2025年CFA二级考试案例分析练习

2025年CFA二级考试案例分析练习考试时间：______分钟总分：______分姓名：______CaseStudy1:AnalyzingaTechnologyPortfolioYouareaportfoliomanageratAlphaInvestments,managingatechnology-focusedequityportfoliowithamarketvalueof$500million.Theportfolioconsistsofthefollowingfivestocks:*TechCorp:Alarge-capcloudcomputingcompanywithamarketcapitalizationof$150billion.Itsstockcurrentlytradesat$250persharewith600millionsharesoutstanding.ThecompanyrecentlyreportedQ4earningspershare(EPS)of$4.50,up10%year-over-year.AnalystsareestimatingEPSforthenextfiscalyeartobe$5.00.Thestockhasabetaof1.2relativetotheS&P500index,andtheindexiscurrentlytradingat3,800pointswithanexpectedreturnof10%forthecomingyear.Therisk-freerateis2.5%.*DataSystemsInc.:Amid-capdataanalyticsfirmwithamarketcapof$30billion.Itsstocktradesat$120persharewith250millionsharesoutstanding.ThecompanyexpectstoannounceQ4earningsnextweek.Historically,itsstockhashada30%correlationwithTechCorp'sreturns.Themarketispricinginexpectationsof$3.00EPSforthenextfiscalyear,comparedto$2.80lastyear.*NetGearSolutions:Asmall-capcybersecuritycompanywithamarketcapof$5billion.Itsstocktradesat$45persharewith100millionsharesoutstanding.ThecompanyreportedQ4EPSof$1.20,slightlybelowconsensusestimatesof$1.25.Analystshaverevisedtheirestimatesdownwardto$1.00forthenextfiscalyearduetoincreasedcompetition.Thestockhasabetaof1.8relativetotheS&P500.*CloudWorks:Amid-capinfrastructuresoftwareproviderwithamarketcapof$25billion.Itsstocktradesat$180persharewith150millionsharesoutstanding.ThecompanyrecentlylaunchedanewAI-poweredplatform,generatingsignificantpositivesentiment.Itsstockhasoutperformedthemarketindexby15%overthepastthreemonths.AnalystsareprojectingEPSof$6.50forthenextfiscalyear,up20%fromthecurrentestimateof$5.30.*MobileTech:Alarge-capmobiledevicemanufacturerwithamarketcapof$100billion.Itsstocktradesat$80persharewith1billionsharesoutstanding.ThecompanyreportedQ4EPSof$2.00,meetinganalystexpectations.However,salesgrowthhasslowedduetointensifyingcompetition.AnalystsarepredictingaflatEPSof$2.00forthenextfiscalyear.Theportfolio'scurrentweightingsareasfollows:TechCorp30%,DataSystemsInc.20%,NetGearSolutions15%,CloudWorks15%,andMobileTech20%.Theportfolio'soverallbetais1.1.Yourclient,ahigh-net-worthindividualwitharisktoleranceconsistentwithamoderate-riskinvestmentprofile,hasexpressedconcernsabouttheportfolio'sexposuretothetechnologysector,particularlygiventherecentmarketvolatility.Theyhavealsoinquiredaboutthepotentialimpactoftheupcomingearningsreportsontheportfolioandthepossibilityofaddinganewinvestment.Prepareareportforyourclientaddressingthefollowing:1.Calculatetheexpectedreturnoftheportfoliobasedonthecurrentstockprices,marketreturnassumptions,andtheportfolioweights.2.Analyzetheportfolio'sbetaanddiscussitsimplicationsfortheclient'sinvestmentrisk.3.Evaluatethevaluationofeachofthefivestocksintheportfoliousingatleasttwodifferentmethodsforeachstock.Discussthekeyassumptionsandlimitationsofeachmethod.4.Assessthepotentialimpactoftheupcomingearningsreportsontheportfolio.Whichstocksarelikelytobemostaffected,andwhy?5.Proposeonealternativeinvestmentthatcoulddiversifytheportfolioawayfromthetechnologysector.Justifyyourchoice,includingananalysisofitspotentialreturn,risk,andcorrelationwiththeexistingportfolio.6.Basedonyouranalysis,providerecommendationsforadjustingthetechnologysectorallocationortheoverallportfoliostrategy.CaseStudy2:FixedIncomePortfolioRebalancingYouareafixedincomeportfoliomanageratBetaInvestments,managinga$300millionportfolioofinvestment-gradecorporatebonds.Theportfolioiscurrentlycomposedofthefollowingbonds:*BondA:A5-year,4.5%couponbondwithafacevalueof$100million.Thebondtradesatayieldtomaturity(YTM)of4.0%andhasadurationof4.2years.*BondB:A10-year,3.0%couponbondwithafacevalueof$80million.ThebondtradesataYTMof3.5%andhasadurationof7.5years.*BondC:A7-year,5.0%couponbondwithafacevalueof$120million.ThebondtradesataYTMof4.5%andhasadurationof6.0years.Thecurrenttermstructureofinterestratesisasfollows:*1-yearspotrate:2.5%*3-yearspotrate:3.0%*5-yearspotrate:3.5%*7-yearspotrate:4.0%*10-yearspotrate:4.5%Theportfolio'scurrentdurationis6.5years.ThecreditratingsofthebondsareallAAA.Recently,theU.S.FederalReservehassignaledpotentialforseveralinterestratehikesinthecomingyearduetoconcernsaboutinflation.Prepareareportforyourclientoutliningthefollowing:1.Calculatethecurrentyieldtomaturityforeachbondintheportfolio.2.Determinethemodifieddurationandconvexityforeachbond.3.Calculatetheportfolio'sconvexity.4.Analyzethepotentialimpactofa100basispoint(bp)increaseininterestratesontheportfolio'svalue,usingbothdurationandconvexity.5.Evaluatetheportfolio'ssensitivitytointerestraterisk.Whatarethekeyfactorsthatcontributetothissensitivity?6.DiscussthepotentialimpactoftheFederalReserve'sactionsontheportfolio.7.Proposeastrategyforrebalancingtheportfoliotomitigateinterestraterisk.Specifytheactionsyouwouldtake,includinganybondpurchasesorsales,andjustifyyourrecommendations.8.Brieflyexplainhowyouwouldimplementtheproposedrebalancingstrategyinpractice,consideringfactorssuchastransactioncostsandmarketliquidity.试卷答案CaseStudy1:AnalyzingaTechnologyPortfolio1.Calculatetheexpectedreturnoftheportfoliobasedonthecurrentstockprices,marketreturnassumptions,andtheportfolioweights.*Answer:Theexpectedreturnoftheportfolio(E(Rp))iscalculatedastheweightedaverageoftheexpectedreturnsoftheindividualstocks.Tofindtheexpectedreturnofeachstock,wecanusetheCapitalAssetPricingModel(CAPM):E(Ri)=Rf+βi*[E(Rm)-Rf].*E(RockCorp)=2.5%+1.2*(10%-2.5%)=10.1%*E(RDataSystemsInc.)=2.5%+[1.0*(10%-2.5%)*0.30]=4.5%(Assumingβ=1.0fortheS&P500relativetoitselfandusingcorrelation)*E(RNetGearSolutions)=2.5%+1.8*(10%-2.5%)=13.5%*E(RCloudWorks)=2.5%+[1.0*(10%-2.5%)*1.15/(1.15-(10%-2.5%))]=11.92%(UsingMarketFactorRiskPremium=7.5%andassumingβ=1.0relativetomarketexcessreturn)*E(RMobileTech)=2.5%+1.0*(10%-2.5%)=10.0%*E(Rp)=(0.30*10.1%)+(0.20*4.5%)+(0.15*13.5%)+(0.15*11.92%)+(0.20*10.0%)=9.927%2.Analyzetheportfolio'sbetaanddiscussitsimplicationsfortheclient'sinvestmentrisk.*Answer:Theportfolio'soverallbetais1.1.Thisindicatesthattheportfolioisslightlymorevolatilethanthemarket(S&P500).Abetaof1.0impliesperfectcorrelationwiththemarket.Abetaof1.1suggeststhatforevery1%changeinthemarket,theportfolio'sreturnisexpectedtochangebyapproximately1.1%.Foraclientwithamoderate-risktolerance,abetaof1.1mightbeconsideredslightlyhigh,asitimpliesahigherpotentialforlossesduringmarketdownturnscomparedtothebroadermarket.Itisimportanttoconsiderthisinthecontextoftheclient'soverallinvestmentportfolioandrisk承受能力.3.Evaluatethevaluationofeachofthefivestocksintheportfoliousingatleasttwodifferentmethodsforeachstock.Discussthekeyassumptionsandlimitationsofeachmethod.*TechCorp:**DDM(ConstantGrowth):*P0=D1/(k-g).Assumingg=5%(along-termgrowthestimate):P0=$5.00*(1+0.05)/(0.101-0.05)=$52.63.CurrentPrice=$250.Valuationissignificantlyundervalued.*Assumptions:Stablegrowthindefinitely,reliableestimatesofgandk.**Limitations:Sensitivetogandk,maynotworkformaturecompaniesorcompanieswithnon-constantgrowth.***ComparableCompanyAnalysis(P/ERatio):*AverageP/Eforpeers=25.P0=$5.00*25=$125.CurrentPrice=$250.Valuationissignificantlyovervalued.*Assumptions:Peersarecomparable,marketP/Eisreasonable.**Limitations:MarketP/Ecanbeinfluencedbymarketsentiment,peersmayhavedifferentriskprofiles.**DataSystemsInc.:**DDM(ZeroGrowth):*Assumingnogrowthforsimplicity:P0=$3.00/0.101=$29.70.CurrentPrice=$120.Valuationissignificantlyovervalued.*Assumptions:Nogrowthinearnings,reliableEPSestimate.**Limitations:Unrealisticformostcompanies,sensitivetodiscountrate.***ComparableCompanyAnalysis(P/BRatio):*AverageP/Bforpeers=4.P0=$30.0*4=$120.CurrentPrice=$120.Valuationisfairlyvalued.*Assumptions:Peersarecomparable,marketP/Bisreasonable.**Limitations:P/Bcanbeinfluencedbycapitalintensity,peersmayhavedifferentgrowthprospects.**NetGearSolutions:**DDM(ConstantGrowth):*Assumingg=2%(amoreconservativeestimate):P0=$1.00*(1+0.02)/(0.101-0.02)=$11.36.CurrentPrice=$45.Valuationisovervalued.*Assumptions:Stablegrowth,reliableestimates.**Limitations:Sensitivetogandk,maynotbeappropriateforcyclicalcompanies.***ComparableCompanyAnalysis(P/SalesRatio):*AverageP/Salesforpeers=2.0.P0=$120.0*2.0=$240.CurrentPrice=$45.Valuationissignificantlyundervalued.*Assumptions:Peersarecomparable,marketP/Sisreasonable.**Limitations:Sensitivetosalesgrowth,doesnotaccountforprofitability.**CloudWorks:**DDM(HighGrowththenStable):*P0=[D1/(k-g)]+Pn/(1+k)^n.Assuminghighgrowth(g1=20%)for3years,thenstablegrowth(g2=5%):D1=$6.50,D2=$7.87,D3=$9.44,D4=$9.84.P3=$9.84/(0.101-0.05)=$152.94.P0=($6.50/0.101)+($7.87/0.101^2)+($9.44/0.101^3)+($152.94/0.101^4)=$108.17.CurrentPrice=$180.Valuationisovervalued.*Assumptions:Transitoryhighgrowth,reliableestimates,stableg2.**Limitations:Complexmodel,sensitivetotransitionperiodandg2estimates.***ComparableCompanyAnalysis(P/ERatio):*AverageP/Eforpeers=28.P0=$6.50*28=$182.CurrentPrice=$180.Valuationisfairlyvalued.*Assumptions:Peersarecomparable,marketP/Eisreasonable.**Limitations:P/Ecanbevolatile,influencedbysentiment.**MobileTech:**DDM(ZeroGrowth):*Assumingnogrowth:P0=$2.00/0.101=$19.80.CurrentPrice=$80.Valuationissignificantlyovervalued.*Assumptions:Nogrowth,reliableEPSestimate.**Limitations:Unrealistic,sensitivetodiscountrate.***ComparableCompanyAnalysis(P/BRatio):*AverageP/Bforpeers=3.0.P0=$100.0*3.0=$300.CurrentPrice=$80.Valuationissignificantlyundervalued.*Assumptions:Peersarecomparable,marketP/Bisreasonable.**Limitations:P/Bcanbeinfluencedbyassetstructure,peersmayhavedifferentgrowth.*4.Assessthepotentialimpactoftheupcomingearningsreportsontheportfolio.Whichstocksarelikelytobemostaffected,andwhy?*Answer:Theupcomingearningsreportswilllikelyhaveasignificantimpactontheportfolio,particularlyonDataSystemsInc.andCloudWorks.**DataSystemsInc.:*Themarket'sexpectationsarerelativelyhigh($3.00EPS),andthestockiscurrentlytradingatapremiumtobookvalue,suggestingsensitivitytoearningsnews.Amisscouldleadtoasignificantsell-off.ThehighP/Salesratioalsoindicatesrelianceonsalesgrowth,makingitvulnerabletonegativesurprises.**CloudWorks:*ThisstockhasgeneratedpositivesentimentarounditsnewAIplatform,potentiallyleadingtoinflatedexpectations.ThehighgrowthDDMvaluationishighlysensitivetofutureearningsgrowth.Anearningsreportthatfallsshortofprojectionscouldcauseasharpdecline.Itshighbetaalsomeansitwilllikelyreactmorestronglythanthemarkettopositiveornegativenews.**TechCorp:*Itsvaluationismorestableacrossmethods,butamisscouldstillnegativelyimpactthestockprice,especiallyifitsignalsaslowdowninthecloudcomputingsector.**NetGearSolutions:*WhilepotentiallyundervaluedbasedonP/Sales,itsvaluationislesssensitivetoshort-termearningssurprisescomparedtoCloudWorksorDataSystems.Abeatcouldleadtoapriceincrease,butamissislesslikelytocauseadramaticdrop.**MobileTech:*ItsvaluationissignificantlyundervaluedbasedonP/BandpotentiallyP/E.Abeatcouldleadtoasignificantre-ratingupwards,whileamisswouldlikelyhaveasmallernegativeimpactduetothealreadylowvaluation.5.Proposeonealternativeinvestmentthatcoulddiversifytheportfolioawayfromthetechnologysector.Justifyyourchoice,includingananalysisofitspotentialreturn,risk,andcorrelationwiththeexistingportfolio.*Answer:Analternativeinvestmentthatcoulddiversifytheportfolioawayfromthetechnologysectorisalarge-caphealthcarecompany,forexample,"MediHealthInc.",amajorpharmaceuticalcompany.**PotentialReturn:*MediHealthcouldofferamoderatedividendyieldandpotentialcapitalappreciationbasedonnewdrugapprovalsormarketsharegains.Itsreturnprofilemightbelesscyclicalthantechstocks.(Estimate:8-12%returnpotential).**Risk:*Theriskprofilewoulddependonthespecificcompany.Generally,large-cappharmacompanieshavelowervolatilitythantechstocksbutfacerisksrelatedtoregulatoryapprovals,patentexpirations,anddrugdevelopmentcosts.(Estimate:Betaaround0.7-0.9relativetoS&P500).**Correlation:*Historically,thehealthcaresectorhashadalowercorrelationwiththetechnologysectorcomparedtosectorslikeconsumerdiscretionaryorindustrials.Forinstance,ifTechCorphasabetaof1.2andacorrelationof0.6withMediHealth,addingMediHealthcouldreducetheportfolio'soverallbetaanddiversifyrisk.TheexpectedreturnofMediHealthcouldbeestimatedusingCAPM:E(Rm)=2.5%+0.8*(10%-2.5%)=9.0%.ThisreturnislowerthanTechCorp'sbutprovidesdiversificationbenefits.6.Basedonyouranalysis,providerecommendationsforadjustingthetechnologysectorallocationortheoverallportfoliostrategy.*Answer:Basedontheanalysis:**ReduceTechnologyAllocation:*Thecurrent60%allocationtotechnology(TechCorp30%,DataSystems20%)seemsrelativelyhighforaclientwithamoderate-risktolerance,giventhesector'sconcentrationriskandpotentialvolatility.Reducingthisallocationcouldlowertheportfolio'soverallbetaanddiversifyrisk.Suggestreducingtheallocationto40-50%.**ReplacewithDiversifiedGrowth/Value:*Reallocatetheportionofthetechnologyallocationtoamixofothersectors.Optionsinclude:**Financials:*Alarge-capfinancialcompanylike"BankWestInc."couldofferdividendincomeandmoderategrowthpotential.Correlationwithtechmightbelow.E(R)~9%,Beta~0.9.**ConsumerStaples:*Acompanylike"EssentialFoodsCorp."providesessentialgoodswithstabledemand.Lowbeta(~0.6),stablereturn(~7%).Lowcorrelationwithtech.**ValueStocks:*Adiversifiedvalueequityfundcouldprovidediversificationandpotentialupsidefromundervaluedassets.Returnpotentialmoderate,riskdependsonfundcomposition.**Re-evaluateIndividualStocks:*WhileTechCorpmightbefairlyvaluedonsomemetrics,itshighbetawarrantscaution.Considerifthecurrentweightisjustified.DataSystemsandCloudWorksappearpotentiallyovervaluedandwarrantclosemonitoringorreduction.**ConsiderFixedIncome:*Iftheclient'srisktolerancetrulyismoderate,increasingtheallocationtohigh-qualityfixedincomecouldfurtherreducevolatilityandprovideincome.Thiswouldshifttheportfolio'sfocusslightlyawayfromgrowthstockstowardsincomeandstability.CaseStudy2:FixedIncomePortfolioRebalancing1.Calculatethecurrentyieldtomaturityforeachbondintheportfolio.*Answer:YieldtoMaturity(YTM)istheinternalrateofreturn(IRR)ofthebond.Usingafinancialcalculatororspreadsheet:*BondA:YTM=4.05%(Givenas4.0%)*BondB:YTM=3.55%(Givenas3.5%)*BondC:YTM=4.45%(Givenas4.5%)2.Determinethemodifieddurationandconvexityforeachbond.*Answer:ModifiedDuration(MD)=MacD/(1+YTM),whereMacDisMacauleyDuration.Convexityiscalculatedusingthesecondderivativeofthebondpricechangeformulaorspecificbondconvexityformulas.Usingstandardbondconvexity:*BondA:MD=4.2/(1+0.0405)=4.014.Convexity=45.8(CalculatedbasedonbonddetailsandYTM)*BondB:MD=7.5/(1+0.0355)=7.231.Convexity=128.4*BondC:MD=6.0/(1+0.0445)=5.758.Convexity=110.23.Calculatetheportfolio'sconvexity.*Answer:PortfolioConvexity=(W_A*Conv_A)+(W_B*Conv_B)+(W_C*Conv_C)*PortfolioConvexity=(100/300*45.8)+(80/300*128.4)+(120/300*110.2)=15.27+34.48+44.08=93.834.Analyzethepotentialimpactofa100basispoint(bp)increaseininterestratesontheportfolio'svalue,usingbothdurationandconvexity.*Answer:Usingtheapproximationformula:%ChangeinValue≈-MD*Δy+(1/2)*Convexity*(Δy)^2*UsingModifiedDurationonly:%Change≈-(6.5*1.00)=-6.5%*UsingDurationandConvexity:%Change≈-6.5%+(1/2)*93.83*(1.00)^2=-6.5%+46.92%=40.42%*Note:Theduration-onlyestimateunderestimatestheactualpriceincreasebecauseitignoresthepositiveimpactofconvexity.Theconvexityeffectreducesthepricedeclinewhenyieldsrise.5.Evaluatetheportfolio'ssensitivitytointerestraterisk.Whatarethekeyfactorsthatcontributetothissensitivity?*Answer:Theportfolioishighlysensitivetointerestraterisk,asindicatedbytherelativelyhighportfoliodurationof6.5years.Keyfactorscontributingtothissensitivity:**AverageMaturity:*Theportfolio'sweightedaveragematurity(WAM)isinfluencedbythelonger-durationbonds(BandC).Increasingtheweightofshorter-termbondswouldlowertheWAMandreduceduration.**CouponRates:*Theportfoliocontainsbondswithvaryingcouponrates.Bondswithlowercoupons(BandC)havehigherdurationsandaremoresensitivetoratechanges.**CurrentYieldLevels:*Yieldsarecurrentlybelowtheyields-to-maturityofthebonds,meaningthebondsaretradingatapremiumtopar.Premiumbondshavehigherdurationsthanparbondsofthesamematurityandcouponrate.6.DiscussthepotentialimpactoftheFederalReserve'sactionsontheportfolio.*Answer:IftheFederalReserveraisesinterestratesduetoinflationconcerns,theportfolioislikelytoexperienceadecreaseinvalue.Thisisbecauserisingratesincreasetheopportunitycostofholdingexistingfixed-incomesecuritieswithloweryields,andtheyalsocausethepresentvalueoffuturecashflows(couponsandprincipal)todecrease.Themagnitudeoftheimpactdependsonthemagnitudeoftheratehikesandtheportfolio'sduration(higherduration=largerimpact).Theportfolio'scurrentdurationof6.5yearssuggestsasignificantvulnerabilitytorateincreases.Additionally,ifratesrisefasterthanexpected,theportfolio'svaluecoulddeclinefurtherduetotheconvexityeffect(thedurationincreasesasbondsarerepricedclosertopar).7.Proposeastrategyforrebalancingtheportfoliotomitigateinterestraterisk.Specifytheactionsyouwouldtake,includinganybondpurchasesorsales,andjustifyyourrecommendations.*Answer:Tomitigateinterestraterisk,theportfolioshouldberebalancedtowardsbondswit