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yan · 2025年01月04日

为什么index weight用AUM，而不是capitalization

  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.

为什么index weight用AUM，而不是capitalization

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1 个答案

笛子_品职助教 · 2025年01月04日

嗨，从没放弃的小努力你好：


Hello，亲爱的同学~

这里说的，基于index weight  constraint ，Portfolio里一只股票可以买多少金额。

针对的是Portfolio，因此要用于Portfolio有关的AUM。


结合本题，index weight  constraint =0.20% × 10=2%。Portfolio AUM = 250M。

因此，Portfolio里一只股票，在index weight  constraint下，可以买 250M*2%=5M



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