NO.PZ2022122801000016
问题如下：
Carson carefully reviews
the Johnsons’ existing IPS, which was prepared by their previous adviser. She
determines that their current asset allocation (Exhibit 3) is appropriate for
them. She notes, however, that a rebalancing policy is not clearly documented.
Carson discusses portfolio rebalancing with Osaka, and prepares three possible
approaches (also shown in Exhibit 3).
Exhibit 3 Possible Rebalancing
Options
Osaka makes the following
statements about portfolio rebalancing:
Statement 1: An
investor’s beliefs in momentum and mean reversion may favor wider rebalancing
ranges.
Statement 2: Taxes
and transaction costs often lead to wider rebalancing ranges in taxable
accounts than in tax-advantaged accounts.
Statement 3: Due
to the high volatility and low correlation with the rest of the portfolio, and
the Johnsons’ moderate to high risk tolerance, the fixed income rebalancing
range is narrower than the other asset classes based on the cost-benefit
approach shown in Exhibit 3.
Which of Osaka’s statements about portfolio rebalancing is correct?
选项：
A.Statement 1.
Statement 2.
Statement 3.
解释：
Higher transaction costs for an asset class imply wider rebalancing ranges. High transaction costs set a high hurdle for rebalancing benefits to overcome. Taxes, as a cost, are much larger than other transaction costs, which leads to wider rebalancing ranges in taxable portfolios than in tax-advantaged portfolios.
Statement 1 is incorrect; a belief in mean reversion encourages tighter ranges. Statement 3 is incorrect; moderate to high risk tolerant investors would have a wider range.
moderate to high risk tolerant investors指的是投资者风险承受能力高还是风险承受能力低
