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一只可爱的猪 · 2021年09月23日

计算过程

  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.

老师，这道题。我没看到题目在问什么，也不知道这个过程什么意思，可以麻烦老师解释一下吗


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1 个答案

笛子_品职助教 · 2021年09月25日

嗨，从没放弃的小努力你好：


这题讲的是单票的市值规模限制，有几种测算方式


Liquidity constraint，根据指数的容量来测算：

指数总市值$3 billion，每天成交量占市值的1%，那么每天成交就是$3 billion × 1.0% = $30 million。

同时基金规定持仓不能超过股票每日成交的10%，则基金单票持仓最大市值是：$30 million × 10% = $3 million。


Allocation Constraint 根据基金规模来测算

基金规模 $250 million，每只股票占基金市值比重不超过3%，则单票最大市值 = $250 million × 3.0% = $7.5 million


Index Weight Constraint，根据题目测算

基金对单票持仓比例最大为该票在指数中所占权重的10倍

基金规模$250 million，单票的指数权重0.2%，则单票在基金中的权重最大为0.2% x 10 =2%，单票最大市值= $250 million × (0.20% × 10) = $5.0 million


三个数值中选最小的，单票最大规模是$3 million。这是由Liquidity constraint决定的。



知识点见以下截图，原版书有例题（基础班讲义203-204页）




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努力的时光都是限量版，加油！

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