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小小悟空yu · 2020年11月09日

问一道题：NO.PZ201809170400000602 第2小题 [ CFA III ]

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

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.

为什么这里最严格的限制不是数值最小的5m 而是宽松的7.5m
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1 个答案

maggie_品职助教 · 2020年11月10日

嗨，努力学习的PZer你好：


同学，你是不是看错了，这道题选A，流动性的限制=3M，这才是最严格的数字。


-------------------------------
努力的时光都是限量版，加油！


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