CFA考试《CFA一级》历年真题精选09(附详解)

1、5CFA考试CFA 级历年真题精选 09 （附详解）1、The dollar discount on a U.S. Treasury bill with 91 days until maturity is $2,100. The face value of the bill is $100,000. The bank discount yield of the bill is closest to: 【单选题】A. 8.31%.B. 8.40%.C. 8.58%.正确答案 :A答案解析 : “ Discounted Cash Flow Applications,” Richard A. Def

2、usco, CFA, Dennis W. McLeavey, CFA, Jerald E.Pinto, CFA, and David E. Runkle, CFA2011 Modular Level I, Vol. 1, p. 327Study Session 2-6-eCalculate and interpret the bank discount yield, holding period yield, effective annual yield, and money market yield for a U.S.Treasury bill.Solve for bank discoun

3、t yield using:'s bonds is 5% and it issues a bond with the2、On 1 January 2011 the market rate of interest on a company following characteristics:If the company uses IFRS, its interest expense (in millions) in 2011 is closest to: 【单选 题】A. ?1.846.B. ?2.307.C. ?2.386.正确答案 :B答案解析 : “ N-oCnurrent (Lo

4、ng-Term) Liabilities, Elizabe”th A Gordon and Elaine HenryInterest expense =Liability valuex Market rate at issuance: 0.05x ?46.140 = ?2.307.3、A research report produced by a dealer includes the following exchange rates:The most accurate calculation of the expected appreciation (%) of the Canadian d

5、ollar (CAD) relative to the British pound (GBP) is:【单选题】A. 2.99%B. 0.7%.C. -2.04%正确答案 :ASpot RateExpected Spot Rate in One YearUSDZEUR1.396USD/CAD1.011EUR/GB P1.285CAD/GB P二CADZGBP1774Section 3.24、An office building with net op erating income of $75,000 recently sold for $937,500. Financial data for

6、 a comp arable building that is currently on the market for sale is p resented in the table below.The estimatedvalue for the building being sold using the income app roach is closest to?【单选题】A. $2,825,000.B.$2,975,000.C.$3,228,500.正确答案:A答案解析：“ Alternativbnvestments, Bruno Solnik and Dennis McLeaveyA

7、 is correct because to arrive at the estimated value of the prop erty, subtract op erating exp enses from gross income (300,000- (4% x300,000 or12,000)- 27,000- 14,000- 21,000 = 226,000). Then divide the net operating income by the cap rate which isderived from the recent transaction (226,000/(75,00

8、0/937,500) = 226,000/.08 = 2,825,000). Note that neither dep reciation nor financing costs are deducted as op erating exp enses.5、Which of the following statements is least likely an advantage of investing in hedge funds through a fund of funds? Funds of funds p rovide:【单选题】A. an increase in exp ect

9、ed return through diversification.B. ex pertise in selecting funds and conducting due diligence.C. access to successful funds that may otherwise be closed to new investors. 正确答案:A 答案解析:“ Alternativ引vestments, Bruno Solnik and Dennis McLeaveyA is correct because diversification results in risk reduct

10、ion, not return enhancement. Further, the fees charged by the fund of funds manager will likely reduce returns relative to direct hedge fund investment.6、For periods beginning on or after 1 January 2011, the Global Investment PerformanceStandards (GAPS?)require that total firm assets be defined as t

11、he aggregatefair value of all:【单选题】A.discretionary assets in fee -paying portfolios managed by the firm.B.discretionary and non -discretionary assets in fee -paying portfolios managedby the firm.C.discretionary and non -discretionary assets in fee -paying and non -fee-payingportfolios managed by the

12、 firm. 正确答案:C答案解析：公司总资产包括公司管理的其自由决断和非自由决断资产,这些自由决断和非自由决断资产包含在真实付费和非真实付费的组合中。7、 An analyst does research about cash flow statement and gathers the following informationabout an IT comp any (in millions).Which of the following transactions, on its own, best expl ains the change in cashflows from the b

13、eginning of the year? The comp any:【单选题】A.issued $ 47 millions in bonds in 2011.B.re pu rchased $ 47 millions of its stock in 2011.C.increased long-term assets by $ 47 millions in 2011.正确答案:B答案解析:2011 年融资性现金流(cash flows from financing activities ) = $ 505 - $ 490 - $ 32 -$ 30 =- $ 47(million)，说明2011

14、年有$ 47million的融资性现金流流出。 题干中已经给出了经营性现金流 (cash flows from op erating activities ) 和投资性现金流( cashflows from investing activities ),女 口果融资性现金流为0 的话，则年末现金应该是 $ 490+ $32 + $30 = $552 ( million )但是当年年末的现金余额是$505million，说明融资性现金流有$47million的流出。A选项发行债券是融资性现金流入(financing inflow )，而不是融资性现 金流出(financing outflow )

15、，所以A错。B选项回购股票属于融资性现金流出，所以B及正确答案。C选项购买长期资产属于投资性现金流出(investingoutflow)，所以C错。8、An investor does research about forward rate agreement and takes a $1 millionshort position in a forwardrate agreement 3 X9 quoted at 5% according to LIBOR.At expiration, the investor gathers the followingrates:The p ayoff f

16、or this investor is closest to:【单选题】A.$495.62B.$500.00C.$660.83正确答案:A答案解析:FRA 3 说明9亥远期利率协议是3个月的期限，针对6个月的LIBOR,所以取5.3%作为到期结算的 LIBORo 1 000 000( 5X0% - 5%) X60/360/ ( 1 + 5.30% X 60/36600/1.00883 = 495.62 o9、 An analyst does research about option -free bond price change due to both durationand convexi

17、tyimpacts.The duration of an option -free bond is 9.92, andthe convexity measure for that bond is 63.8.If interest rates increase by 200 basis po ints, the bond's p ercentage p rice change is closest to:【单选题】A.-22.39%B.-18.56%C.-17.29%正确答案答案解析(2% )2:-9.92 X 2% +63.8=-17.29%。analyst does research about yield bond.Co mp ared to an otherwise identical op tion10、 Anspreads difference between a callable bondand a putable-free bond, market partici pants would most likely require thatyield spreads be:【单选题】A.larger for both a callable bond and