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dognmnm · 2022年05月10日

乘上aum还是总市值

  1. CFA III
  2. Equity

NO.PZ2019012201000036

问题如下：

TMT has $250 million in assets under management. ABC.CO has a market capitalization of $3.0 billion, an index weight of 0.20%, and an average daily trading volume (ADV) of 1% of its market capitalization. TMT considers investing in ABC and has the following position size policy constraints:

Allocation: No investment in any security may represent more than 3% of total AUM.

Liquidity: No position size may represent more than 10% of the dollar value of the security’s ADV.

Index weight: The maximum position weight must be less than or equal to 10 times the security’s weight in the index.

Which of the following position size policy constraints is the most restrictive in setting TMT’s maximum position size in shares of ABC?

选项：

A.

Liquidity

B.

Allocation

C.

Index weight

解释：

A is correct.

考点：Implicit Cost-related Considerations

解析： 根据三种限制要求，最大持仓规模分别计算如下：

ABC公司每日交易价值=ABC的市值×每日的交易量=$3 billion × 1.0% = $30 million

流动性限制= ABC公司每日交易价值×流动性限制=$30 million × 10% = $3 million

配置限制=管理的资产规模×最大头寸限制=$250 million × 3.0% = $7.5 million

指数权重限制=管理的资产规模×（指数权重×10）=$250 million × (0.20% × 10) = $5.0 million

由于流动性限制计算出来的最大持仓规模金额最小，因此它是最严格限制政策。

Index weight: The maximum position weight must be less than or equal to 10 times the security’s weight in the index.


我怎么判断是用250乘上2%而不是用总市值乘上2%呢?

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dognmnm · 2022年05月10日

他题目是ABC.CO has a market capitalization of $3.0 billion, an index weight of 0.20%, 看上去应该是市值而不是aum

dognmnm · 2022年05月10日

请对照基础班讲义204页的内容帮我对比一下, 为何讲义是用市值(40 trillion), 这道题是用aum?

1 个答案

笛子_品职助教 · 2023年05月07日

嗨，爱思考的PZer你好：


这道题和原版书例题不一样。我们一点一点带着读题。请仔细多看几遍，自然能理解，这里确实比较绕。


这道题的AUM是已知的，它用3个条件来限制单一个股最大金额。而原版书虽然有AUM =200million，但是原版书这里说200million不是上限，要计算AUM的上限，所以这个AUM是不能用的，要计算，原版书只有2个条件（allocation和Liquidity），来计算个股持仓最大金额，然后反推AUM。





先比较Allocation条件


根据本题的Allocation条件：

配置限制=管理的资产规模×最大头寸限制=$250 million × 3.0% = $7.5 million


而根据例题的Allocation条件：

：


计算方式为：


可以看出来，这里就存在已知条件不同了。本题明确是AUM的3%，而例题是market cap的0.01%.


注意这里和例题的区别。


再看Liquidity条件


本题的Liquidity条件是指：

Liquidity: No position size may represent more than 10% of the dollar value of the security’s ADV.

而


证券ADV的10%。

ABC公司每日交易价值=ABC的市值×每日的交易量=$3 billion × 1.0% = $30 million

流动性限制= ABC公司每日交易价值×流动性限制=$30 million × 10% = $3 million


例题同理：

Liquidity:

10% *1.5% * （0.01%*4trillion）



再看指数权重限制：

指数权重限制=管理的资产规模×（指数权重×10）=$250 million × (0.20% × 10) = $5.0 million

指数权重限制是说，portfolio中个股权重，不超过该个股在指数中权重的10倍，因此最大权重就是2%。那么个股买多少金额，自然用AUM。


然后同学问为什么书上乘以market cap，同学是误解了书本的例题了。


在这里，index weight是0.01%，10倍就是0.1%，取0.1%与1%+0.01%最小值，还是0.1%。

那么如果按照这道题的算法：这里的maximum postion = 0.1%*AUM = 0.1%* 200million = 20million。


但是原版书例题没这么问，他说，现在管理AUM= 200million，但是不是上限，上限是多少。

很显然，原版书里的AUM虽然说是200Million，但是不能用，要计算AUM。

根据配置限制和流动性限制，计算出单个股票是6million，占比0.1%，所以最大AUM = 6million/0.1% = 6billion。


附录原版书例题：


----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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