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蓝阿白 · 2020年03月03日

问一道题:NO.PZ2018091705000028 [ CFA III ]

问题如下:

Allen is an investment manager, who recently recruited a new customer, Jack. Jack invested $2,000,000 in a portfolio for 20 years that promises to offer an annual return of 8% before tax. The costs basis is 1,500,000. The ratio of interest, dividends, realized capital gains, unrealized capital gains to earnings and related tax rates are shown in the following table.

Calculate the post-tax value of the investment after 20 years later.

选项:

A.

$6,203,347

B.

$6,609,332

C.

$6,053,347

解释:

C is correct.

考点Blend Taxing Environments

解析这道题考法非常常规对于Blend Taxing我们首先还是要计算其RARTR_{ART}以及TECGT_{ECG}

lRART=R×[1(PI×TI+PD×TD+PCG×TCG)]=0.08×[1(0.3×0.4+0.35×0.2+0.150.3×)]=6.12%{l}R_{ART}=R\times\lbrack1-(P_I\times T_I+P_D\times T_D+P_{CG}\times T_{CG})\rbrack\\=0.08\times{\lbrack1-{(0.3\times0.4+0.35\times0.2+0.150.3\times)}\rbrack}=6.12\%

lTECG=[1(PI+PD+PCG)]×TCG1(PITI+PDTD+PCGTCG)=[1(0.30+0.35+0.15)]×0.3[1(0.3×0.4+0.35×0.2+0.15×0.3)]=7.843%{l}T_{ECG}=\frac{\lbrack1-(P_I+P_D+P_{CG})\rbrack\times T_{CG}}{1-(P_IT_I+P_DT_D+P_{CG}T_{CG})}\\=\frac{\lbrack1-(0.30+0.35+0.15)\rbrack\times0.3}{\lbrack1-{(0.3\times0.4+0.35\times0.2+0.15\times0.3)}\rbrack}=7.843\%

接下来直接套用Blend Taxing的公式题目明确说明costs basis等于1,500,000那么B=1,500,000/2,000,000=0.75

lFVIFT=(1+RART)N[(1+RART)N1]TECG(1B)TCGFV=2,000,000{(1+6.12%)20[(1+6.12%)201]7.843%(10.75)30%}=6,053,347{l}FVIF_T={(1+R_{ART})}^N-{\lbrack{(1+R_{ART})}^N-1\rbrack}T_{ECG}-{(1-B)}T_{CG}\\FV=2,000,000{\{{(1+6.12\%)}^{20}-{\lbrack{(1+6.12\%)}^{20}-1\rbrack}7.843\%-{(1-0.75)}30\%\}}\\=6,053,347

请教下下标art,ecg是什么的缩写呢?
2 个答案

小小悟空yu · 2020年08月31日

好的

Olive_品职助教 · 2020年03月06日

嗨,从没放弃的小努力你好:


 

Rart是after tax return every year;Tecg是effective capital gains tax rate。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!