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lman · 2021年04月17日

No.PZ201809170400000602

  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.

这个知识点没有在强化班讲过啊~~我是强化班plus学员这样不是很吃亏？这样搞不好吧？~

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1 个答案

maggie_品职助教 · 2021年04月18日

嗨，爱思考的PZer你好：


同学，强化班和基础班侧重不同，基础班侧重夯实基础知识点，因此涉及到的知识点范围更广，这样基础班的时长自然也更长。强化班侧重在于基础知识已经掌握的情况下帮助大家对重要知识点反复巩固记忆，介于强化班的这一目的，篇幅就有限，教材的内容不能百分百覆盖，有所选择，感谢同学理解。

现就这道题解释如下：

为了避免承担很高的交易费用，在一定的组合资金规模（AUM）的情况下，组合对于每一只股票的持仓规模会有一定的限制要求（position size policy）,也就是投资单一股票上的投资量是有资金规模限制的。这道题就是让我们根据题目中列出的position size policy，选出对于持仓规模要求最严格的那条（哪条让我投的金额最少，哪条就最为严格）。

题干信息：A基金的AUM为250M，PC公司的市值为3个B，在指数中的权重为0.2%，平均每日交易量为其市值的1%。

 

组合的position size policy从三个角度出发：

Allocation：A基金中投资的任和一只股票的规模，不能超过AUM的3%。

Allocation 限制 = $250 million × 3.0% = $7.5 million

Liquidity：A基金中投资的任和一只股票的规模，不能超过PC公司每日交易量的10%。

先计算PC每日的交易量 = $3 billion × 1.0% = $30 million

因此，流动性限制 = $30 million × 10% = $3 million

Index weight：A基金中投资的任和一只股票的权重不能超过该股票在指数中权重的10倍。

权重限制 = $250 million × (0.20% × 10) = $5.0 million

 

从计算结果可知，流动性限制最为严格，对于PC公司，A基金最多只能投资3 million。

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