CFA考试一级章节练习题精选0329-5(附详解)
CFA考试一级章节练习题精选0329-53(附详解)
CFA考试一级章节练习题精选0329-53（附详解）1、An analyst does research about moneyness of stock options.With respect to stockoptions, the potential for an infinite loss exists for an investor who:【单选题】A.sells a put option.B.buys a put option.C.sells a call option.正确答案:C答案解析:卖出一个看涨期权，从理论上来讲，当股票价格上升无穷大时，该卖方的损失也会无穷大；而卖出一个看跌期权，因为股票价格最低也就跌到零，所以该卖方的损失是有限的。
对于看涨期权和看跌期权的买方来讲，当不考虑期权成本时，不会发生亏损。
2、An investor who holds a long position in a futures contract will most likely receive a margin call if the ending balance in his margin account falls below the:【单选题】A.variation margin.B.initial margin requirement.C.maintenance margin requirement.正确答案:C答案解析:A margin call is due whenever the ending balance in the margin account falls below the maintenance margin requirement. 2014 CFA Level I"Futures Markets and Contracts," by Don M. ChanceSection 33、Which of the following statements best describes changes in the value of a long forward positionduring its life?【单选题】A.As interest rates go down, the value of the position goes up.B.As the time to maturity goes down, the value of the position goes up.C.As the price of the underlying goes up, the value of the position goes up.正确答案:C答案解析:Given the formula for the value of a forward contract:it follows that the value of the contract goes up as the price of the underlying goes up.CFA Level I"Basics of Derivative Pricing and Valuation, Don M. Chance, CFASection 3.1.34、Which of these is best classified as a forward commitment?【单选题】A.A swap agreementB.A convertible bondC.An asset-backed security正确答案:A答案解析:2010 Modular Level I, Vol. 6, pp. 7-10Study Session 17-67-bDefine a forward commitment and a contingent claimA swap agreement is equivalent to a series of forward agreements, which are described as forward commitments.5、An analyst does research about option moneyness.An investor paid $5 for a putoption that was in-the-money $3.If the price of the underlying was $59 at thetime the investor purchased the put option, the exercise price of that put optionwas closest to :【单选题】A.$51B.$56C.$62正确答案:C答案解析:因为是看跌期权，只有当前价格低于行权价格，该看跌期权才是价内的，并且与期权成本无关。
CFA考试一级章节练习题精选0329-56(附详解)
CFA考试一级章节练习题精选0329-56（附详解）1、A descriptive measure of a population characteristic is best described as a:【单选题】A.parameter.B.frequency distribution.C.sample statistic.正确答案:A答案解析:Any descriptive measure of a population characteristic is called a parameter.CFA Level I"Statistical Concepts and Market Returns," Richard A. DeFusco, Dennis W. McLeavey, Jerald E.Pinto, and David E. RunkleSection 2.22、An investor purchases one share of stock for $85. Exactly one year later, the company pays a dividend of $2.00 per share. This is followed by two more annual dividends of $2.25 and $2.75 in successive years. Upon receiving the third dividend, the investor sells the share for $100. The money-weighted rate of return on this investment is closest to:【单选题】A.7.97%.B.8.15%.C.8.63%.正确答案:B答案解析:“Discounted Cash Flow Applications,” Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkle2012 Modular Level I, Vol. 1, pp. 320–321Study Session 2-6-dCalculate, interpret, and distinguish between the money-weighted and time-weighted rates of return of a portfolio, and evaluate the performance of portfolios based on these measures.B is correct. The money-weighted rate of return is the internal rate of return (IRR) of the cash flows associated with the investment. Use the cash flow (CF) function of a financial calculator and enterCalculate the IRR. The answer is 8.15%.3、An investor currently has a portfolio valued at $700,000. The investor’s objective is long-term growth, but she will need $30,000 by the end of the year to pay her son’s college tuition and another $10,000 by year-end for her annual vacation. The investor is considering three alternative portfolios:Using Roy’s safety-first criterion, which of the alternative port folios most likely minimizes the probability that the investor’s portfolio will have a value lower than $700,000 at year-end?【单选题】A.Portfolio 2B.Portfolio 3C.Portfolio 1正确答案:B答案解析:The investor requires a minimum return of ($30,000 + $10,000)/$700,000, or 5.71%. Roy’s safety-first model uses the excess portfolio’s expected return over the minimum return and divides that excess by the standard deviation for that portfolio:。
CFA考试一级章节练习题精选0329-57(附详解)
CFA考试一级章节练习题精选0329-57（附详解）1、An analyst gathers the following information ($ millions) about the performance of a portfolio:The portfolio’s annual time-weighted rate of return (%) is closest to:【单选题】A.8.B.27.C.32.正确答案:C答案解析:“Discounted Cash Flow Applications,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA2010 Modular Level I, Vol. 1, pp. 247-253Study Session 2-6-cCalculate, interpret, and distinguish between the money-weighted and time-weighted rates of return of a portfolio and appraise the performance of portfolios based on these measures.The time-weighted rate of return is calculated by computing the quarterly holding period returns and linking those returns into an annual return. In this case, the quarterly holding periods are 2.4/2.2 = 1.0909, 2.6/2.8 = 0.9286, 3.2/2.4 = 1.3333, and 4.1/4.2 = 0.9762. The time-weighted return is thus (1.0909 × 0.9286 × 1.3333 × 0.9762) - 1 = 1.3185 – 1 = 0.3185 or 31.85%.2、An investor purchases a bond for $989.00.After 180 days the investor receives aninterest payment of $25.10 and sells the bond for $1036.40.The investor'seffectiveannual yield is closest to:【单选题】A.14.66%B.15.20%C.15.42%正确答案:C答案解析:由题意可知，- 1 = 15.42%。
CFA考试一级章节练习题精选0329-35(附详解)
CFA考试一级章节练习题精选0329-35（附详解）1、An investor examines the following rate quotes for the Brazilian real and the Australian dollar:If the investor shorts BRL500,000 he will achieve a risk-free arbitrage profit (in BRL) closest to:【单选题】A.–6,327.B.1,344.C.6,405.正确答案:B答案解析:“Currency Exchange Rates,” William A. Barker, CFA, Paul D. McNelis, and Jerry Nickelsburg2013 Modular Level I, Vol. 2, Reading 21, Section 3.3Study Session 6–21–f, gExplain the arbitrage relationship between spot rates, forward rates and interest rates.Calculate and interpret a forward rate consistent with a spot rate and the interest rate in each currency.B is correct. If the right side of the following equation is greater than the left, an arbitrage opportunity exists.= Spot rate: number of units of foreign currency (price currency) per one unit of domestic currency=Forward rate: number of units of foreign currency (price currency) per one unit of domestic currency= Domestic interest rate= Foreign interest rateThe arbitrage profit is the right side of the equation minus the left side.Left side of equation: BRL500,000 × (1 + 0.041) = BRL520,500.Right Side:Arbitrage profit = BRL521,844 (right side above) – BRL520,500 (left side above) = 1,344.2、The Nash equilibrium for a duopoly faced with a “Prisoners’ Dilemma” set of choices is most likely to result in:【单选题】A.both firms earn economic profits.B.neither firm earns an economic profit.C.one of the firms earns an economic profit but the other firm does not.正确答案:B答案解析:“Monopolistic Competition and Oligopoly,” Michael Parkin2010 Modular Level I, Vol. 2, pp. 245-247Study Session 5-20-eDescribe the oligopoly games including the Prisoners’ Dilemma.The Nash equilibrium for the duopoly is that both firms cheat on their collusive agreement. Prices and quantities produced are the same as those in perfect competition; neither firm earns an economic profit.3、Assume that at current production and consumption levels, a product exhibits price elasticity of demand equal to 1.20 and elasticity of supply equal to 1.45. The true economic consequences of taxes imposed on the seller of such a product are most likely borne:【单选题】A.by the seller.B.by the buyer.C.partly by the buyer and partly by the seller.正确答案:C答案解析:“Elasticity,” Michael Parkin2011 Modular Level I, Vol. 2, pp. 27-28“Markets in Action,” Michael Parkin2011 Modular Level I, Vol. 2, pp. 80-84Study Session 4-13-a; 4-15-cCalculate and interpret the elasticities of demand (price elasticity, cross elasticity, and income elasticity) and the elasticity of supply and discuss the factorsthat influence each measure.Explain the impact of taxes on supply, demand, and market equilibrium, and describe tax incidence and its relation to demand and supply elasticity.As the good exhibits neither perfectly elastic nor perfectly inelastic demand or supply (see pp. 27-28), the incidence of taxation will be shared by buyers and sellers regardless of whether the tax is placed on buyers or on sellers.4、Which of the following statements about a central bank's actions would mostlikely cause an immediate increase of the banking system's excess reserves?【单选题】A.Decreasing the policy rate.B.Selling securities in the open market.C.Decreasing the required reserve ratio.正确答案:C答案解析:降低法定存款准备金率会导致商业银行吸收存款后有更多的资金可以用于放贷，从而增加了银行系统的可贷资金余额，这种影响也最为直接。
CFA考试一级章节练习题精选0329-60(附详解)
CFA考试一级章节练习题精选0329-60（附详解）1、The following information is available for a company:In 2010, the company most likely:【单选题】A.paid a dividend of $1,000B.paid a dividend of $5,000C.did not pay a dividend because they incurred a loss.正确答案:B答案解析:“Financial Reporting Mechanics,” Thomas R. Robinson, CFA, Jan Hendrik van Greuning, CFA, Karen O’Connor Rubsam, CFA, R. Elai ne Henry, CFA, and Michael A. Broihahn, CFA2010 Modular Level 1, Vol.3, pp. 43Study Session: 7-30-b, cExplain the accounting equation in its basic and expanded forms.Explain the process of recording business transactions using an accounting system based on the accounting equations.2、An analyst does research about gross profit margin and gathers the following informationabout a company in 2012 :● Average inventory is $2 000● Ending inventory of the year is $2 500● Total revenue is $20 000● Inventory turnover ratio is 5.5● Ta x rate is 40%The gross profit margin for the company is closest to:【单选题】A.27%B.31%C.45%正确答案:C答案解析:inventory turnover ratio = cost of goods sold/ average inventorygross profit = revenue - cost of goods soldgross profit margin = gross profit/ revenue所以，边际毛利率的计算如下：（$20 000 - 5.5 × $2 000）/$20 000 = 45%。
CFA考试一级章节练习题精选0329-48(附详解)
CFA考试一级章节练习题精选0329-48（附详解）1、The following tables present excerpts from financial statements for two merchandising companies following the format found in each of their annual reports.Which of the companies most likely prepares its financial statements in accordance with U.S. GAAP?【单选题】A.Both companiesB.Only Company AC.Only Company B正确答案:C答案解析:Company A prepares its financial statements under IFRS whereas company B uses U.S. GAAP. IFRS does not specify the order of presentation of current and noncurrent assets. Under U.S. GAAP, current assets are presented before long-term assets and current liabilities before long-term ones.2014 CFA Level 1"Understanding Balance Sheets," by Elaine Henry and Thomas R. RobinsonSection 2.12、Given the following information about a company:What is the most appropriate conclusion an analyst can make about the solvency of the company? Solvency has:【单选题】A.improved because the debt-to-equity ratio decreased.B.deteriorated because the debt-to-equity ratio increased.C.improved because the fixed charge coverage ratio increased.正确答案:A答案解析:“Financial Analysis Techniques,” Elaine Henry, Thomas R. Robinson, and Jan Hendrik van Greuning2012 Modular Level I, Vol. 3, pp. 364–366“Non-Current (Long-Term) Liabilities,” Elizabeth A. Gordon and Elaine Henry2012 Modular Level I, Vol. 3, pp. 574–575Study Session: 8-28-b, 9-32-lClassify, calculate, and interpret activity, liquidity, solvency, profitability, and valuation ratios.Calculate and interpret leverage and coverage ratios.A is correct. The debt–equity ratio decreased, thereby improving solvency; the fixed charge ratio remained the same.3、The following information for the current year is available for a company that prepares its financial statements in accordance with U.S. GAAP.The company’s operating profit (in $000s) is closest to:【单选题】A.1,850.B.2,050.C.2,300.正确答案:B答案解析:“Understanding Income Statements,” Elaine Henry, CFA, a nd Thomas R. Robinson, CFA 2013 Modular Level I, Vol.3, Reading 25, Section 4.2.3, Example 10, 5.3, 5.5Study Session 8–25–fDistinguish between the operating and non-operating components of the income statement.B is correct.4、An analyst is reviewing the property, plant, and equipment disclosure related to a company'swarehouse. The company uses the International Financial Reporting Standards (IFRS) revaluationmodel. The analyst would least likely be able to determine:【单选题】A.the carrying amount under the cost model.B.the original date of acquisition.C.how the fair value was obtained.正确答案:B答案解析:IFRS does not require disclosure of the original date of acquisition.CFA Level I"Long-Lived Assets," Elaine Henry and Elizabeth A. GordonSection 75、A company operating in a highly fragmented and competitive industry reported an increase in ROE over the prior year. Which of the following reasons forthe increase in ROE is least likely to be sustainable? The company:【单选题】A.increased the prices of its product significantly.B.decided to make greater use of long-term borrowing capacity.C.implemented a new IT system allowing it to reduce working capital levels as a percentage of assets.正确答案:A答案解析:“Understanding Income Statements,” Elaine Henry, CFA and Thomas R. Robinson, CFA2013 Modular Level I, Vol. 3, Reading 25, Section 5.3“Financial Analysis Techniques,” Elaine Henry, CFA, Thomas R. Robinson, CFA, and Jan Hendrik van Greuning, CFA2013 Modular Level I, Vol.4, Reading 28, Section 4.6.2“Introduction to Industry and Company Analysis,” Patrick W. Dorsey, CFA, Anthony M. Fiore, CFA and Ian Rossa O’Reilly, CFA2013 Modular Level I, Vol.5, Reading 50, Section 5.1.2Study Sessions: 8-25-e, 8-28-d, 14-50-gDescribe the financial reporting treatment and analysis of non-recurring items (including discontinued operations, extraordinary items, and unusual or infrequent items) and changes in accounting standards.Demonstrate the application of Dupont analysis of return on equity, and calculate and interpret the effects of changes in its components.Explain the effects of barriers to entry, industry concentration, industry capacity, and market share stability on pricing power and return on capital.A is correct.An increase in price is not sustainable in a fragmented and competitive industry. Fragmented industries tend to be highly price competitive because of the need to increase market share and to undercut prices in an attempt to steal share.。
CFA考试一级章节练习题精选0329-40(附详解)
CFA考试一级章节练习题精选0329-40（附详解）1、The Semi-strong form efficient market hypothesis assumes the security pricesfully reflect information about:【单选题】A.industry trends.B.trading volumes.C.private information.正确答案:A答案解析:弱式有效市场（Weak-form efficient market）的价格充分反映了历史交易信息，包括价格和成交量。
半弱式有效市场（Semi-strong form efficient market）的价格充分反映了所有公开信息。
强式有效市场（Strong-form market efficient market）的价格充分反映了公开和内幕信息。
2、The issue of differences in accounting conservatism between companies is best addressed when companies are compared using which of the following ratios?【单选题】A.Price-to-earningsB.Price-to-cash flowC.Price-to-book value正确答案:B答案解析:“Introduction to Price Multiples,” John D. Stowe, CFA, Thomas R. Robinson, CFA, Jerald E. Pinto, CFA, and Dennis W. McLeavey, CFA2010 Modular Level I, Vol. 5, pp. 215-217Study Session 14-59-aDiscuss the rationales for, and the possible drawbacks to, the use of price-to-earnings (P/E), price-to-book value (P/BV), price-to-sales (P/S), and price-to-cash flow (P/CF) in equity valuation.Using price-to-cash flow rather than price-to-earnings addresses the issue of differences in accounting conservatism between companies (differences in quality of earnings).3、The weak-form market efficiency most accurately assumes that current security prices:【单选题】A.adjust rapidly to the release of all public information.B.fully reflect all past market information, including transactions by exchange specialists.C.fully reflect all information from public and private sources.正确答案:B答案解析:In the weak-form efficient market hypothesis, security prices fully reflect all past market data including transactions by exchange specialists.2014 CFA Level I“Market Efficiency,” W. Sean Cleary, Howard J. Atkinson, and Pamela Peters on DrakeSection 34、An analyst does research about equity valuation and gathers the followinginformation about a company and the economy.The current share price is$45, the price-to-earnings ratio is 15, the nominal risk-free rate is 3.1%,the risk premium is 7% , and the expected retention ratio is 40%.The best estimateof the company's dividend growth rate is:【单选题】A.6.1%B.7.4%C.14.1%正确答案:A答案解析:P/E = payout ratio/(k - g)，其中payout ratio = 1 - retention ratio = 1 -0.4=0.6，k = nominalrisk-free rate + risk premium = 3.1% + 7% = 10.1%，各数值代入有：15 = 0.6/(10.1% - g），得出g =6.1%。
CFA考试一级章节练习题精选0329-41(附详解)
CFA考试一级章节练习题精选0329-41（附详解）1、Michael Allen, CFA, works for an investment management company and managesportfolios for a variety of retail and institutional clients for his firm, includinghis wealthy uncle, all of whom pay a management fee for his wrenceBrown, an analyst at a brokerage firm has recommended Allen a high yield hedgefund based on its historical performance.Allen purchases a large block of thishedge fund and allocates proportionately to all client portfolios, including hisuncle's portfolio.Has Allen most likely violated the Standards of ProfessionalConduct?【单选题】A.No.B.Yes, relating to suitability.C.Yes, relating to fair dealing.正确答案:B答案解析:因为Allen的叔叔也是他的客户，所以Allen需要公平地对待所有客户，包括他的叔叔。
题目中，按比例（proportionately）分配并没有违反公平对待的行为标准。
但是，不根据客户的投资目标和限制而盲目给所有的客户进行购买，违反了合适性原则。
2、Gardner Knight, CFA, is a product development specialist at an investment bank. Knight is responsible for creating and marketing collateralized debt obligations (CDOs) consisting of residential mortgage bonds. In the marketing brochure for his most recent CDO, Knight provided a list of the mortgage bonds that the CDO was created from. The brochure also states “an independent third party, the collateral manager, had sole authori ty over the selection of all mortgage bonds used as collateral in the CDO.” However, Knight met with the collateral manager and helped her select the bonds for the CDO. Knight is least likely to be in violation of which of the following CFA Institute Standards of Professional Conduct?【单选题】A.SuitabilityB.Conflicts of InterestC.Client Communication正确答案:A答案解析:CFA Institute Standards2012 Modular Level I, Vol. 1, pp. 78, 116–117, 123–125Study Session 1-2-bDistinguish between conduct that conforms to the Code and Standards and conduct that violates the Code and Standards.A is correct because there is no indication the investment is unsuitable for investors and in violation of Standard III (C) Suitability.3、Sherry Buckner, CFA manages equity accounts for government entities whose portfolios are conservative and risk averse. Since the objective of her clients is to maximize returns with the lowest possible risk, Buckner considers adding to their holdings a new, thinly-traded, leveraged derivative product which she believes has the potential for high returns. To make her investment decision, Buckner relies upon comprehensive research from an investment bank that has a solid reputation for top quality research. After her review of that research, Buckner positions her accounts so that each has a 10% allocation to the derivative product. Did Buckner most likely violate any CFA Institute Standards of Professional Conduct by purchasing the derivative for her clients?【单选题】A.No.B.Yes, related to Suitability.C.Yes, related to Loyalty, Prudence and Care.正确答案:B。
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CFA考试一级章节练习题精选0329-5（附详解）
1、When the spot price of a commodity is above the futures price, the commodity market is said to be in:【单选题】
A.contango.
B.full carry.
C.backwardation.
正确答案:C
答案解析:“Investing in Commodities,” Ronald G. Layard-Liesching
2010 Modular Level I, Vol. 6, pp. 266-267
Study Session 18-74-a
Explain the relationship between spot prices and expected future prices in terms of contango and backwardation.
C is correct because when a commodity market is in backwardation, the futures prices is below the spot price as market participants believe the spot price will be
lower in the future. When spot prices are below the futures price, the market is said to be in contango.
2、Relative to traditional investments, alternative investments are best characterized as having:【单选题】
A.greater liquidity.
B.higher correlations.
C.more unique legal and tax considerations.
正确答案:C
答案解析:“Introduction to Alternative Investments”, Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFA
2013 Modular Level I, Vol. 6, Reading 66, Section 2
Study Session 18-66-a
Compare alternative investments with traditional investments.
C is correct because alternative investments are more likely characterized as having unique legal and tax considerations because of the broad range and complexity of the investments.
3、An investor is concerned about interest rate risk.Which of the following bondshas the least interest rate risk? The bond with:【单选题】
A.5% yield and 10-year maturity.
B.5% yield and 15-year maturity.
C.6% yield and 10-year maturity.
正确答案:C
答案解析:息票率越低，提前得到的现金流就越少，未来的不确定性就越大，利率风险越大。
期限越长，未来的不确定性越大，利率风险越大。
所以这3只债券中有最小利率风险的是C。
4、An analyst doesresearch about closely-held companies.With respect to valuationof closely-held companies, the most appropriate base for estimating a discountfor lack of liquidity is the:【单选题】
A.market price of a similar but actively publicly traded company.
B.Estimate of the value of equity with all control rights.
C.mean value of the company's transaction prices recently.
正确答案:A
答案解析:私人持股公司是非上市公司，对其估值应考虑到因流动性缺失而引发的价值下调，其基准可以选择类似的但积极公开交易的公司股票的市场价格，并考虑其缺少流动性而适当向下调整。
5、If the price of a commodity futures contract is below the spot price, it is most likely that the:【单选题】
A.convenience yield exceeds storage costs.
B.cost of carry exceeds the convenience yield.
C.roll yield is negative.
正确答案:A
答案解析:The convenience yield must exceed the cost of carry to arrive at a futures price below the spot pricebecause the futures price is approximately equal to the spot price [(1+r)+storage cost-convenienceyield] and the cost of carry is defined as interest cost plus storage cost. Given thatinterest cost is always positive, the convenience yield must also exceed storage costs to arrive at afutures price below the spot price.
CFA Level I
"Introduction to Alternative Investments," Terri Duhon, George Spentzos, and Scott D. Stewart
Section 6.4.1。