解体的思路

NO.PZ202207040100000804 问题如下 The Epsilon Institute Case ScenarioThe Epsilon Institute of TheoreticPhysiis a non-profit corporation initially funfrom government anprivate sources. MitLazare is the chairmof the Investment Committee, whioversees the institute’s enwment fun of whiabout $750 million is currently unr active management. He is currently taskewith finng two aitioninvestment managers to manage a portion of the actively managefun an along with his assistant, BriWarrack, is reviewing the presentations ma severapplicants.John Fraser’s performanis the first thLazare anWarrareview. Fraser’s funis constructewith a scretionary approausing the four Fama–Frenfactors; he uses the Russell 1000 Value Inx his benchmark. The most recent 10 years of performanta for both the funanthe benchmark are shown in Exhibit 1.Exhibit 1 Fraser FunanBenchmark Average Monthly Performanover the Past 10 years part of his evaluation of the applicants, Warracompiles a recorof the Active Share anactive risk of the fun ththey manage. He observes ththe Mattley Funhrelatively high Active Share but relatively low active risk. Lazare anWarramake the following comments about Active Share anactive risk in the context of a single-factor mol:The level of active risk will rise with increase in iosyncratic volatility.The active risk attributeto Active Share will smaller in more versifieportfolios.If the factor exposure is fully neutralize the Active Share will entirely attributeto the active risk. The manager of the Western Funfocuses on smaller companies in the Russell 1000 Value Inx anuses the following constraints:Size: The capitalization of the average company is $1.8 billion. On average, companies of this size tra 0.90% of their capitalization every y.Liquity: Positions cno larger th7% of average ily trang volume.Allocation: Positions cno larger th1.75% of totassets unr management.versification: The portfolio must contain least 60 securities.If the manager of the Western Funis hireEpsilon, she will have $100 million of Epsilon’s fun to manage. Lazare anWarraturn their attention to the manager of the HerriFun whiis the only funthinvolves substantiinternationexposure. Lazare believes thcurrent politicevents in Country A mresult in greater risk exposure thmight appropriate anwishes to investigate further.The HerriFunmanager provis them with the information in Exhibit 2, whithey use to carry out a risk attribution analysis. Exhibit 2 The HerriFunRisk Analysis Question If the Western Funmanager is hire whiconstraint is most restrictive with respeto average position size? The constraint relateto: A.liquity. B.versification. C.asset allocation. SolutionA is correct. The most restrictive constraint on position size for the Western Funmanager is the liquity constraint. It arises from the restriction on average ily trang volume: The average position size cannot excee$1.13 million.Average ily trang for the representative company size: 0.90% × $1.8 billion = $16.2 million.Restriction on trang volume: 7% × Average ily trang = 7% × $16.2 million = $1.13 million.Restriction on allocation: 1.75% × $100 million = $1.75 million. Restriction on versification: $100 million/60 securities = $1.67 million.Position size is restrictetrang volume, anthe funcoulholup to $100 million/$1.13 million = 89 securities.B is incorrect. With a requirement of least 60 securities, investment of up to $100 million/60 = $1.67 million is allowein any security. The restriction on ily trang ($1.13 million) prevents thmufrom being acquireC is incorrect. The allocation restriction is 1.75% of fun unr management = 1.75% × $100 million = $1.75 million. However, the restriction on ily trang ($1.13 million) prevents this amount from being acquire 为什么versification这里直接这样平均除呢？有提到是平均分的吗？Restriction on versification: $100 million/60 securities