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Carina9999 · 2023年07月11日

fund 3

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NO.PZ201809170400000503

问题如下:

Which fund in Exhibit 1 most likely has the greatest implicit costs to implement its strategy?

选项:

A.

Fund 1

B.

Fund 2

C.

Fund 3

解释:

A is correct. Because Fund 1 has a large AUM but focuses on small-cap stocks, holds a relatively small number of securities in its portfolio, and prefers to make large trades, Fund 1 likely has the highest implicit costs. Each of these characteristics serves to increase the market impact of its trades. Market impact is a function of the security’s liquidity and trade size. The larger a trade size relative to a stock’s average daily volume, the more likely it is that the trade will affect prices. The relatively low level of trading volume of small-cap stocks can be a significant implementation hurdle for a manager running a strategy with significant assets under management and significant positive active weights on smaller companies.

最后一句提到: fund 3 prefer 大单交易。本身small cap流动性就要低一些,大单交易不是会有slippage cost吗

1 个答案

笛子_品职助教 · 2023年07月11日

嗨,从没放弃的小努力你好:


最后一句提到: fund 3 prefer 大单交易。本身small cap流动性就要低一些,大单交易不是会有slippage cost吗


Hello,亲爱的同学~

大单交易确实会有slippage cost。

这里的基金,或多或少会有一些成本。

这题是比较各个基金的成本。


fund3本身规模不大,喜欢持有大量小盘股,小的AUM加大量持股,平均对每个小盘股的流动性要求并不高,即使喜欢大单交易,大单也不会超过每个小盘股流动性的上限,因此成本不会很高。尤其是相比Fund1,大AUM只持有少数的几只小盘股来说,fund3的成本还是比fund1要小的。因此选A会比较好。

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