CFA一级试题分析：固定收益

cfa一级考试真题及答案详解CFA一级考试真题及答案详解1. 问题：在评估一个公司的财务状况时，以下哪项指标最能反映其偿债能力？A) 流动比率B) 速动比率C) 资产负债率D) 股东权益比率答案：C) 资产负债率解析：资产负债率是指公司总负债与总资产的比率，它反映了公司资产中有多少比例是通过借债获得的。

这个比率越高，说明公司的财务杠杆越大，偿债能力越弱。

因此，资产负债率是反映公司偿债能力的重要指标。

2. 问题：在进行股票投资分析时，以下哪项因素是影响股票价格的宏观经济因素？A) 公司盈利能力B) 利率水平C) 行业竞争状况D) 公司管理层能力答案：B) 利率水平解析：宏观经济因素包括利率水平、通货膨胀率、经济增长率等，这些因素会影响整个经济环境，进而影响股票市场。

利率水平是宏观经济因素之一，它会影响公司的融资成本和投资者的预期回报，从而对股票价格产生影响。

3. 问题：在固定收益投资中，以下哪项因素会导致债券价格上升？A) 市场利率上升B) 市场利率下降C) 债券信用评级下降D) 债券到期时间延长答案：B) 市场利率下降解析：在固定收益投资中，债券价格与市场利率呈反向关系。

当市场利率下降时，新发行的债券的票息率会低于市场上已有的债券，因此已有债券的相对吸引力增加，导致其价格上升。

4. 问题：在投资组合管理中，以下哪项策略是用于降低非系统性风险的？A) 资产配置B) 多元化投资C) 市场时机选择D) 杠杆投资答案：B) 多元化投资解析：非系统性风险是指特定于某个公司或行业的投资风险，这种风险可以通过多元化投资来降低。

通过投资于多个不同公司或行业的资产，可以减少单一资产或行业波动对整个投资组合的影响。

5. 问题：在金融衍生品中，以下哪项产品允许投资者在未来以特定价格买入或卖出资产？A) 期货合约B) 远期合约C) 期权合约D) 掉期合约答案：C) 期权合约解析：期权合约是一种金融衍生品，它赋予持有者在未来某个时间以特定价格买入或卖出资产的权利，但不是义务。

泽稷网校-财务金融证书在线教育领导品牌.....................................................................Fixed Income, 固定收益类证券（主要指债券）在考试中占12%，换做数学的算法，240道题目里将有28道固定收益有关的题目出现。

这样看来，题量还蛮大的。

Fixed Income, 固定收益类证券（主要指债券）在考试中占12%，换做数学的算法，240道题目里将有28道固定收益有关的题目出现。

这样看来，题量还蛮大的。

Fixed Income, Financial Statement Analysis 与Economics也是CFA一级当中较难的部分，也是考试的重心。

而且，在2016年的考试中，fixed income 这部分的考纲发生了较大变化，考查知识点有所减少，但是加大了考查深度。

所以，吃透这一部分内容显得十分重要。

许多考生感到CFA一级的固定收益证券(Fixed Income Analysis)考点较多较散，难以复习。

其实，固定收益证券的内容大致可以分为三大部分。

固定收益证券的内容1、债券的合同条款1、基本条款：包括债券的maturity，par value，coupon rate。

这三条决定了债券未来的现金流，也就是债券定价模型的分子。

2、基本条款的衍生：由maturity的不同产生bill，notes，bond。

由coupon rate 的不同产生Zero-coupon bond，Floating-rate bond等。

3、嵌入期权条款：包括债券发行人的权力(callable，prepayment等)和债券持有人的权力(puttable，convertible等)。

4、嵌入期权条款的衍生：callable bond (MBS)，puttable bond。

5、债券的发行人：根据发行人的不同，分为国债、机构债券、市政债券、企业债券等。

Fixed Income1. On January 1st of the year, an investor purchases $100,000 in par value of a new Treasury Inflation Protection Security (TIPS) issue that has a2.5% coupon rate. The annual rate of inflation over the first six months of the year is 4.0% and the annual rate of inflation for the second six months of the year is3.0%. The amount of coupon interest paid to the investor after the second six months of the year is closest to:A. $1,275.B. $1,294.C. $1,339.Answer: BB is correct because the inflation-adjusted principal after the second six month period is $100,000 ×(1.02) × (1.015) = $103,530 and $103,530 × (2.5%/2) = $1,294.2. When interest rates fall, the price of a callable bond will:A. fall less than an option-free bond.B. rise less than an option-free bond.C. rise more than an option-free bond.Answer: BB is correct because when interest rates fall, the price of the embedded call option increases. Since, price of a callable bond = price of option-free bond – price of embedded call option, the price of the callable bond will not increase as much as an option-free bond since the price of the call option is increasing. As interest rates fall, the bond is more likely to be called, limiting the upside price increase potential.pared to a term repurchase agreement, an overnight repurchase agreement is most likely to have a:A. lower repo rate and higher repo margin.B. higher repo rate and repo marginC. lower repo rate and repo margin.Answer = CBoth the repo rate and the repo margin tend to be higher for longer repo terms. Therefore an overnight repo should have a lower repo rate and a lower repo margin than a term (i.e., longer than overnight) repo.Based on the information provided in the table, the current market price of a $1,000 par value, option-free, 0 percent coupon corporate bond maturing in 5 years is closest to:A. $758.70.B. $781.20.C. $804.44.Answer: AThe appropriate discount rate is 5.6% = 5% + 0.6%. The semiannual discount rate is 2.8%. The price ofthe bond using semiannual discounting is:On a BEY basis, the 6-month forward rate one year from now is closest to: A. 2.10%. B. 3.64%. C. 4.21%.Answer: CC is correct because, the x-year forward rate y-years from now.All spot rates are given on a BEY basis and must be divided by 2 in this calculation, or$On a BEY basis, the forward rate is 0.021036×2=4.21%6. The option adjusted spread (OAS) is best described as the:A. Z-spread minus the option cost.B. Z-spread plus the cost of the option.C. value of the security’s embedded option.Answer: AThe Z-spread is the sum of the OAS and the option cost.7. An 8 percent coupon bond with a par value of $100 matures in 2 years and is selling at $98.24 to yield 9 percent. Exactly one year ago this bond sold at a price of $95.03 to yield 10 percent. The bond pays annual interest. The change in price attributable to the change in maturity is closest to:A. $1.50.B. $3.21.C. $4.97.Answer = AThe price of the bond one year ago was $95.03 to yield 10%.If the yield stays at 10%, the price of the bond today is:The change in price attributable to moving to maturity = $96.53 – $95.03 = $1.50.8. The duration of a fixed-income portfolio is best interpreted as the:A. first derivative of the price function for the bonds in the portfolio.B. percentage change in the portfolio’s value if interest rates change by 100 basis points.C. weighted average number of years to receive the present value of the portfolio’s cash flows. Answer = BUsers of this interest rate risk measure are interested in what it tells them about the price sensitivity ofa bond or a portfolio to change in interest rates, therefore B is correct.9. An analyst gathered the following information about a portfolio comprised of three bonds:Assuming there is no accrued interest, then the portfolio duration is closest to:A. 5.55 years.B. 5.76 years.C. 6.82 years.Answer = APortfolio value = (1.02 × 7 mil) + (0.94356 × 5 mil) + (0.88688 × 3 mil) = 14,518,440Weight, Bond A = 7,140,000 / 14,518,440 = 0.492Weight, Bond B = 4,717,800 / 14,518,440 = 0.325Weight, Bond C = 2,660,640 / 14,518,440 = 0.183Portfolio duration = (0.492 × 1.89) + (0.325 × 7.70) + (0.183 × 11.55) = 5.5510. A bond has a modified duration of 6.5 and convexity of -42.4. If interest rates decrease by 1.0 percent, the percentage change in the value of the bond will be closest to:A. -6.92%.B. +2.76%.C. +6.08%.Answer = CThe percentage change in the bond’s v alue is equal to:(-Duration × Δy* × 100%) + (C × (Δy*)2 × 100%) = (-6.5 × -0.01 × 100%) + (-42.4 × (-0.01)2 × 100%) = +6.5% - 0.424% = +6.08.。

CFA考试《CFA一级》历年真题精选01（附详解）1、Ian O’Sullivan, CFA, is the owner and sole employee of two companies, a public relations firm and a financial research firm. The public relations firm entered into a contract with Mallory Enterprises to provide public relations services, with O’Sullivan receiving 40,000 shares of Mallory stock in payment for his services. Over the next 10 days, the public relations firm issued several press releases that discussed Mallory’s excellent growth prospects. O’Sullivan, through his financial research firm, also published a research report recommending Mallory stock as a “buy.”According to the CFA Institute Standards of Professional Conduct, O’Sullivan is most likely required to disclose his ownership of Mallory stock in the:【单选题】A.press releases only.B.research report only.C.both the press release and the research report.正确答案:C答案解析:“Guidance for Standards I-VII”, CFA InstituteC is correct because members should disclose all matters that reasonably could be expected to impair the member’s objectivity. Standard I (B), Standard VI (A).2、Other factors held constant, the reduction of a company’s average accounts payables due to suppliers offering less trade credit will most likely:【单选题】A.reduce the operating cycle.B.increase the operating cycle.C.not affect the operating cycle.正确答案:C答案解析:"Financial Analysis Techniques," Thomas R. Robinson, CFA, Jan Hendrik van Greuning, CFA, Elaine Henry, CFA, and Michael A. Broihahn, CFAPayables are not part of the operating cycle calculation. Operating cash cycle includes inventory and accounts receivable.3、In a sales-driven pro forma analysis, net income grows from $1.2 million to $1.26 million. Assuming a dividend payout ratio of 40%, the increase in retained earnings is closest to (in $ millions):【单选题】A.0.720.B.0.756.C.1.260.正确答案:B答案解析:“Financial Statement Analysis,”Pamela Peterson Drake4、The slope of the security market line (SML) represents the portion of an asset’s expected return attributable to:【单选题】A.total risk.B.market risk.C.diversifiable risk.正确答案:B答案解析:“Portfolio Risk and Return Part II,”Vijay SingalB is correct. The slope of the SML is the market risk premium, E(Rm) –Rf. It represents the return of the market less the return of a risk-free asset. Thus, the slope represents the portion of expected return that reflects compensation for market or systematic risk.5、Jenny Hein, CFA, is a research analyst covering a mining industry.Hein hasprepared a research report on one mining company based on research from a varietyof sources and other analysts.Hein combines these materials to form her ownopinion and completes the report without acknowledge her sources in her report.Then Hein distributes the report to her clients.Has Jenny most likely violated theStandards of Professional Conduct?【单选题】A.No.B.Yes, by failing to cite the work of others in her report.C.Yes, by failing to have reasonable basis for her opinion.正确答案:B答案解析:因为Hein在研究报告中引用了别人的研究成果，对此必须注明出处，题目中并没有说她没有合理的证据，把其他分析师的研究加入其自己的研究报告，只要指明出处并不违反专业行为标准。