CFA特许金融分析师考试真题.doc

CFA特许金融分析师考试真题
1. A portfolio of no-dividend-paying common stocks earned a geometric mean return of 5 percent between 1 January 1996 and 31 December 200
2. The arithmetic mean return for the same period was 6 percent. If the market value of the portfolio at the beginning of 1996 was $100,000, the market value of the portfolio at the end of 2002 was closest to
A . 135,000
B. 140,710
C. 142,000
D. 150,363
Answer: B
There are seven annual periods between I January 1996 and 31 December 2002, the market value of the portfolio
2. Which of the following statements about standard deviation is most accurate? Standard deviation:
A. is the square of the variance.
B. can be a positive number or a negative number.
C. is denominated in the same units as the original data.
D. is the arithmetic mean of the squared deviations from the mean.
Answer: C
The arithmetic average of the squared deviations around mean is the variance. The standard deviation is the positive square root of the variance and is denominated in the same units as the original data
3. An analyst developed the following probability distribution of the rate of return for a common stock Scenario Probability Rate of Return
1 0.25 0.08
2 0.50 0.12
3 0.25 0.16
The standard deviation of the rate of return is closest to
A. 0.0200
B. 0.0267
C. 0.0283
D. 0.0400
Answer:C
Expected value=0.12
Variance=0.0008
Standard deviation=0.028
4. A common stock with a coefficient of variation of 0.50 has
a (n):
A. Variance equal to half the stock’s expected return
B. Expected return equal to half the stock’s variance
C. Expected return equal to half the stock’s standard deviation
D. Standard deviation equal to half the stock’s expected return
Answer: D
The coefficient of variation is a measure of relative dispersion that indicates how much dispersion exists relative to the mean of the distribution the coefficient of variation is the standard deviation divided by the mean
5. If no other estimator of a given parameter has a sampling distribution with a smaller variance, the estimator used is best characterized as
A. accurate
B. efficient
C. unbiased
D. consistent
Anewser B. An unbiased estimator is efficient if no other unbiased estimator of the same parameter has a sampling distribution with smaller variance
1. A portfolio of no-dividend-paying common stocks earned a geometric mean return of 5 percent between 1 January 1996 and 31 December 200
2. The arithmetic mean return for the same period was 6 percent. If the market value of the portfolio at the beginning of 1996 was $100,000, the market value of the portfolio at the end of 2002 was closest to
A . 135,000
B. 140,710
C. 142,000
D. 150,363
Answer: B
There are seven annual periods between I January 1996 and 31 December 2002, the market value of the portfolio
2. Which of the following statements about standard deviation is most accurate? Standard deviation:
A. is the square of the variance.
B. can be a positive number or a negative number.
C. is denominated in the same units as the original data.
D. is the arithmetic mean of the squared deviations from the mean.
Answer: C
The arithmetic average of the squared deviations around mean is the variance. The standard deviation is the positive square root of the variance and is denominated in the same units as the original data
3. An analyst developed the following probability distribution of the rate of return for a common stock
Scenario Probability Rate of Return
1 0.25 0.08
2 0.50 0.12
3 0.25 0.16
The standard deviation of the rate of return is closest to
A. 0.0200
B. 0.0267
C. 0.0283
D. 0.0400
Answer:C
Expected value=0.12
Variance=0.0008
Standard deviation=0.028
4. A common stock with a coefficient of variation of 0.50 has
a (n):
A. Variance equal to half the stock’s expected return
B. Expected return equal to half the stock’s variance
C. Expected return equal to half the stock’s standard deviation
D. Standard deviation equal to half the stock’s expected return
Answer: D
The coefficient of variation is a measure of relative dispersion that indicates how much dispersion exists relative to the mean of the distribution the coefficient of variation is the standard deviation divided by the mean
5. If no other estimator of a given parameter has a sampling distribution with a smaller variance, the estimator used is best
characterized as
A. accurate
B. efficient
C. unbiased
D. consistent
Anewser B. An unbiased estimator is efficient if no other unbiased estimator of the same parameter has a sampling distribution with smaller variance
1. What are the mean and standard deviation of a standard normal distribution?
Mean Standard deviation
A 0 0
B 0 1
C 1 0
D 1 1
Answer: B. The standard normal distribution (unit normal distribution) has a mean of zero and a standard deviation deviation of one
2. The population mean and standard deviation of monthly net
sales for a company are $100 million and $30 million, respectively. if monthly net sales are normally distributed, which of the following best describes the interval that would be expected to contain approximately 95 percent of the monthly net sales?
A. $10 million to $190 million.
B. $30 million to $170 million.
C. $40 million to $160 million.
D. $70 million to $130 million.
Answer: C. In normal distribution, about 95 percent of the observations will fall within standard deviations of the mean $100-2*(30)=$40and $100+2*(30)= $160
3. A mutual fund manager wants to create a fund based on a high-grade corporate bond index. She first distinguishes between utility bonds and industrial bonds; she then for each segment defines maturity intervals of less than 5 years, 5 to 10 years, and greater than 10 years. For each segment and maturity level, she classifies the bonds as callable or non-callable. For the manager’s sample, which of the following best describes the
Sampling approach Number of sampling cells?
A Simple random sample 3
B Simple random sample 12
C Stratified random sample 3
D Stratified random sample 12
Answer: D.The mutual fund manager is using a stratified random sampling approach with 12 cells: 2*3*2=12 sampling cells
4. A utility analyst performed a regression analysis relating monthly energy consumption to average monthly temperature over the last four years. Total variation of the dependent variable was 58.6 and the unexplained variation was 31.3. The coefficient of determination and standard error of the estimate, respectively, for the regression model are closest to
Coefficient of determination Standard error of the estimate
A 0.4659 0.8075
B 0.4659 0.8249
C 0.5341 0.8075
D 0.5341 0.8249
Answer: B. The coefficient of determination is explained variation divided by total variation (58.6-31.3)/58.6=0.4659. There are a total of 48 observations in the sample the standard error of the estimate is(31.3/(48-2))1/2=0.8249
5. A lognormal distribution differs from a normal distribution in that a lognormal distribution:
A. is skewed to the left
B. cannot contain negative values
C. has less complicated confidence intervals
D. is completely described by two parameters
Answer: B. The lognormal distribution is bounded on the left by zero, but a normal distribution contains negative values.
技术性分析的两个基本假定是，证券价格能够：
a.逐步地根据新的信息作出调整，研究经济环境能够预测未来市场的走向。

b.迅速地根据新的信息作出调整，研究经济环境能够预测未来市场的走向。

c.迅速地根据新的信息作出调整，市场价格由供求关系决定。

d.逐步地根据新的信息作出调整，市场价格由供求关系决定。

49.当技术分析人员说一只股票有很好的“相对强势”时是指：
a.股票价格与市场价格指标或者行业价格指数的比率趋向于上升。

b.这支股票最近的交易量超过了它通常的交易量。

c.这支股票的收益率超过了国库券的收益率。

d.这支股票最近经营得比过去好。

50.考虑下列图形，该图表示内幕人员买卖公司股票的日期前后的累积非正常收益。

投资者怎样解释这一图形?我们怎样得到此类在事件发生日前后的累计的异常收益?
51.假定某一周，美联储宣布了一项新的货币增长政策：议会令人吃惊地通过了对国外汽车的进口限制法案。

福特公司推出一款新的汽车车型，并确信它会带来巨大的利润。

关于市场对福特新车型的评估，投资者怎样评价?
52.好消息公司刚刚宣布其年收益的增加，但其股价却下跌了。

可否对这一现象作出合理的解释?
53.试找出对在CAPM模型中使用的贝塔值的三种批判并简述之。

54.理查德罗尔在一篇关于使用CAPM模型来评价投资业绩的文章中，指出如果存在基准误差，就可能无法评价资产组合的管理能力。

a.描述在评价投资业绩时的一般程序，注重强调所用的基准。

b.试说明罗尔的基准误差的含义，并找出所用的基准特有的问题。

c.画图表示一个用“作为标准”的证券市场线来测度被视
为优良的投资有可能以真实证券市场线来测度是低劣的投资。

d.假定投资者了解到一投资经理，根据道琼斯工业平均指数和标准普尔500指数及纽约证券交易所综合指数都被视为业绩优良。

试说明这种一致是否在投资者考虑其真实能力时将增加投资者的信心?
e.即使对罗尔提出的基准差可能带来的问题作出让步，一些人仍认为这并不能说明CAPM模型无效，而只能说是在应用该理论时存在着测度标准方面的错误。

另一些人则认为由于基准误差的存在，整个方法都应被取缔。

选择其中的一种观点并证明之。

55.菲利普莫里斯公司将发行一种10年期固定收益的债券，它的条款中包括设立偿债基金以及再融资或赎回保护等条款。

a.试描述一下偿债基金条款。

b.解释一下偿债基金条款对以下两项的影响：
.此证券的预期平均有效期。

.此证券在有效期内的总的本金与利息支付。

c.从投资者的角度，解释一下为什么需要偿债基金条款?
61.Z公司的债券，票面额为1 000美元，售价960美元，五年到期，年息票率为7%，半年付息一次。

a.计算：
.当期收益率.到期收益率
.持有三年，认识到期间再投资收益率为6%的投资者，在第三年末，7%的息票债券与前两年的所得仍以7%的价格售出，则该投资者的实际复利收益率为多少?
b.对以下每种固定的收益测度指标，各指出一个主要缺陷：ⅰ.当期收益率ⅱ.到期收益率ⅲ.实际复利收益率
62.一种可转换债券有以下特性：
年利率(收益率)(%)
5.25
可转换的普通股市价/美元
28.00
到期期限(到期日)
2017年6月15日
年红利/美元
1.20
债券市价/美元
77.50
转换率/股
20.83
计算这种债券的转换溢价。

63.a.试说明在发行一种债券时，附加提前回购条款对债券的收益率会产生什么影响?
b.试说明在发行一种债券时，附加提前回购条款对债券的预期期限会有何影响?
c.试说明一个资产组合中如果包含一可回购的债券，会有何利弊?
64.以下多项选择题摘自以往的注册金融考试(CFA)试题：
a.哪种债券有的信用水平?
ⅰ.Sumter债券、South Carolina债券、Water & Sewer的收入债券。

ⅱ.Riley 县债券、堪萨斯债券、一般性责任债券。

ⅲ.堪萨斯大学医疗中心再融资收入债券(由美国市政债券保险公司保险)
ⅳ.Euless,得克萨斯一般性责任债券(在到期时由美国政府进行再融资或担保)
65.简要说明期限不同的债券因为：(1)预期;(2)流动性;(3)市场分割假说而有不同的收益。

简述当收益率曲线为：(1)向上倾斜;(2)向下倾斜时以上三种假说的含义。

66.以下关于利率的期限结构的说法哪个正确?
a.预期假说表明如果预期未来短期利率高于即期短期利率，则收益曲线会渐趋平缓。

b.预期假说认为长期利率等于预期短期利率。

c.流动性溢价理论认为其他都相等时，期限越长，收益率越低。

d.市场分割理论认为借贷双方各自偏好收益率曲线的特定部分。

67.短期利率与远期利率的差别与以下关于利率期限结构的哪种解释最密切相关?
a.预期假说。

b.流动性溢价理论。

c.习惯性偏好假说。

d.市场分割假说。

68.假定下表表示了1996年1月1日美国国债的到期收益率：
期限/年
到期收益率(%)
期限/年
到期收益率(%)
1
2
3
3.50
4.50
5.00
4
5
10
5.50
6.00
6.60
69.六个月期国库券即期利率4%。

一年期国库券即期利率5%，则六个月后隐含的六个月远期利率为：a.3.0% b.4.5% c.5.5% d.6.0%
1.下列多项选择题摘自过去的注册金融分析师(CFA)考试的试题：
a.公司的优先股经常以低于其债券的收益率出售，这是因为：
i.优先股通常有更高的代理等级
ii.优先股持有人对公司的收人有优先要求权
iii.优先股持有人在公司清算时对公司的资产有优先要求权
iv.拥有股票的公司可以将其所得红利收入免征所得税
b.一市政债券息票率为6 3/4%，以面值出售;一纳税人的应税等级为34%，该债券所提供的应税等价收益为：i.4.5% ii.10.2% iii. 13.4% iv.19.9%
c.在股指期权市场上，如果预期股市会在交易完成后迅速上涨，以下哪种交易风险?
i.卖出看涨期权ii. 卖出看跌期权iii.买入看涨期权iv. 买入看跌期权2.6个月(182天)期的美国国库券，面值100000美元，银行贴现率9.18%，求其价格。

3.一免税债券的息票率为5.6%，而应税债券为8%，都按面值出售,要使资者对两种债券感觉无差异,税收等级(边际税率)应为:a.30.0% b. 39.6%. c. 41.7%. d .42.9%
4.投资者借得20 000美元去买迪斯尼公司的股票，每股现价为80美元，投资者的帐户初始保证金要求是50%，维持保证金比率为35%，两天后，股价降至75美元。

a.投资者会收到追缴保证金的通知吗?
b.股价降至多少，投资者会收到追缴保证金的通知?
5.如果投资者看跌美国电报电话公司的股票，决定以市场现价50美元/每股卖出100股。

a.如果经纪人帐户初始保证金要求是空头头寸价值的50%，投资者需要在投资者的经纪人帐户上存入多少现金或证券?
b.如果维持保证金比率为30%，股票价格上涨多少，投资者将收到追缴保证金通
6.1月1日，投资者卖空一揽子(即100股)Zenith公司的股票，价格为14美元/每股。

3月1日，每股支付红利2美元。

4月1日，以9美元/每股买入平仓。

每次交易支付佣金50美分/股。

4月1日，投资者的帐户价值多少?
LEVEL III, QUESTION 1
Topic: Portfolio Management -Institutional Investor
Minutes: 18
Reading References:
1. “Managing Institutional Investor Portfolios,”Charles R. Tschampion, Laurence B.
Siegel, Dean J. Takahashi, and John L. Maginn, Managing Investment Portfolios: A
Dynamic Process, 3rd edition (CFA Institute) Purpose:
To test the candidate’s ability to formulate an investment policy statement for a defined benefit
pension plan.LOS: The candidate should be able to
1. “Managing Institutional Investor Portfolios”(Study Session 10)
b) discuss investment objectives and constraints for defined benefit plans;
c) appraise pension fund risk tolerance when risk is considered from the perspective of
the 1) plan surplus, 2) sponsor financial status and profitability, 3) sponsor and
pension fund common risk exposures, 4) plan features, and 5) workforce
characteristics;
d) formulate an investment policy statement for a defined benefit plan;
e) evaluate the potential effects of a corporate pension fund investment policy on plan
surplus, the corporation’s valuation, and the corporation’s constituents.
Guideline Answer:
Part A
BC Plc has below average risk tolerance, compared to the
average FTSE 350 company pension
plan, for any four of the following reasons:
BC Plc’s pension plan is more under-funded. The ratio of plan assets to plan liabilities at 0.83 is less than 1.0 and below the FTSE 350 average of 0.97. BC Plc’s workforce has a higher average age.
BC Plc’s workforce has a higher ratio of retired lives to active lives.
BC Plc’s workforce has higher years of service.
BC Plc has lower profitability.
BC Plc has a higher debt ratio
1.Greg Stiles, CFA, has recently liquidated most of a client’s portfolio because the client is planning to buy a house. Stiles informs one of the brokers in his office who has his real estate license about the plans of his client. With respect to Standard III(E), Preservation of Confidentiality, this action:
Select exactly 1 answers from the following:
A. is appropriate since Stiles only tells a licensed salesman.
B. is appropriate since Stiles waited until after the liquidation of the securities.
C. is appropriate since Stiles keeps the information in the firm.
D. violates the Standard unless the client asks Stiles to tell the licensed salesman.
2.A firm issues a $5 million zero coupon bond with a maturity of four years when market rates are 8 percent. Assuming semiannual compounding periods, the total interest on this bond is:
Select exactly 1 answers from the following:
A. $1,200,000.
B. $1,200,411.
C. $1,346,549.
D. $1,600,000.
3.The JME Jumpers, a professional volleyball team, sells season tickets to all home games. The cost of a season ticket is $1,000 and the team plays 20 home games, which run from April through August. For the year ended June 30, 2005, JME sold 1,200 tickets, collected 80 percent of the amount owed, and played 12 home games. How much revenue should JME recognize?
Select exactly 1 answers from the following:
A. $0.
B. $960,000.
C. $1,200,000.
D. $720,000.
4.Which of the following most accurately describes the shapes of the average variable cost (A VC) and average total cost (ATC) curves?
Select exactly 1 answers from the following:
A. The A VC and ATC curves are both U-shaped
B. The A VC and ATC curves both decrease initially, and then flatten.
C. The A VC curve is U-shaped whereas the ATC curve declines initially then flattens.
D. The A VC curve declines initially then flattens, whereas the ATC curve is U-shaped
5.Which of the following is a difference between primary and secondary capital markets?
Select exactly 1 answers from the following:
A. Primary markets are where stocks trade while secondary markets are where bonds trade.
B. Both primary and secondary markets relate to where stocks and bonds trade after their initial offering.
C. Secondary capital markets relate to the sale of new issues
of bonds, preferred, and common stock, while primary capital markets are where securities trade after their initial offering.
D. Primary capital markets relate to the sale of new issues of bonds, preferred, and common stock, while secondary capital markets are where securities trade after their initial offering.
6.A firm is expected to have four years of growth with a retention ratio of 100 percent. Afterwards the firm’s dividends are expected to grow 4 percent annually, and the dividend payout ratio will be set at 50 percent. If earnings per share (EPS) = $2.4 in year 5 and the required return on equity is 10 percent, what is the stock’s value today?
Select exactly 1 answers from the following:
A. $20.00.
B. $13.66.
C. $30.00.
D. $40.23.
7.The earnings multiplier model, derived from the dividend discount model, expresses a stock’s P/E ratio (P0/E1) as the:
Select exactly 1 answers from the following:
A. expected dividend in one year divided by the difference between the required return on equity and the expected dividend
growth rate.
B. expected dividend payout ratio divided by the difference between the required return on equity and the expected dividend growth rate.
C. expected dividend payout ratio divided by the sum of the expected dividend growth rate and the required return on equity.
D. dividend yield plus the expected dividend growth rate.
8.Which of the following statements about return objectives is FALSE?
Select exactly 1 answers from the following:
A. To achieve the capital appreciation objective, the nominal rate of return must exceed the rate of inflation.
B. The total return objective is riskier than the current income objective.
C. To achieve the capital preservation objective, the nominal rate of return must exceed the inflation rate.
D. The total return objective is less risky than the capital appreciation objective.
9.An analyst is currently considering a portfolio consisting of two stocks. The first stock, Remba Co., has an expected return of 12 percent and a standard deviation of 16 percent. The second stock,
Labs, Inc, has an expected return of 18 percent and a standard deviation of 25 percent. The correlation of returns between the two securities is 0.25.
If the analyst forms a portfolio with 30 percent in Remba and 70 percent in Labs, what is the portfolio’s expected return?
Select exactly 1 answers from the following:
A. 15.0%.
B. 17.3%.
C. 16.2%.
D. 21.5%.
10.Which of the following statements regarding the Markowitz model of portfolio theory is FALSE? The model assumes investors:
Select exactly 1 answers from the following:
A. evaluate investment opportunities as a probability distribution of expected returns over some time period.
B. view the mean of the distribution of potential outcomes as the expected risk of an investment.
C. estimate a portfolio’s risk on the basis of the variability of expected returns.
D. prefer higher returns to lower returns if the expected risk is the same, and less risk to more risk if the expected return is the same.。