问题如下图：
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解释：
请问老师，这里讲到allocation的限制，为什么是用250*3%，但是老师讲义中讲到这句话的时候用的是market的40t 乘的？
maggie_品职助教 · 2019年04月02日
具体如何计算你要看题目是怎么问的，这里的限制条件说的是任何股票投资不能超过AUM的3%，AUM指的是基金所管理的资金规模，所以是250*3%。而讲义的例题是不能超过指数规模的一定比例，所以乘的是指数的市值。
lololojoan · 2019年04月02日
再请问下老师，视频中那道例题，有2个疑问： 1. 怎么看出来下面这句话是指portfolio的position size “No position size that represents more than 10% of the security ‘s average daily trading volume over the past 4 months” 2. 为什么算maximum position size 的时候需要用AUM* 0.1%，文中也没提AUM啊。 如果李老师不解释这题，完全区分不了是portfolio还是market。麻烦老师解释下
maggie_品职助教 · 2019年04月02日
咱们先要搞清楚这里在算什么，这道题让我们计算的是一只分散化很好的基金，在不影响它的策略实施的情况下，最大能掌管的资金规模是多大。有了这个理解后，那我们再往下说基金管理的资金规模就是AUM,现在相当于让我们计算这个最大的AUM是多少。想知道最大的AUM，那么我们就需要根据组合每一只持仓的规模来计算。所以这个position size肯定组合里的持仓，与指数里的股票权重无关。
lololojoan · 2019年04月02日
明白啦，谢谢老师
NO.PZ2019012201000036问题如下 TMT has $250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints: Allocation: No investment in any security mrepresent more th3% of totAUM. Liquity: No position size mrepresent more than 10% of the llvalue of the security’s A. Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx. Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC? Liquity Allocation Inx weight A is correct. 考点：Implicit Cost-relateConsirations 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。 我还是非常费解inx weight，按道理指数权重不是应该是占某个指数比如SP500或者Russel3000之类的权重吗？咋会和这个投资公司的AUM挂上关系呢？ 还有active share和risk那里的几道题目也是，原理很简单，但是题目真的很难读懂诶。。很容易造成误解
NO.PZ2019012201000036 问题如下 TMT has $250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints: Allocation: No investment in any security mrepresent more th3% of totAUM. Liquity: No position size mrepresent more than 10% of the llvalue of the security’s A. Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx. Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC? Liquity Allocation Inx weight A is correct. 考点：Implicit Cost-relateConsirations 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 h$250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints:Allocation: No investment in any security mrepresent more th3% of totAUM.Liquity: No position size mrepresent more th10% of the llvalue of the security’s A.Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx.Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC?c，算inx 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inx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
NO.PZ2019012201000036 问题如下 TMT has $250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints: Allocation: No investment in any security mrepresent more th3% of totAUM. Liquity: No position size mrepresent more than 10% of the llvalue of the security’s A. Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx. Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC? Liquity Allocation Inx weight A is correct. 考点：Implicit Cost-relateConsirations 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。 请
NO.PZ2019012201000036 问题如下 TMT has $250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints: Allocation: No investment in any security mrepresent more th3% of totAUM. Liquity: No position size mrepresent more than 10% of the llvalue of the security’s A. Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx. Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC? Liquity Allocation Inx weight A is correct. 考点：Implicit Cost-relateConsirations 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。 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这边为何是用aum(250m)去乘而不是用abc的市值3000m?
NO.PZ2019012201000036 问题如下 TMT has $250 million in assets unr management. ABC.ha market capitalization of $3.0 billion, inx weight of 0.20%, anaverage ily trang volume (A) of 1% of its market capitalization. TMT consirs investing in Aanhthe following position size policonstraints: Allocation: No investment in any security mrepresent more th3% of totAUM. Liquity: No position size mrepresent more than 10% of the llvalue of the security’s A. Inx weight: The maximum position weight must less thor equto 10 times the security’s weight in the inx. Whiof the following position size policonstraints is the most restrictive in setting TMT’s maximum position size in shares of ABC? Liquity Allocation Inx weight A is correct. 考点：Implicit Cost-relateConsirations 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。 从字面上看，指数权重不应该是 每个股票的市值 在包含它的 inx portfolio 中的权重吗？这个跟 AUM 有什么关系？