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你涵妹 · 2024年03月12日

implict cost

  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。

No.PZ2019012201000036 (选择题)

来源: 品职出题

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?



c，算index weight没有明白。

哪里说了个股的情况？

abc.co是一个公司吗？所以他的security市值3million？ 占index的0.2%？那不应该是3million*10*0.2吗

为什么最后乘以的是aum?


还有就是我点击问问题时，跳进来的page直接是空白。

我只能copy paste文字。。。

能修复一下吗？很不方便

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1 个答案

笛子_品职助教 · 2024年03月12日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

算规模的题目，看起来计算比较复杂，但实质是英文阅读理解。

解题的关键是读懂题意。

也就是，根据题目的文字描述，把这些文字描述，转化成公式。

它并没有什么特别的知识点需要记忆的。


老师先带着同学过一遍解答


我们看本题：

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

含义是：每只股票的投资额，不超过这只股票ADV的10%。

先计算这只股票的ADV：ADV = 股票市值 * 1%

股票市值，题目已知为3.0 billion。

ADV = $3 billion × 1.0% = $30 million

根据流动性限制：最多持有ADV的10%

也就是 $30 million*10%


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

含义是 ，每只股票的投资额，不超过portfolio AUM的3%。

我们找到AUM的数值是250M

因此，流动性限制下，单股最大金额 = 250M*3%


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

含义是：每只股票在portfolio里的权重，不超过这只股票在index里权重的10倍。

我们找到股票在index里权重为0.2%

因此，股票在portfolio里权重最大是0.2%*10%=2%

portfolio AUM为250M

因此，index限制下的个股最大金额 = $250 million × (0.20% × 10) = $5.0 million




回到同学问题


哪里说了个股的情况？

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.这里是个股情况。


abc.co是一个公司吗？所以他的security市值3million？

ABC.co是个公司。它的市值是 $3.0 billion。


占index的0.2%？那不应该是3million*10*0.2吗

市值3billion是已知条件，不需要同学再计算啦。


为什么最后乘以的是aum?

因为有allocattion限制。


算index weight没有明白。

已知AUM =25M

股票在AUM中最大占比为0.2%的10倍，即2%

问股票可以最多持有多少金额。

用 $250 million × (0.20% × 10) = $5.0 million就可以啦。


同学看看整个解题过程，其实用不到什么知识点，就是一个，把文字翻译成计算公式的过程。

只要英语足够好，没学过CFA的人，也可以做得出来。

以后碰到这类题目，照着一步一步做就可以了。


如果还有其他问题，欢迎随时提问，祝学习顺利~







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