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皓月 · 2025年04月25日

老师这题没懂问的是什么

  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：

解析也没看懂

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1 个答案

Lucky_品职助教 · 2025年04月25日

嗨，努力学习的PZer你好：


这道题目主要围绕着对两个不同账户（一个 550 万美元的税后货币市场账户和一个 300 万美元的税收递延退休账户）选择合适的目标股权配置及再平衡范围方案展开。

题目问的是，从两种潜在的目标股权配置和再平衡范围方案（方案 1 和方案 2）中，为两个账户分别选择最合适的方案，并说明选择的理由。


550 万美元账户（税后账户）：由于税后波动低于税前波动，从风险控制角度，税后账户的再平衡范围应更宽。方案 2 的再平衡范围是 10.7%，方案 1 是 8.0%，所以方案 2 更适合 550 万美元的税后账户。另外，在税后账户中进行资产出售会产生纳税义务，较宽的目标范围意味着在超出再平衡范围（从而需要决定出售资产、支付相关税款并重新平衡至目标股权配置）之前，资产价格有更大的波动空间。还通过公式 “税后再平衡范围 = 税前再平衡范围 /（1 - 税率）” 进行计算，假设税率为 25%，8.0%/（1 - 0.25）≈10.67% ，与方案 2 的 10.7% 接近，进一步说明了方案 2 对该账户的合理性。


300 万美元账户（税收递延退休账户，属于税前账户）：因为税前波动高于税后波动，所以税前账户的再平衡范围应更窄。方案 1 的再平衡范围是 8.0%，方案 2 是 10.7%，所以方案 1 更适合 300 万美元的税收递延退休账户 。这种差异反映了税收递延对 300 万美元账户的影响与税收对 550 万美元账户影响的不同。

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