问题如下：
Ayanna Chen is a portfolio manager at Aycrig Fund, where she supervises assistant portfolio manager Mordechai Garcia. Aycrig Fund invests money for high-net-worth and institutional investors. Chen asks Garcia to analyze certain information relating to Aycrig Fund’s three submanagers, Managers A, B, and C.
Manager A has $250 million in assets under management (AUM), an active risk of 5%, an information coefficient of 0.15, and a transfer coefficient of 0.40. Manager A’s portfolio has a 2.5% expected active return this year.
Chen directs Garcia to determine the maximum position size that Manager A can hold in shares of Pasliant Corporation, which 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.
Manager A 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.
Manager B holds a highly diversified portfolio that has balanced exposures to rewarded risk factors, high active share, and a relatively low active risk target.
Selected data on Manager C’s portfolio, which contains three assets, is presented in Exhibit 1.
Chen considers adding a fourth sub-manager and evaluates three managers’ portfolios, Portfolios X, Y, and Z. The managers for Portfolios X, Y, and Z all have similar costs, fees, and alpha skills, and their factor exposures align with both Aycrig’s and investors’ expectations and constraints. The portfolio factor exposures, risk contributions, and risk characteristics are presented in Exhibits 2 and 3.
Chen and Garcia next discuss characteristics of long–short and long-only investing. Garcia makes the following statements about investing with long–short and long-only managers:
Statement 1 A long–short portfolio allows for a gross exposure of 100%.
Statement 2 A long-only portfolio generally allows for greater investment capacity than other approaches, particularly when using strategies that focus on large-cap stocks.
Chen and Garcia then turn their attention to portfolio management approaches. Chen prefers an approach that emphasizes security-specific factors, does not engage in factor timing, and runs a concentrated portfolio .
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.
weight的限制里面，security weight in the index. 为啥不是用指数，而是用组合的AUM
