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Key Facts: China Futures Investment Analysis Exam

60 / 100

Passing score threshold (60%)

China Futures Association (CFA)

100 mins

Official exam duration

CFA Examination Notice

100

Official computer-based test objective questions

CFA Examination Blueprint

RMB 65

Registration fee per exam paper

CFA National Registration Standard

Long-term

Current CFA-stated validity of the examination result certificate

CFA Qualification Management Rules

Bachelor's / enrolled

Degree or current bachelor's-program enrollment condition

China Securities Regulatory Commission (CSRC)

The China Futures Investment Analysis exam (期货投资分析) is the advanced national qualification exam for China's futures research, quantitative trading, and derivatives risk advisory industry, administered by the China Futures Association (CFA). The official test comprises 100 computer-based objective questions in 100 minutes with a 60/100 passing bar. Core areas include macroeconomic indicators (PMI, M1/M2 scissors gap, Total Social Financing), commodity supply-demand balance sheets, BSM option pricing and Greek dynamic hedging, Treasury bond futures CTD/IRR analytics, time series econometrics (ADF tests, cointegration, ECM), quantitative factor modeling, exotic Snowball structured products, Risk Parity asset allocation, VaR/CVaR, and CAS 24 hedge accounting rules. This bank offers 100 verified English study questions with step-by-step quantitative solutions.

Sample China Futures Investment Analysis Practice Questions

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1In macroeconomic analysis, a PMI-style survey item is summarized as a diffusion index. If 42% of purchasing managers report 'Higher' business activity, 36% report 'Same', and 22% report 'Lower', what is the diffusion-index value for this item, and what does it indicate?

A.PMI is 60.0%, indicating significant manufacturing expansion above the 50.0% boom-bust threshold.

B.PMI is 50.0%, indicating an exact macroeconomic equilibrium with no net expansion or contraction.

C.PMI is 42.0%, indicating manufacturing contraction because fewer than 50% of respondents reported higher activity.

D.PMI is 78.0%, indicating superheated economic expansion derived from summing 'Higher' and 'Same' responses.

Explanation: The diffusion-index formula is (Percentage of 'Higher' × 1.0) + (Percentage of 'Same' × 0.5) + (Percentage of 'Lower' × 0.0). Calculating with the given values: 42% + (36% × 0.5) = 42% + 18% = 60.0%. A value above 50.0% indicates that this surveyed activity expanded relative to the prior month; an official headline PMI is a weighted composite of multiple survey items.

2In China's monetary statistics framework published by the PBOC, how are M1 and M2 defined, and what does an expanding positive 'M1-M2 scissors gap' (M1增速减去M2增速剪刀差扩大) typically signify for the macroeconomic and commodity cycle?

A.Since the 2025 revision, M1 includes M0, institutional demand deposits, individual demand deposits, and non-bank payment institutions' customer reserves; faster M1 than M2 growth can indicate more funds in transaction-ready form, but its cause must be corroborated.

B.M1 includes total household savings deposits, while M2 includes enterprise time deposits; an expanding positive gap indicates that households are shifting consumption funds into long-term wealth management.

C.M1 represents the monetary base (high-powered money), while M2 represents total bank credit; an expanding positive gap indicates commercial bank credit contraction.

D.M1 includes foreign currency reserves, while M2 includes domestic currency; an expanding positive gap indicates rapid domestic currency depreciation against the US dollar.

Explanation: Beginning with January 2025 data, the PBOC's revised M1 comprises M0, institutional demand deposits, individual demand deposits, and non-bank payment institutions' customer reserves. M2 is broader and includes less transaction-ready deposits and other money components. Faster M1 growth can be consistent with more transaction-ready liquidity, but analysts should not infer investment or restocking without corroborating credit, production, and demand data.

3Total Social Financing (社会融资规模 / TSF) measures the total liquidity provided by the domestic financial system to the real economy. Which of the following financial aggregates is EXCLUDED from Total Social Financing statistics in China?

A.Interbank lending and financial bonds issued by commercial banks to each other

B.Undiscounted bank acceptance bills (未贴现银行承兑汇票)

C.Entrusted loans and trust loans (委托贷款与信托贷款)

D.Net domestic equity financing by non-financial enterprises (非金融企业境内股票融资)

Explanation: Total Social Financing measures funds flowing from the financial sector to the non-financial real economy (enterprises and households). Interbank lending, interbank repos, and financial bonds issued by commercial banks represent internal funding transfers within the financial sector itself and are therefore excluded from TSF to prevent double-counting.

4The 'CPI-PPI scissors spread' (CPI-PPI剪刀差 = CPI同比增速 - PPI同比增速) is a crucial metric for evaluating industrial chain profit distribution. When PPI rises sharply while CPI remains subdued (causing the PPI-CPI difference to widen significantly), how does industrial profitability typically redistribute across sectors?

A.Profits concentrate in upstream resource and raw material extractive industries, while mid-to-downstream manufacturing enterprises face severe gross margin compression due to inability to pass on input costs.

B.Downstream consumer goods manufacturers experience massive profit expansion because consumer purchasing power increases faster than industrial production costs.

C.Upstream mining and smelting enterprises suffer profit losses due to rising energy costs, while midstream fabricators capture windfall gains.

D.Profit margins across all tiers of the industrial value chain expand uniformly regardless of cost pass-through elasticity.

Explanation: PPI reflects ex-factory prices of industrial products (heavily weighted towards upstream energy, metals, and raw materials), whereas CPI measures terminal consumer prices. When PPI surges faster than CPI, upstream raw material producers enjoy surging revenue and expanding profit margins, but mid-to-downstream manufacturing firms are squeezed because intense consumer market competition prevents them from fully passing higher input costs to end consumers.

5How does the GDP Deflator (平减指数) differ methodologically from the Consumer Price Index (CPI) when assessing aggregate price inflation across an economy?

A.The GDP Deflator encompasses all domestically produced goods and services including capital investments and government purchases with dynamically changing quantity weights, whereas CPI reflects a fixed basket of consumer goods and includes imported consumer goods.

B.The GDP Deflator reflects only consumer goods and services produced domestically, whereas CPI measures only capital equipment and industrial intermediate goods.

C.The GDP Deflator uses fixed base-year Laspeyres quantity weights, whereas CPI utilizes continuously shifting Paasche current-year expenditure weights.

D.The GDP Deflator is published monthly by the PBOC, whereas CPI is published quarterly by the China Futures Association.

Explanation: The GDP Deflator is defined as (Nominal GDP / Real GDP) × 100. It covers all newly produced final goods and services within domestic borders (including consumer goods, capital goods, infrastructure, and government purchases) using Paasche-style current-period output weights. In contrast, CPI measures a representative fixed basket of consumer goods purchased by urban and rural households, including imported final consumer goods but excluding capital equipment.

6A futures analyst evaluates the import parity cost (进口平价成本) and import profit of refined copper in China. Given: LME 3-month cash copper CIF price = $9,000 / metric ton; USD/CNY exchange rate = 7.20; import tariff = 0%; value-added tax (VAT / 增值税) = 13%; port handling, customs clearance, and miscellaneous domestic logistics fees = 150 RMB / metric ton. If the prevailing domestic spot copper price in Shanghai is 74,500 RMB / metric ton, what is the import parity price (CIF landed cost) and the net import profit?

A.Import parity price is 73,374 RMB/ton, resulting in an import profit of +1,126 RMB/ton (import window is open).

B.Import parity price is 64,950 RMB/ton, resulting in an import profit of +9,550 RMB/ton (import window is open).

C.Import parity price is 74,800 RMB/ton, resulting in an import loss of -300 RMB/ton (import window is closed).

D.Import parity price is 82,850 RMB/ton, resulting in an import loss of -8,350 RMB/ton (import window is closed).

Explanation: The import parity landed cost formula is: Landed Cost = [CIF Price ($) × USD/CNY Exchange Rate × (1 + Tariff Rate)] × (1 + VAT Rate) + Port Fees. Calculating: Base RMB CIF cost = $9,000 × 7.20 × (1 + 0%) = 64,800 RMB/ton. Adding 13% VAT: 64,800 × 1.13 = 73,224 RMB/ton. Adding port fees: 73,224 + 150 = 73,374 RMB/ton. Net Import Profit = Domestic Spot Price - Landed Cost = 74,500 - 73,374 = +1,126 RMB/ton. Because profit is positive, the import arbitrage window is open.

7In the four-phase Kitchin inventory cycle (基钦库存周期) framework, an industrial sector experiences surging downstream sales demand while factory production capacity remains constrained, causing finished goods inventories to rapidly decline and market spot prices to rise sharply. Which inventory cycle phase does this scenario represent?

A.Passive destocking phase (被动去库存阶段)

B.Active restocking phase (主动补库存阶段)

C.Passive restocking phase (被动补库存阶段)

D.Active destocking phase (主动去库存阶段)

Explanation: The four phases of the inventory cycle are: 1) Passive destocking (demand recovers rapidly, sales exceed output, inventories fall involuntarily, prices rise); 2) Active restocking (enterprises recognize strong demand and proactively expand production and build inventory); 3) Passive restocking (demand slows down unexpectedly, unsold goods pile up in warehouses, inventories rise involuntarily); 4) Active destocking (enterprises slash production and liquidate inventories at discount prices to restore cash flow).

8In agricultural commodity fundamental analysis, the Supply-Demand Balance Sheet (供需平衡表) tracks market tightness. Given the following national corn balance sheet data for a crop marketing year: Beginning Stocks = 120 million tons, Annual Production = 270 million tons, Total Imports = 15 million tons, Domestic Consumption = 280 million tons, Total Exports = 5 million tons. What are the Ending Stocks and the Stock-to-Use Ratio (库消比)?

A.Ending Stocks = 120 million tons; Stock-to-Use Ratio = 42.11%

B.Ending Stocks = 105 million tons; Stock-to-Use Ratio = 37.50%

C.Ending Stocks = 140 million tons; Stock-to-Use Ratio = 50.00%

D.Ending Stocks = 90 million tons; Stock-to-Use Ratio = 32.14%

Explanation: The balance sheet accounting identity is: Ending Stocks = Beginning Stocks + Total Production + Imports - Domestic Consumption - Exports. Calculating: Ending Stocks = 120 + 270 + 15 - 280 - 5 = 405 - 285 = 120 million tons. Total Disappearance (Use) = Domestic Consumption + Exports = 280 + 5 = 285 million tons. Stock-to-Use Ratio (库消比) = Ending Stocks / Total Disappearance = 120 / 285 ≈ 42.11%.

9When constructing an industry cost curve (成本曲线) to analyze price support levels for bulk commodities such as aluminum or zinc during a protracted industry downturn, what economic principle dictates the ultimate downside price floor in the short-to-medium term?

A.Cash costs of marginal high-cost producers help identify shutdown pressure: sustained prices below those producers' avoidable cash costs can induce curtailments and reduce supply.

B.Market spot prices cannot fall below the 10th percentile full production cost because low-cost producers will immediately halt all extraction.

C.Market spot prices are strictly governed by historical average book accounting costs including accumulated corporate debt depreciation.

D.Market spot prices will continuously fall toward zero because fixed capital equipment costs are completely sunk and have zero influence on market pricing.

Explanation: An industry cost curve ranks producers by unit operating cash cost. During oversupply, price can remain below full accounting cost while plants still cover avoidable cash costs. Sustained price below the avoidable cash cost of marginal producers creates curtailment pressure and can reduce supply. The relevant percentile and timing depend on inventories, contracts, subsidies, restart costs, and producer behavior, so there is no universal fixed percentile or hard floor.

10How does the People's Bank of China (PBOC) interest rate transmission corridor operate between policy interest rates and commercial lending rates in the current market-oriented interest rate system?

A.The 7-day OMO reverse-repo rate is the PBOC's main policy-rate signal; money-market rates transmit that signal, while panel banks quote LPR for prime borrowers with reference to market rates and their funding and credit conditions.

B.The PBOC directly fixes all commercial bank retail loan and deposit interest rates with zero allowance for market quotation spreads.

C.The PBOC uses the US Federal Funds Rate as its mandatory statutory discount peg for commercial bank rediscounting.

D.The Loan Prime Rate (LPR) is determined strictly by the Shanghai Gold Exchange physical delivery auctions without central bank policy rate linkages.

Explanation: The PBOC identifies the 7-day OMO reverse-repo rate as its main policy rate and uses corridor and liquidity tools to guide money-market rates. Designated banks quote LPR for prime customers with reference to market rates and their own funding, risk, and operating costs. The current mechanism should not be reduced to a mechanical 'one-year MLF plus spread' formula.

About the China Futures Investment Analysis Exam

Futures Investment Analysis (期货投资分析) is the China Futures Association's advanced analysis subject; the current designated textbook is Futures and Derivatives Analysis and Application (期货及衍生品分析与应用). Its outline covers macro and commodity analysis, derivatives pricing, quantitative methods, commodities and financial futures, OTC derivatives and structured products, and enterprise risk management. This English-language MCQ bank preserves Chinese technical terms but is not an official translation, exact format simulation, certification, or substitute for practical modelling and risk-control work.

Questions

100 scored questions

Time Limit

100 minutes

Passing Score

60 / 100 (60%)

Exam Fee

RMB 65 per subject paper under current CFA registration standards (China Futures Association (中国期货业协会 / CFA))

China Futures Investment Analysis Exam Content Outline

20%

Macroeconomic & Industrial Chain Analysis

Macroeconomic indicators (GDP, CPI, PPI, PMI diffusion indices, M1/M2 scissors gap, Total Social Financing), monetary policy transmission (MLF to LPR), commodity balance sheets, four phases of inventory cycles, industry cost curves (cash cost vs. full cost), and import parity pricing.

25%

Financial Derivatives Pricing & Valuation

Black-Scholes-Merton model assumptions & Greek dynamics (Delta, Gamma, Theta, Vega, Rho), binomial trees for American and European options, implied volatility smile/skew, Delta-neutral dynamic hedging, Gamma scalping, CFFEX Treasury bond futures conversion factors, CTD bond identification, IRR, forward rate agreements, and interest rate swaps.

20%

Statistical & Quantitative Analysis Models

Stationary time series, Augmented Dickey-Fuller (ADF) tests, autocorrelation and GARCH heteroscedasticity modeling, Engle-Granger cointegration and Error Correction Models (ECM), pairs trading / statistical arbitrage (Z-scores), multi-factor IC/IR metrics, factor orthogonalization, and backtest bias detection.

15%

Structured Products & Asset Allocation

Exotic OTC structured products (autocallable Snowball notes, knock-in/knock-out barriers, shark-fin options, capital-protected notes), payoff engineering and issuer dynamic hedging, modern asset allocation (Black-Litterman, Risk Parity, Mean-Variance, CPPI), and master agreement standards (NAFMII/SAC).

20%

Enterprise Risk Management & Hedging Systems

Corporate commodity risk governance (Three Lines of Defense), Value at Risk (parametric, historical simulation, Monte Carlo), Expected Shortfall (CVaR), Cash Flow at Risk (CFaR), stress testing, and CAS 24 hedge accounting (fair value hedge, cash flow hedge, hedge effectiveness evaluation and rebalancing).

How to Pass the China Futures Investment Analysis Exam

What You Need to Know

Passing score: 60 / 100 (60%)
Exam length: 100 questions
Time limit: 100 minutes
Exam fee: RMB 65 per subject paper under current CFA registration standards

Keys to Passing

Work through all 100 available questions
Review every answer and explanation
Track weak areas and revisit them
Use our AI tutor for tough concepts

China Futures Investment Analysis Study Tips from Top Performers

1Master the Black-Scholes-Merton model formula and Greek relationships: memorize Delta, Gamma, Vega, Theta, and Rho definitions, and understand Delta-neutral dynamic rebalancing calculations.

2Understand time series econometrics: master the ADF unit root test hypotheses, Engle-Granger two-step cointegration procedure, and the Error Correction Model (ECM) error correction coefficient interpretation.

3Memorize Treasury bond futures analytics: know the Conversion Factor (CF) formula (discounted at 3%), Gross Basis = Clean Price - Futures Price × CF, and how yield level shifts change CTD bond duration characteristics.

4Review structured derivatives payoff logic: understand the four payout scenarios for Snowball notes (KO termination, maturity without KO/KI, KI with subsequent KO, and KI without KO maturity loss).

5Understand CAS 24 hedge accounting: distinguish fair value hedges from cash flow hedges, know how the effective portion is booked (OCI vs P&L), and understand the shift from strict 80%-125% retrospective tests to qualitative economic relationship criteria.

Frequently Asked Questions

What is the passing score and format for the China Futures Investment Analysis exam?

The official exam consists of 100 objective computer-based questions administered over 100 minutes. The passing score is 60 out of 100 points (60%).

What are the prerequisites to take the China Futures Investment Analysis exam?

Candidates must hold the futures qualification examination result certificate and have a recognized bachelor's degree or be currently enrolled in a bachelor's degree program, subject to the current CFA announcement.

How is a Snowball structured product (雪球期权) structured and hedged in Chinese OTC markets?

A Snowball is an autocallable barrier structure whose payoff depends on coupon, knock-out, knock-in, maturity, and participation terms. A dealer hedges the net option exposure dynamically; the hedge direction and gamma profile depend on whether the dealer is long or short the embedded options, the underlying level, time, volatility, and the specific contract. No single permanent long-futures hedge describes every snowball.

What are the core differences between Fair Value Hedges and Cash Flow Hedges under CAS 24?

Under CAS 24 (企业会计准则第24号——套期会计), a Fair Value Hedge protects against changes in the fair value of recognized assets/liabilities or firm commitments, with both hedging instrument and hedged item fair value changes recognized immediately in current Profit & Loss (P&L). A Cash Flow Hedge protects against variability in expected future cash flows (e.g., highly probable forecasted purchases/sales), where the effective portion of hedging gains/losses is accumulated in Other Comprehensive Income (OCI / 套期储备) and reclassified to P&L only when the hedged transaction affects earnings.

How is the Cheapest-to-Deliver (CTD) bond determined using the Implied Repo Rate (IRR)?

The CTD bond among deliverable basket bonds is the bond that maximizes the Implied Repo Rate (IRR) or minimizes the Net Basis / Gross Basis. The IRR represents the annualized rate of return earned by buying the cash bond, shorting the Treasury futures contract, and delivering the bond at maturity.