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pseudonym · 2023年11月22日

能解释一下statement1吗?

NO.PZ2022122801000016

问题如下:

Carson carefully reviews the Johnsons’ existing IPS, which was prepared by their previous adviser. She determines that their current asset allocation (Exhibit 3) is appropriate for them. She notes, however, that a rebalancing policy is not clearly documented. Carson discusses portfolio rebalancing with Osaka, and prepares three possible approaches (also shown in Exhibit 3).

Exhibit 3 Possible Rebalancing Options

Osaka makes the following statements about portfolio rebalancing:

Statement 1: An investor’s beliefs in momentum and mean reversion may favor wider rebalancing ranges.

Statement 2: Taxes and transaction costs often lead to wider rebalancing ranges in taxable accounts than in tax-advantaged accounts.

Statement 3: Due to the high volatility and low correlation with the rest of the portfolio, and the Johnsons’ moderate to high risk tolerance, the fixed income rebalancing range is narrower than the other asset classes based on the cost-benefit approach shown in Exhibit 3.

Which of Osaka’s statements about portfolio rebalancing is correct?

选项:

A.

Statement 1.

B.

Statement 2.

C.

Statement 3.

解释:

Higher transaction costs for an asset class imply wider rebalancing ranges. High transaction costs set a high hurdle for rebalancing benefits to overcome. Taxes, as a cost, are much larger than other transaction costs, which leads to wider rebalancing ranges in taxable portfolios than in tax-advantaged portfolios.

Statement 1 is incorrect; a belief in mean reversion encourages tighter ranges. Statement 3 is incorrect; moderate to high risk tolerant investors would have a wider range.

momentum和mean reversion为什么都需要更窄的range?谢谢

1 个答案

lynn_品职助教 · 2023年11月23日

嗨,爱思考的PZer你好:


momentum和mean reversion为什么都需要更窄的range?谢谢


statement1 是错的,解析说Statement 1 is incorrect; a belief in mean reversion encourages tighter ranges.


Rebalance range这一知识点我个人有一个总结的方法,所有的因素都可以归总到两个方面,第一需要不需要,第二能不能(一般是看成本)。

 

比如波动率越大,range越窄。因为波动性比较高,说明资产的风险比较大,所以需要做频繁调整,那么就要设定一个比较窄的调整区间。

 

再比如税收(交易成本)越高,range越宽。税收(交易成本)高成本就高,越不能频繁调整,那么就要设定一个比较宽的调整区间。

 

同学的问题也可以代入这两个方面,


如果相信市场是有惯性的(momentum)投资者,认为进入上涨趋势将来还会持续上涨,那么就不需要频繁将资产比例调整为目标配置,可以让他多涨一会儿,这样能赚更多,就可以设置比较宽的调整区间。


如果相信市场是会均值复归(mean reversion)的投资者,是相信资产上涨后是会下跌回均值的,那么就需要及时做调整,才不会在将来损失太多,因此需要设置比较窄的调整区间,频繁做出调整。


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