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沐沐的方盒 · 2024年05月04日

这题为什么不选PECG最大的呀？

  1. CFA III
  2. 个人IPS

NO.PZ2021090804000005

问题如下：

Lily holds a large amount of APPL stock, which accounts for 90% of his wealth. Due to the concentration of risks, Lily tried to diversify its investment portfolio by using the proceeds from the sale of APPL shares to invest in mutual funds. Lily's investment advisors have identified three mutual funds, and Lily considers which of these three mutual funds will be the most tax-efficient in the future. Some data of the three mutual funds are shown in Table 1.


Based on Exhibit 1, the mutual fund most likely to be the most tax efficient going forward is:

选项：

A.

Fund A.

B.

Fund B.

C.

Fund C.

解释：

A is correct.

Fund A has a lower percent capital gain exposure (PCGE) than does Fund B or Fund C. PCGE is an estimate of the percentage of a fund’s assets that represent gains and measures how much the fund’s assets have appreciated. It can be an indicator of possible future capital gain distributions. PCGE can be used to gauge the amount of tax liability embedded in a mutual fund. The negative PCGE of Fund A implies that Fund A is more likely to be the most tax-efficient fund going forward, because it can use the embedded losses in its portfolio to offset future realized gains.

PCGE = Net gains (losses)/Total net assets.

Fund  A  PCGE=(450,000−500,000)[2,000,000+(450,000−500,000)]=−2.56%Fund\;A\;PCGE=\frac{\left(450,000-500,000\right)}{\left[2,000,000+\left(450,000-500,000\right)\right]}=-2.56\%

Fund  B  PCGE=(300,000−200,000−100,000)[3,000,000+(300,000−200,000−100,000)]=0Fund\;B\;PCGE=\frac{\displaystyle\left(300,000-200,000-100,000\right)}{\displaystyle\left[3,000,000+\left(300,000-200,000-100,000\right)\right]}=0

Fund  C  PCGE=(600,000−400,000)[4,000,000+(600,000−400,000)]=4.76%Fund\;C\;PCGE=\frac{\displaystyle\left(600,000-400,000\right)}{\displaystyle\left[4,000,000+\left(600,000-400,000\right)\right]}=4.76\%

A是正确的。 与基金 B 或基金 C 相比，基金 A 的资本收益风险敞口 (PCGE) 百分比较低。 PCGE 是对代表收益的基金资产百分比的估计，并衡量基金资产的升值幅度。 它可以作为未来可能的资本收益分配的指标。 PCGE 可用于衡量共同基金中嵌入的纳税义务金额。 基金 A 的负 PCGE 意味着基金 A 更有可能成为未来最节税的基金，因为它可以利用其投资组合中的内在损失来抵消未来的已实现收益。

PCGE = 净收益（损失）/总净资产。

Fund  A  PCGE=(450,000−500,000)[2,000,000+(450,000−500,000)]=−2.56%Fund\;A\;PCGE=\frac{\left(450,000-500,000\right)}{\left[2,000,000+\left(450,000-500,000\right)\right]}=-2.56\%

Fund  B  PCGE=(300,000−200,000−100,000)[3,000,000+(300,000−200,000−100,000)]=0Fund\;B\;PCGE=\frac{\displaystyle\left(300,000-200,000-100,000\right)}{\displaystyle\left[3,000,000+\left(300,000-200,000-100,000\right)\right]}=0

Fund  C  PCGE=(600,000−400,000)[4,000,000+(600,000−400,000)]=4.76%Fund\;C\;PCGE=\frac{\displaystyle\left(600,000-400,000\right)}{\displaystyle\left[4,000,000+\left(600,000-400,000\right)\right]}=4.76\%

是所有都选最小的吗？没明白

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1 个答案

王暄_品职助教 · 2024年05月04日

是的，选择最小的。

PCGE 是求当前基金Potential capital gain exposure，潜在的资本利得敞口（PCGE 可用于衡量共同基金中嵌入的纳税义务金额）。用来衡量这个基金隐藏了多少应该交却没交的税，会包括潜在的要发给客户的钱。

假设基金经理现在要把钱发给客户，那势必要卖掉股票，卖股票就会产生资本利得税，作为其他不卖股票的人，其实也会被影响，应为交税就导致基金净值下降。所以要减去这个distribution，最终衡量这个基金现在的net gain/loss是多少，一般越低，说明要缴纳的税收越少。

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2023-05-24 09:32 1 · 回答

NO.PZ2021090804000005 她是不是打算用卖掉APPL股票的钱来购买MUTUFUN如果还没有持有的话，怎么会计算PCGE呢？

2022-03-06 12:26 1 · 回答