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cfa2020gogogo · 2019年11月09日

问一道题:NO.PZ2018011501000002

问题如下:

The firm’s policy is to rebalance a portfolio when the asset class weight falls outside of a corridor around the target allocation. The width of each corridor is customized for each client and proportional to the target allocation. Beade recommends wider corridor widths for high-risk asset classes, narrower corridor widths for less liquid asset classes, and narrower corridor widths for taxable clients with high capital gains tax rates.

For clients concerned about rebalancing-related transactions costs, which of Beade’s suggested changes in the corridor width of the rebalancing policy is correct? The change with respect to:

选项:

A.

high-risk asset classes.

B.

less liquid asset classes.

C.

taxable clients with high capital gains tax rates.

解释:

A is correct.

Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquid asset classes should have a wider, not narrower, corridor width. Less-liquid assets should have a wider corridor to avoid frequent rebalancing costs. For taxable investors, transactions trigger capital gains in jurisdictions that tax them. For such investors, higher tax rates on capital gains should be associated with wider (not narrower) corridor widths.

老师总结的是:资产的volatility越高,则越容易偏离,所以越需要rebalance,所以要narrow corridor。并没有说为了减少成本而要widen corridor。所以答案错了吧?

2 个答案

Alex · 2019年11月17日

基础班何老师说了。如果考虑交易成本的话,弱流动性和税的成本比起高风险高波动的损失更重要,优先解决这两个。详见ppt191

Shimin_CPA税法主讲、CFA教研 · 2019年11月10日

这是一道原版书的课后题R13第2题。答案确实有争议,建议听一下课后题的讲解。

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NO.PZ2018011501000002 less liquiasset classes. taxable clients with high capitgains trates. A is correct. Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifieto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. 考点Rebalancing range 解析这道题目考法特殊,通常情况下,高风险的资产应当设定更窄的调整区间,但是题目强调了客户同时还考虑交易成本 “clients concerneabout rebalancing-relatetransactions costs”。调整区间窄,则调整频率高,带来的交易成本就高。因此,在节约成本的要求下,高风险的资产反而应该设定比较宽的区间。 在考试的时候,如果涉及到一个影响因素,适用rebalancing range的相关结论,即高风险的资产应当设定更窄的调整区间。如果同时受到两个因素的影响,既要考虑cost又要考虑high risk,那么节约成本更为重要。 请问题目中high risk asset这里,可以理解为high risk toleranasset吗?这样就不用考虑cost问题,与学习框架也能对应了。

2021-06-30 22:28 1 · 回答

NO.PZ2018011501000002 如果是为了节约成本,那B、C两个也应该是wir呀?为什么只是A要wir,而不是B或C呢

2021-06-24 00:10 1 · 回答

NO.PZ2018011501000002 奇怪的知识增加了.jpg thx in aance~~

2021-03-30 18:31 1 · 回答

这道题答案的是higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs.  但是在老师讲义第190页提到,当volatility提高时,应是narrower range。 那么请问,考试时候,当风险上升时候,到底应该是wir还是narrower corrir呢?感谢。

2019-11-18 12:34 1 · 回答