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Carina9999 · 2023年07月11日

根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢

  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.

根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢

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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：


根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢


Hello，亲爱的同学~

我们看本题，在index weight下的描述。

这里的含义是：portfolio中某只股票的权重上限，不超过这只股票在index里权重的10倍。


如果一只股票在index中权重为0.2%，这只股票在portfolio中的权重最多就是0.2%*10=2%。

那么这只股票最多持有多少金额呢，在index weight的条件下，最多持有：portfolio AUM*2%。

即答案解析里的：Index weight constraint = $250 million × (0.20% × 10) = $5.0 million

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

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