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506623496 · 2024年07月02日

思考角度

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000303

问题如下：

The broker suggests that Young rebalance her $5.5 million money market account and the $3.0 million tax-deferred retirement account periodically in order to maintain their targeted allocations. The broker proposes the same risk profile for the equity positions with two potential target equity allocations and rebalancing ranges for the two accounts as follows:
■ Alternative 1: 80% equities +/– 8.0% rebalancing range
■ Alternative 2: 75% equities +/– 10.7% rebalancing range

选项：

解释：

本题直接从taxable账户要选 wider 节约成本的角度就可以了吧?为什么要绕道volaitility去呢？虽然结果是一样的，但是想不到答案里的从波动性再推到range的角度。

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已采纳答案

Lucky_品职助教 · 2024年07月02日

嗨，努力学习的PZer你好：


同学你好：


如果有税的影响，实际的税后波动性是要小于税前波动性的，收益要交税，亏损可以抵税，你可以想象成税局帮你分摊了一部分风险；波动性小，rebalancing range越大。因此对于普通的税收账户，因为投资要征税，所以波动性要小，rebalancing range大；反之，有税收优惠的账户，它的波动性就会相比普通的税收账户要大一些，rabalancing range小。（相关知识点见下面的截图）


回到这一题，5.5m的账户实际上就是普通的税收账户，因此波动性要小，rebalancing range大，所以选择alternative 2。

3m的递延退休账户是税收优惠账户，波动性大，rebalancing range小，所以选择alternative 1。


波动性和税收成本是两个角度，因为这道题是税收优惠而不是免税（也就是可能是延期交税而不是不交税），所以解读采用了波动性的角度。


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