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麦当劳 · 2022年04月27日

Index Weight 不是很理解

  1. CFA III
  2. Equity

NO.PZ2019012201000036

问题如下：

TMT has $250 million in assets under management. ABC.CO 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. TMT considers investing in ABC and 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.

Which of the following position size policy constraints is the most restrictive in setting TMT’s maximum position size in shares of ABC?

选项：

A.

Liquidity

B.

Allocation

C.

Index weight

解释：

A is correct.

考点：Implicit Cost-related Considerations

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。

这里的index weight为什么是在AUM的基础上？例题课（issues of scale),那个index weight是建立在index 4 trillion的基础上的

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1 个答案

伯恩_品职助教 · 2022年04月27日

嗨，从没放弃的小努力你好：


这个题是问的说TMT 对 ABC 股票的最大持仓规模最严格，

这里说的这个指数里的ABC在index里的权重是0.2%

这里的要求是这个fund里的股票占比最高不能超过ABC在index里的占比的10倍，也就是0.2×10=2%，也就是说任何资产在这个fund中的占比不能超过2%，这个fund的总资产就是AUM是250，所以最大的资产的市值不能超过250×2%=5.

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