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积极向上 · 2023年05月06日

Index weight 用AUM 还是Market Cap呢？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000602

问题如下：

Which of the following position size policy constraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation?

选项：

A.

Liquidity

B.

Allocation

C.

Index weight

解释：

A is correct. The maximum position size in shares of Pasliant Corporation (PC) is determined by the constraint with the lowest dollar amount. The maximum position size for PC under each constraint is calculated as follows:

Liquidity Constraint

Dollar value of PC traded daily = PC market cap × Average daily trading volume

Dollar value of PC traded daily = $3 billion × 1.0% = $30 million

Liquidity constraint = Dollar value of PC traded daily × Liquidity % threshold

Liquidity constraint = $30 million × 10% = $3 million

Allocation Constraint

Allocation constraint = AUM × Maximum position size threshold

Allocation constraint = $250 million × 3.0% = $7.5 million

Index Weight Constraint

Index weight constraint = AUM × (Index weight × 10)

Index weight constraint = $250 million × (0.20% × 10) = $5.0 million

The liquidity constraint of $3.0 million is less than both the $5.0 million index weight constraint and the $7.5 million allocation constraint. Therefore, the maximum allowable position size that Manager A may take in PC is $3.0 million.

Index weight：A基金中投资的任和一只股票的权重不能超过该股票在指数中权重的10倍。

权重限制 = $250 million × (0.20% × 10) = $5.0 million



怎么区分，有时候index weight是用AUM 去乘，有时候是用maket cap去乘除，如何区分呢？



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1 个答案

笛子_品职助教 · 2023年05月07日

嗨，从没放弃的小努力你好：


怎么区分，有时候index weight是用AUM 去乘，有时候是用maket cap去乘除，如何区分呢？


这类题目并没有什么特别的知识点，本质是阅读理解。

把题干中的英文文字描述，转换成数学公式，就可以了。

并不需要做刻意区分，因为不同的题目，英文描述方式也是不一样的。


比如这道题：

Index Weight Constraint

Index weight constraint = AUM × (Index weight × 10)

Index weight constraint = $250 million × (0.20% × 10) = $5.0 million


AUM是固定的，已知的，我们直接根据题目描述写出公式即可。



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2023-07-11 15:06 1 · 回答

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