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NO.PZ202204250100001504

问题如下：

Which of West’s statements regarding rebalancing ranges is least likely correct?

选项：

Statement 1.

Statement 2.

C.Statement 3.

解释：

Correct Answer: C

Statement 3 is incorrect. Rebalancing ranges for non-US developed equity should be wider than US equity under the cost-benefit (not proportional range) because it has higher transaction costs. Rebalancing ranges under the proportional range approach are defined as +/– 600 basis points for all asset classes in this example and are computed as follows.

Rebalancing ranges for bonds under the proportional range approach:

20% × (1 + 600 bps) = 20% × 1.06 = 21.2%

20% × (1 – 600 bps) = 20% × 0.94 = 18.8%

Hypothetical Rebalancing Ranges under Three Different Approaches

为什么是cost，而不是currency risk。

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Lucky_品职助教 · 2025年04月22日

嗨，从没放弃的小努力你好：

在确定再平衡区间时，成本因素比货币风险更能影响非美国发达市场股票相对于美国股票再平衡区间的宽窄。

非美国发达市场股票通常涉及不同国家的市场，交易成本较高，这使得频繁再平衡会产生更多的费用，侵蚀投资收益。从成本效益的角度考虑，为了控制成本，会设置更宽的再平衡区间，减少再平衡操作的频率。例如，当市场波动但未超过较宽的再平衡区间时，就不进行再平衡操作，避免了不必要的交易成本。

虽然非美国发达市场股票存在更高的货币风险，但货币风险并不直接决定再平衡区间的宽窄。货币风险主要影响投资收益的波动，而不是再平衡操作的频率和区间设置。在实际操作中，不能仅仅因为货币风险高就设置更宽的再平衡区间，相比之下，成本因素对再平衡区间的影响更为直接和关键。

所以，在决定再平衡区间时，成本因素起主导作用，而非货币风险，因此非美国发达市场股票在成本效益法下的再平衡区间比美国股票更宽，而不是因为货币风险在比例区间法下更宽。

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