68,660FCFEYear3=$68,660*(1+0.10)=$75,526FCFEYear4onwards=$75,526*(1+0.05)=$79,195.30PVFCFE=$61,600/1.12+$68,660/1.12^2+$75,526/1.12^3+$79,195.30/((1.12^3-1.05^3)/0.040601)PVFCFE=$55,000+$56,000+$56,000+$79,195.30/0.040601PVFCFE=$186,195.30+$1,953,276.53PVFCFE=$2,139,471.83*解析思路：運(yùn)用自由現(xiàn)金流貼現(xiàn)模型。首先計算未來三年的自由現(xiàn)金流，然后計算第四年及以后的自由現(xiàn)金流現(xiàn)值，最后將所有現(xiàn)值加總得到股票的內(nèi)在價值。SectionB:PortfolioManagement6.PortfolioVariance=(0.5^2*0.20^2+0.3^2*0.15^2+0.2^2*0.10^2)+2*0.5*0.20*0.20*0.5^2+2*0.3*0.15*0.20*0.3^2+2*0.2*0.10*0.20*0.2^2PortfolioVariance=0.01+0.003+0.0004+0.003+0.00054+0.00016PortfolioVariance=0.0211PortfolioStandardDeviation=sqrt(0.0211)=0.1453or14.53%*解析思路：運(yùn)用投資組合方差公式。首先計算各項資產(chǎn)的方差和協(xié)方差，然后代入公式計算投資組合的方差，最后開平方得到投資組合的標(biāo)準(zhǔn)差。7.NewPortfolioExpectedReturn=0.6*0.10+0.4*0.12=0.06+0.048=0.108or10.8%NewPortfolioVariance=0.6^2*0.20^2+0.4^2*0.25^2+2*0.6*0.20*0.25*0.4*0.5NewPortfolioVariance=0.0144+0.016+0.006NewPortfolioStandardDeviation=sqrt(0.0364)=0.1908or19.08%*解析思路：運(yùn)用新的投資組合的預(yù)期收益率和方差公式。首先計算新的投資組合的預(yù)期收益率，然后計算新的投資組合的方差和標(biāo)準(zhǔn)差。8.PortfolioDuration=(0.5*5+0.5*8)=2.5+4=6.5years*解析思路：運(yùn)用投資組合久期公式。將各項債券的久期乘以其在投資組合中的權(quán)重，然后加總得到投資組合的久期。9.PortfolioExpectedReturn=0.6*0.10+0.4*0.05=0.06+0.02=0.08or8%Covariance=-0.5*0.20*0.10*0.6*0.4=-0.0024PortfolioVariance=0.6^2*0.20^2+0.4^2*0.10^2+2*(-0.0024)PortfolioVariance=0.0144+0.0016-0.0048=0.0102PortfolioStandardDeviation=sqrt(0.0102)=0.1010or10.10%*解析思路：運(yùn)用新的投資組合的預(yù)期收益率和方差公式。首先計算新的投資組合的預(yù)期收益率，然后計算協(xié)方差和投資組合的方差和標(biāo)準(zhǔn)差。10.ExcessReturn=0.15-0.10=0.05SharpeRatio=0.05/0.20=0.25*解析思路：運(yùn)用夏普比率公式。首先計算投資組合的excessreturn，然后用excessreturn除以投資組合的標(biāo)準(zhǔn)差得到夏普比率。SectionC:CorporateIssuerAnalysis11.ROA=$56,000/$1,000,000=0.056or5.6%ROE=$56,000/($1,000,000-$400,000)=$56,000/$600,000=0.0933or9.33%*解析思路：運(yùn)用ROA和ROE公式。ROA是凈利潤除以總資產(chǎn)，ROE是凈利潤除以股東權(quán)益。12.M/BRatio=$40/$20=2.0*解析思路：運(yùn)用市場價值與賬面價值比率公式。用股票的市場價值除以股票的賬面價值。13.WACCwilldecrease.Addingdebtincreasesthefinancialleverageandtheriskoftheequity,whichwillincreasethecostofequity.However,thetaxshieldfromthedebtwilllowertheoverallWACC,assumingthedebtisissuedataratelowerthant