186****1160
2024-07-21 03:10A選項麻煩解釋下
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Evian, CFA助教
2024-07-29 11:40
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
感謝提供題干和解析信息！它是AA科目原版書課后題，如需視頻解析可以點擊：
http://www.h8045.cn/home/#/exam/single/q34016/
題目問的是在M同學(xué)風險和稅收情況下，考慮Taxable account/ TEA/ TDA的調(diào)倉頻率。
Given the Martins’ risk and tax preferences, the taxable portfolio should be rebalanced:
應(yīng)該選擇A，Taxable account的調(diào)倉頻率低（TDA和TEA的調(diào)倉頻率高）
less often than the tax-deferred portfolio.
The Martins wish to maintain the same risk level for both retirement accounts based on their strategic asset allocation.
這句話說明，此時風險一定的情況下，我們來分析M同學(xué)的賬戶。
The Martins want to minimize taxes.
這句話說明M想降低成本，少交稅。
調(diào)倉頻率↑，實現(xiàn)gain or loss，實現(xiàn)taxes↑。而如果將資產(chǎn)放在TDA或者TEA，這些G/L或者taxed↑可能不會發(fā)生
However, more frequent rebalancing exposes the taxable asset owner to realized taxes that could have
otherwise been deferred or even avoided.
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追答
This suggests that rebalancing ranges for a taxable portfolio can be wider than those of a tax-exempt/tax-deferred portfolio with a similar risk profile; thus, rebalancing occurs less frequently.
我們知道，在taxable account里，after-tax return volatility < pre-tax return volatility，稅前收益波動大，稅后收益波動小，因為稅收會將波動率↓
after-tax return volatility < pre-tax return volatility
推出
taxable account rebalancing range > TDA or TEA rebalancing range
于是taxable portfolio 有較寬的調(diào)倉價格區(qū)間，那么調(diào)倉的頻率會較低
于是TEA or TDA 有窄的調(diào)倉價格區(qū)間，那么調(diào)倉的頻率會較高
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