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Pina · 2022年03月04日

gains

  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\%

老师好

 1)这里的gains 是指unrealized gains是吗， 然后capital gains distributions 是当期已经发出去的gain 所以是realized gain, 于是 net asset 就 = gains – capital gains distributions?

 2）分母的话是 total net asset, fund A 中的为啥是2000000 + 450000-500000? 上课老师举的例子里是100万变成85万，于是PCGE 就是 -15万/ 85万，85万也就是初始投资额  这题里分母里为什么不是就直接除以2,000,000？谢谢。

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王暄_品职助教 · 2022年03月04日

 1)这里的gains 是指unrealized gains是吗

不是的，就是具体已经赚的

然后capital gains distributions 是当期已经发出去的gain 所以是realized gain, 于是 net asset 就 = gains – capital gains distributions?

对，就是当期发出去的钱。net asset=资产总值-distribution；你说的这个公式是net gain or loss，也就是分子。


 2）分母的话是 total net asset, fund A 中的为啥是2000000 + 450000-500000? 上课老师举的例子里是100万变成85万，于是PCGE 就是 -15万/ 85万，85万也就是初始投资额 这题里分母里为什么不是就直接除以2,000,000？谢谢。

分母是总净资产，一开始资产是2000000，后来转了450000，然后发出去了500000，所以现在总净资产就是2000000 + 450000-500000

老师这个例子，既然是100万变成85，就说明总净资产是85万啊，所以老师除以85万，没除以100万啊。


小胖 · 2022年07月07日

老师能解释一下fundb为什么要减去10000吗。我没懂为什么能同时挣了钱又有loss

王暄_品职助教 · 2022年07月08日

老师能解释一下fundb为什么要减去10000吗。我没懂为什么能同时挣了钱又有loss

一个基金会投资非常多的股票或者债券，所以有的资产会产生收益，有的资产会产生亏损~

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2024-07-08 03:29 1 · 回答

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2024-05-04 18:20 1 · 回答

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2024-02-21 00:37 2 · 回答

NO.PZ2021090804000005 问题如下 Lily hol a large amount of APPL stock, whiaccounts for 90% of his wealth. e to the concentration of risks, Lily trieto versify its investment portfolio using the procee from the sale of APPL shares to invest in mutufun. Lily's investment aisors have intifiethree mutufun, anLily consirs whiof these three mutufun will the most tax-efficient in the future. Some ta of the three mutufun are shown in Table 1.Baseon Exhibit 1, the mutufunmost likely to the most tefficient going forwaris: A.Fun B.Fun C.Fun A is correct. FunA ha lower percent capitgain exposure (PCGE) thes FunB or FunPCGE is estimate of the percentage of a funs assets threpresent gains anmeasures how muthe funs assets have appreciate It cincator of possible future capitgain stributions. PCGE cuseto gauge the amount of tliability embeein a mutufun The negative PCGE of FunA implies thFunA is more likely to the most tax-efficient fungoing forwar because it cuse the embeelosses in its portfolio to offset future realizegains.PCGE = Net gains (losses)/Totnet assets.Fun A  PCGE=(450,000−500,000)[2,000,000+(450,000−500,000)]=−2.56%Fun;A\;PCGE=\frac{\left(450,000-500,000\right)}{\left[2,000,000+\left(450,000-500,000\right)\right]}=-2.56\%FunPCGE=[2,000,000+(450,000−500,000)](450,000−500,000)​=−2.56%Fun B  PCGE=(300,000−200,000−100,000)[3,000,000+(300,000−200,000−100,000)]=0Fun;B\;PCGE=\frac{\splaystyle\left(300,000-200,000-100,000\right)}{\splaystyle\left[3,000,000+\left(300,000-200,000-100,000\right)\right]}=0FunPCGE=[3,000,000+(300,000−200,000−100,000)](300,000−200,000−100,000)​=0Fun C  PCGE=(600,000−400,000)[4,000,000+(600,000−400,000)]=4.76%Fun;C\;PCGE=\frac{\splaystyle\left(600,000-400,000\right)}{\splaystyle\left[4,000,000+\left(600,000-400,000\right)\right]}=4.76\%FunPCGE=[4,000,000+(600,000−400,000)](600,000−400,000)​=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。 Fun A  PCGE=(450,000−500,000)[2,000,000+(450,000−500,000)]=−2.56%Fun;A\;PCGE=\frac{\left(450,000-500,000\right)}{\left[2,000,000+\left(450,000-500,000\right)\right]}=-2.56\%FunPCGE=[2,000,000+(450,000−500,000)](450,000−500,000)​=−2.56%Fun B  PCGE=(300,000−200,000−100,000)[3,000,000+(300,000−200,000−100,000)]=0Fun;B\;PCGE=\frac{\splaystyle\left(300,000-200,000-100,000\right)}{\splaystyle\left[3,000,000+\left(300,000-200,000-100,000\right)\right]}=0FunPCGE=[3,000,000+(300,000−200,000−100,000)](300,000−200,000−100,000)​=0Fun C  PCGE=(600,000−400,000)[4,000,000+(600,000−400,000)]=4.76%Fun;C\;PCGE=\frac{\splaystyle\left(600,000-400,000\right)}{\splaystyle\left[4,000,000+\left(600,000-400,000\right)\right]}=4.76\%FunPCGE=[4,000,000+(600,000−400,000)](600,000−400,000)​=4.76% 可以贴一下原讲义吗 没什么印象

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