2025年CFA《投资分析》真题解析

2025年CFA《投资分析》真题解析考试时间：______分钟总分：______分姓名：______PartI:QuantitativeMethods1.Aninvestmentmanagerexpectsastocktohaveameanreturnof12%withastandarddeviationof20%.Thereturnsarenormallydistributed.Whatistheprobabilitythatthestockwillhaveareturngreaterthan30%?2.Aportfolioconsistsoftwoassets,AandB.AssetAhasanexpectedreturnof10%andastandarddeviationof15%.AssetBhasanexpectedreturnof14%andastandarddeviationof25%.ThecorrelationcoefficientbetweenthereturnsofAandBis0.4.WhatisthestandarddeviationoftheportfolioiftheweightsofAandBare60%and40%,respectively?3.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%andthemarketriskpremiumis8%.WhatistheexpectedreturnofthestockaccordingtotheCapitalAssetPricingModel(CAPM)?4.Youaregiventhefollowingregressionequation:Return=5%+0.8*MarketReturn.Thestandarderroroftheregressionis2%.Ifthemarketreturnis15%,whatisthepredictedreturnofthestock?5.Afairdieisrolledthreetimes.Whatistheprobabilityofrollingatleastonesix?PartII:Economics6.ExplainthedifferencebetweennominalGDPandrealGDP.Whichoneisabettermeasureofeconomicgrowthandwhy?7.Describetheconceptofopportunitycost.Howdoesitrelatetoeconomicdecision-making?8.Explainthedifferencebetweenaperfectlycompetitivemarketandamonopoly.Whichmarketstructureleadstohigherpricesandwhy?9.Whatistheroleofmoneyinaneconomy?Discussthefunctionsofmoney.10.Explaintheconceptofmonetarypolicy.Howcanacentralbankusemonetarypolicytocontrolinflation?PartIII:FinancialStatementAnalysis11.Acompanyreportsthefollowinginformationfortheyear:*Netincome:$1,000,000*Depreciationexpense:$200,000*Accountsreceivableincrease:$100,000*Accountspayableincrease:$50,000*Inventoryincrease:$150,000Whatisthecompany'soperatingcashflow?12.Calculatethefollowingfinancialratiosforacompanywiththefollowingfinancialdata:*Totalassets:$5,000,000*Totalliabilities:$2,500,000*Equity:$3,000,000*Netincome:$500,000*Totalrevenue:$2,000,000*Currentassets:$1,500,000*Currentliabilities:$500,000a)Returnonassets(ROA)b)Returnonequity(ROE)c)Debt-to-equityratiod)Currentratio13.ExplainthepurposeofaDuPontanalysis.Howdoesithelpinanalyzingacompany'sprofitability?14.Acompanyisexpectingitsearningstogrowataconstantrateof5%peryear.Thecompany'scurrentdividendis$1pershare.Iftherequiredrateofreturnonthestockis10%,whatisthevalueofthestockaccordingtotheGordonGrowthModel?15.Explainthedifferencebetweenhorizontalanalysisandverticalanalysisoffinancialstatements.Provideanexampleofeach.PartIV:CorporateIssuers16.Describethedifferenttypesofstockdividendsandhowtheyaffectacompany'sfinancialstatements.17.Explaintheconceptofastocksplit.Whataretheadvantagesanddisadvantagesofastocksplitforacompany?18.Whatisthedifferencebetweenaprimarymarketandasecondarymarket?Giveanexampleofatransactionineachmarket.19.Discusstheroleofcorporategovernanceinensuringtheinterestsofshareholdersareprotected.20.Explaintheconceptofaproxyfight.Whatarethepotentialoutcomesofaproxyfight?PartV:FixedIncome21.Abondwithafacevalueof$1,000andacouponrateof8%paysinterestsemi-annually.Thebondhasamaturityof5years.Whatisthepresentvalueofthebondiftherequiredyieldtomaturityis10%?22.Explaintheconceptofbondduration.Howdoesdurationaffectthepricevolatilityofabond?23.WhatisthedifferencebetweenaTreasurybondandacorporatebond?Whichtypeofbondtypicallyhasahigheryieldandwhy?24.Abondisquotedatapriceof102.Whatdoesthispricemean?25.Explaintheconceptofinterestraterisk.Howcaninvestorsmanageinterestrateriskintheirfixedincomeportfolios?PartVI:EquityInvestments26.Describethedifferenttypesofequityvaluationmethods.Whichmethodismostappropriateforacompanywithnoearnings?27.Explaintheconceptoftheefficientmarkethypothesis(EMH).WhatarethedifferentformsoftheEMH?28.Whatisthedifferencebetweenanactiveinvestmentstrategyandapassiveinvestmentstrategy?Provideanexampleofeach.29.Discussthefactorsthatcanaffectacompany'sstockprice.Whyisitdifficulttopredictstockpricemovements?30.Explaintheconceptofdiversification.Howdoesdiversificationhelpinvestorsreduceriskintheirportfolios?PartVII:EssayQuestions31.Acompanyisconsideringinvestinginanewproject.Theprojectrequiresaninitialinvestmentof$1,000,000andisexpectedtogeneratecashflowsof$300,000peryearfor5years.Therequiredrateofreturnontheprojectis10%.CalculatetheNetPresentValue(NPV)oftheproject.Shouldthecompanyaccepttheproject?Explainyourreasoning.32.Discussthefactorsthatcanaffectacompany'screditrisk.Howcaninvestorsassessacompany'screditrisk?33.Explaintheroleofportfoliomanagementinachievinganinvestor'sfinancialgoals.Describethedifferenttypesofinvestmentportfoliosandtheircharacteristics.34.Analyzethecurrentstateoftheglobaleconomy.Whatarethemajoreconomicrisksfacinginvestorstoday?35.Discusstheethicalconsiderationsinvolvedininvestmentanalysisandportfoliomanagement.Howcaninvestmentprofessionalsensuretheyactinthebestinterestsoftheirclients?试卷答案PartI:QuantitativeMethods1.0.0013*解析：首先计算Z分数：Z=(30%-12%)/20%=1.2。然后查标准正态分布表，得到P(Z>1.2)=1-P(Z<1.2)=1-0.8849=0.1151。由于题目要求的是大于30%的概率，所以最终答案为0.1151，约等于0.0013。2.17.32%*解析：首先计算权重wA=60%=0.6,wB=40%=0.4。然后计算协方差cov(A,B)=0.4*15%*25%=0.03。最后，根据公式计算标准差：sqrt(wA^2*15%^2+wB^2*25%^2+2*wA*wB*0.03)=sqrt(0.0054+0.01+0.0048)=sqrt(0.0202)=17.32%。3.13.4%*解析：根据CAPM公式，预期回报率=无风险利率+Beta*市场风险溢价=3%+1.2*8%=13.4%。4.17%*解析：将市场回报率15%代入回归方程：Return=5%+0.8*15%=5%+12%=17%。5.0.4219*解析：首先计算三次都不出现六的概率：(5/6)^3=125/216。然后计算至少出现一次六的概率：1-125/216=91/216，约等于0.4219。PartII:Economics6.NominalGDPiscalculatedusingcurrentmarketprices,whilerealGDPiscalculatedusingconstantbase-yearprices.RealGDPisabettermeasureofeconomicgrowthbecauseitremovestheeffectsofinflation,reflectingchangesintheactualquantityofgoodsandservicesproduced.7.Opportunitycostisthevalueofthenextbestalternativethatmustbegivenupinordertopursueacertainaction.Itisakeyconceptineconomicdecision-makingbecauseithelpsindividualsandbusinessesevaluatethetruecostoftheirchoices.8.Aperfectlycompetitivemarkethasmanybuyersandsellers,homogeneousproducts,andfreeentryandexit.Amonopolyhasasingleseller,uniqueproducts,andhighbarrierstoentry.Monopoliescansethigherpricesbecausetheyfacenocompetition.9.Moneyservesasamediumofexchange,aunitofaccount,andastoreofvalue.Itfacilitatestransactionsbyeliminatingtheneedforadoublecoincidenceofwantsandprovidesacommonmeasureforvaluinggoodsandservices.Italsoallowspeopletosavewealthforfutureuse.10.Monetarypolicyreferstotheactionstakenbyacentralbanktomanagethemoneysupplyandinterestratesinordertoachievemacroeconomicgoalssuchaspricestabilityandfullemployment.Acentralbankcanusemonetarypolicytoolslikeopenmarketoperations,discountrate,andreserverequirementstocontrolinflationbyincreasinginterestratestoreduceborrowingandspending,ordecreaseinterestratestostimulateeconomicactivity.PartIII:FinancialStatementAnalysis11.$800,000*解析：经营现金流=净利润+折旧-存货增加-应收账款增加+应付账款增加=1,000,000+200,000-150,000-100,000+50,000=$800,000。12.a)10%;b)16.67%;c)0.8333;d)3*解析：a)ROA=净利润/总资产=500,000/5,000,000=10%。b)ROE=净利润/股东权益=500,000/3,000,000=16.67%。c)Debt-to-equityratio=总负债/股东权益=2,500,000/3,000,000=0.8333。d)Currentratio=流动资产/流动负债=1,500,000/500,000=3。13.DuPontanalysisbreaksdownROEintothreecomponents:profitmargin,assetturnover,andfinancialleverage.Ithelpsinanalyzingacompany'sprofitabilitybyidentifyingthedriversofROEandcomparingthemwithindustrypeers.14.$16.67*解析：根据戈登增长模型，股票价值=当期股利*(增长率/(要求回报率-增长率))=1*(0.05/(0.10-0.05))=$16.67。15.Horizontalanalysiscomparesfinancialstatementdataovermultipleperiodstoidentifytrendsandchanges.Forexample,comparingsalesrevenueforthepastthreeyears.Verticalanalysisexpresseseachlineitemonafinancialstatementasapercentageofabaseamount.Forexample,expressingeachassetonthebalancesheetasapercentageoftotalassets.PartIV:CorporateIssuers16.Cashdividendsprovideimmediatecashtoshareholders,whilestockdividendsincreasethenumberofsharesoutstandingbutdonotchangethetotalvalueoftheshareholders'investment.Stocksplitsreducethepricepersharebutincreasethenumberofsharesoutstanding,makingthestockmoreaffordableforsmallinvestors.17.Astocksplitdivideseachshareintomultipleshares,increasingthenumberofsharesoutstandingbutnotchangingthecompany'stotalvalue.Itcanmakethestockmoreaffordableforsmallinvestorsandpotentiallyincreaseliquidity.18.Aprimarymarketiswheresecuritiesarecreatedandsoldtoinvestorsforthefirsttime.Forexample,aninitialpublicoffering(IPO).Asecondarymarketiswherepreviouslyissuedsecuritiesaretradedamonginvestors.Forexample,theNewYorkStockExchange.19.Corporategovernancereferstothesystemofrules,practices,andprocessesbywhichacompanyisdirectedandcontrolled.Itensuresthatthecompany'smanagementactsinthebestinterestsofitsshareholdersandotherstakeholders.20.Aproxyfightisacontestforcontrolofacompany'sboardofdirectors.Managementrequestsproxiesfromshareholderstovoteforthemintheannualmeeting,whiledissidentshareholdersseekproxiestoinstalltheirowncandidatesontheboard.PartV:FixedIncome21.$826.45*解析：该债券每半年支付40美元的利息，共支付10次。根据现值公式，PV=C*[1-(1+r)^-n]/r+F/(1+r)^n，其中C=40,r=10%/2=5%,n=10,F=1000。计算得到PV=40*[1-(1+0.05)^-10]/0.05+1000/(1+0.05)^10=$826.45。22.Bonddurationmeasuresthesensitivityofabond'spricetochangesininterestrates.Abondwithahigherdurationwillexperiencegreaterpricefluctuationswheninterestrateschange.23.TreasurybondsareissuedbytheU.S.governmentandareconsideredrisk-free.Corporatebondsareissuedbycorporationsandcarrycreditrisk.Corporatebondstypicallyhavehigheryieldstocompensateinvestorsforthehigherriskofdefault.24.Abondpricequotedat102meansthatthebondissellingatapremium,102%ofitsfacevalue.So,a$1,000facevaluebondissellingfor$1,020.25.Interestrateriskistheriskthatchangesininterestrateswillaffectthevalueofafixedincomeinvestment.Investorscanmanageinterestrateriskbydiversifyingtheirportfolio,usinginterestrateswaps,orinvestinginbondswithdifferentmaturities.PartVI:EquityInvestments26.Equityvaluationmethodsincludedividenddiscountmodel,price-to-earningsratio,price-to-bookratio,anddiscountedcashflowmodel.Thedividenddiscountmodelismostappropriateforacompanywithstableandpredictabledividendpayments.Forcompanieswithnoearningsbutpositivecashflows,thediscountedcashflowmodelcanbeused.27.Theefficientmarkethypothesis(EMH)statesthatstockpricesreflectallavailableinformationandarethereforedifficulttopredict.TherearethreeformsofEMH:weakform,semi-strongform,andstrongform.Weakformsuggeststhatpastpricescannotpredictfutureprices.Semi-strongformsuggeststhatpastpricesandpublicinformationcannotpredictfutureprices.Strongformsuggeststhatallinformation,includingprivateinformation,isreflectedinprices.28.Anactiveinvestmentstrategyinvolvestryingtobeatthemarketbyselectingspecificstocksortimingthemarket.Apassiveinvestmentstrategyinvolvesinvestinginaportfoliothatmirrorsamarketindex,suchasanexchange-tradedfund(ETF).Anexampleofanactivestrategyisavalueinvestorwhoselectsstocksundervaluedbythemarket.AnexampleofapassivestrategyisaninvestorwhobuysanS&P500ETF.29.Factorsthatcanaffectacompany'sstockpriceincludecompanyperformance,economicconditions,industrytrends,andinvestorsentiment.Itisdifficulttopredictstockpricemovementsbecausetheyareinfluencedbyacomplexinterplayoffactors,includingrandomevents.30.Diversificationisthestrategyofspreadinginvestmentsacrossdifferentassetstoreducerisk.Ithelpsinvestorsreduceriskbecausetheperformanceofdifferentassetsisnotperfectlycorrelated,meaningthatlossesinoneinvestmentcanbeoffsetbygainsinanother.PartVII:EssayQuestions31.NPV=-1,000,000+300,000/(1+0.10)^1+300,000/(1+0.10)^2+300,000/(1+0.10)^3+300,000/(1+0.10)^4+300,000/(1+0.10)^5=$272,108.ThecompanyshouldaccepttheprojectbecausetheNPVispositive,indicatingthattheprojectisexpectedtoaddvaluetothecompany.32.Factorsthatcanaffectacompany'screditriskincludeitsfinancialperformance,industryconditions,managementquality,andeconomicenvironment.Investorscanassessacompany'screditriskbyanalyzingitsfinancialstatements,creditratings,andindustrytrends.Financialstatementanalysisinvolvesexaminingratiossuchasdebt-to-equityratio,interestcoverageratio,andcurrentratio.Creditratingsprovideanindepe