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Normy · 2022年02月13日

题目答案有问题

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NO.PZ202109080300000106

问题如下:

The annualized after-tax post-liquidation return calculated by Chen is closest to:

选项:

A. 4.41%.

B. 5.62%.

C. 5.92%.

解释:

B is correct. The annualized after-tax post-liquidation return is calculated as follows.

First, calculate the ending portfolio value. Given Fund D’s after-tax returns over the past three years, the ending portfolio value is calculated as

Final after-tax portfolio value = (1 + 0.070) × (1 + 0.033) × (1 + 0.075) = 1.1882.

The after-tax returns compounded in this way account for the tax on distributions and realized capital gains but do not account for any unrealized capital gains. The assumed tax liability from capital gains at liquidation is 1.0% of the final value, which is the product of the 5% embedded gain and the 20% capital gains tax rate. The portfolio value net of the unrealized gains tax liability is given by subtracting the assumed tax liability from capital gains at liquidation from the final after-tax portfolio value:

Portfolio value net of the unrealized gains tax liability = 1.1882 − 0.01 = 1.1782.

Second, calculate the annualized post-liquidation return as follows:


基础班讲义的解法是 5%of ending value就意味着 liq tax占比 就是等于 5% 直接 1.1882—0.05即可啊 为什么还要用 5%X20% 这样多算了一次

1 个答案

王暄_品职助教 · 2022年02月13日

5%是embedded gain,也就是在账户里没有realize的,所以需要乘以capital gain tax rate

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NO.PZ202109080300000106问题如下 The annualizeafter-tpost-liquition return calculateChen is closest to: A.4.41%.B.5.62%.C.5.92%. B is correct. The annualizeafter-tpost-liquition return is calculatefollows. First, calculate the enng portfolio value. Given Funs after-treturns over the past three years, the enng portfolio value is calculateasFinafter-tportfolio value = (1 + 0.070) × (1 + 0.033) × (1 + 0.075) = 1.1882. The after-treturns compounin this waccount for the ton stributions anrealizecapitgains but not account for any unrealizecapitgains. The assumetliability from capitgains liquition is 1.0% of the finvalue, whiis the proof the 5% embeegain anthe 20% capitgains trate. The portfolio value net of the unrealizegains tliability is given subtracting the assumetliability from capitgains liquition from the finafter-tportfolio value:Portfolio value net of the unrealizegains tliability = 1.1882 − 0.01 = 1.1782.Secon calculate the annualizepost-liquition return follows: 这道题产生困惑的地方如题,遇到类似题目要如何判断5%在计算中究竟功能是什么?

2022-11-14 14:47 1 · 回答

NO.PZ202109080300000106问题如下 The annualizeafter-tpost-liquition return calculateChen is closest to: A.4.41%. B.5.62%. C.5.92%. B is correct. The annualizeafter-tpost-liquition return is calculatefollows. First, calculate the enng portfolio value. Given Funs after-treturns over the past three years, the enng portfolio value is calculateasFinafter-tportfolio value = (1 + 0.070) × (1 + 0.033) × (1 + 0.075) = 1.1882. The after-treturns compounin this waccount for the ton stributions anrealizecapitgains but not account for any unrealizecapitgains. The assumetliability from capitgains liquition is 1.0% of the finvalue, whiis the proof the 5% embeegain anthe 20% capitgains trate. The portfolio value net of the unrealizegains tliability is given subtracting the assumetliability from capitgains liquition from the finafter-tportfolio value:Portfolio value net of the unrealizegains tliability = 1.1882 − 0.01 = 1.1782.Secon calculate the annualizepost-liquition return follows: The assumetliability from capitgains liquition is 1.0% of the finvalue, whiis the proof the 5% embeegain anthe 20% capitgains trate.

2022-04-06 17:25 1 · 回答

NO.PZ202109080300000106问题如下 The annualizeafter-tpost-liquition return calculateChen is closest to: A.4.41%. B.5.62%. C.5.92%. B is correct. The annualizeafter-tpost-liquition return is calculatefollows. First, calculate the enng portfolio value. Given Funs after-treturns over the past three years, the enng portfolio value is calculateasFinafter-tportfolio value = (1 + 0.070) × (1 + 0.033) × (1 + 0.075) = 1.1882. The after-treturns compounin this waccount for the ton stributions anrealizecapitgains but not account for any unrealizecapitgains. The assumetliability from capitgains liquition is 1.0% of the finvalue, whiis the proof the 5% embeegain anthe 20% capitgains trate. The portfolio value net of the unrealizegains tliability is given subtracting the assumetliability from capitgains liquition from the finafter-tportfolio value:Portfolio value net of the unrealizegains tliability = 1.1882 − 0.01 = 1.1782.Secon calculate the annualizepost-liquition return follows: Portfolio value net of the unrealizegains tliability = 1.1882 − 0.01 = 1.1782.这里为什么直接减 为什么不是1.1882 *(1− 0.01)

2022-03-18 21:46 2 · 回答