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yaokylu · 2022年12月11日

请问什么是 指数权重 “Index weight”

  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。

从字面上看，指数权重不应该是 每个股票的市值 在包含它的 index portfolio 中的权重吗？

这个跟 AUM 有什么关系？

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1 个答案

笛子_品职助教 · 2022年12月12日

嗨，努力学习的PZer你好：


从字面上看，指数权重不应该是 每个股票的市值 在包含它的 index portfolio 中的权重吗？

这道题问的是，个股在portfolio中可以买多少金额


那么在限制条件中，就有一条是“Index weight


因为题目中有以下已知条件：

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

这里的意思，这里说的是，portfolio中个股占比，最大是这只个股在index中占比的10倍。

例如，在index中占比是0.2%，那么在portfolio中占比就可以是2%。这就是本题中，index weight的作用。


然后，个股在portfolio中可以买多少金额呢

portfolio规模是250million，那么个股在portfolio中最大的金额就是250million *2%



这个跟 AUM 有什么关系？

在本题中，这个index weight是计算portfolio中单只个股的最大金额的。

在本题中，index weight并不决定AUM，因为本题的AUM是已知的。

在以下条件中，TMT has $250 million in assets under management.我们已知AUM就是250M。


所以index weight的作用就是，计算出，在index weight限制下，个股在portfolio中的最大权重，以及金额。个股在portfolio中最大金额 = 250M*2%。

----------------------------------------------
努力的时光都是限量版，加油！

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