蛋黄也酥酥 · 2022年05月21日

Index weight

* 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：

Liquidity

Allocation

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.

: The maximum position weight must be less than or equal to 10 times the security’s weight in the index.

这里的意思为什么不是说限制投的钱在这个3billion里的比重，而是限制我们自己aum里的比重。

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3 个答案

笛子_品职助教 · 2022年05月21日

嗨，从没放弃的小努力你好：

最后说一下注意点：

1、这类题目并不涉及到知识点问题。只要跟着题目要求一步一步做，只要能够读懂题目，就可以解答出来。这是一个熟练的过程，只要做过这种题型，类似的题型就能很快解出来。

2、建议同学把基础讲义对应例题多看几遍，然后视频多听几遍，理解了例题后，再来做这道题目，并看回答的解析。这道题花费的时间会稍微长一些，但是只要能把题目弄懂，就能节省后面的时间。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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笛子_品职助教 · 2022年05月21日

嗨，努力学习的PZer你好：

这道题和原版书例题不一样。我们一点一点带着读题。请仔细多看几遍，自然能理解，这里确实比较绕。

这道题的AUM是已知的，它用3个条件来限制单一个股最大金额。而原版书虽然有AUM =200million，但是原版书这里说200million不是上限，要计算AUM的上限，所以这个AUM是不能用的，要计算，原版书只有2个条件（allocation和Liquidity），来计算个股持仓最大金额，然后反推AUM。

先比较Allocation条件

根据本题的Allocation条件：

配置限制=管理的资产规模×最大头寸限制=$250 million × 3.0% = $7.5 million

而根据例题的Allocation条件：

可以看出来，这里就存在已知条件不同了。本题明确是AUM的3%，而例题是market cap的0.01%.

注意这里和例题的区别。

再看Liquidity条件

本题的Liquidity条件是指：

证券ADV的10%。

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

例题同理：

Liquidity:

10% *1.5% * （0.01%*4trillion）

注意这里和例题是相同的。例题的0.01%*4trillion，就是这里的$3 billion × 1.0% = $30 million

再看指数权重限制：

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

指数权重限制是说，portfolio中个股权重，不超过该个股在指数中权重的10倍，因此最大权重就是2%。那么个股买多少金额，自然用AUM

这里同学可能有疑问，为什么书上乘以market cap，这就是书本例题和本题不一样的地方

在这里，index weight是0.01%，10倍就是0.1%，取0.1%与1%+0.01%最小值，还是0.1%。

那么如果按照这道题的算法：这里的maximum postion = 0.1%*AUM = 0.1%* 200million = 20million。

但是原版书例题没这么问，他说，现在管理AUM= 200million，但是不是上限，上限是多少。

很显然，原版书里的AUM虽然说是200Million，但是不能用，要计算AUM。

根据配置限制和流动性限制，计算出单个股票是6million，占比0.1%，所以最大AUM = 6million/0.1% = 6billion。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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笛子_品职助教 · 2022年05月21日

嗨，从没放弃的小努力你好：

这道题是改写自原版书习题，但是不太一样，我先贴一下原版书习题，然后同学可以先复习一下。

附录原版书例题：基础讲义204-205页，请看例题和对应视频。看完后再看第二条回答内容。

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加油吧，让我们一起遇见更好的自己！

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

添加评论

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NO.PZ201809170400000602问题如下 Whiof the following position size policonstraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation? A.LiquityB.AllocationC.Inx weight A is correct. The maximum position size in shares of Pasliant Corporation (Pis terminethe constraint with the lowest llamount. The maximum position size for PC unr eaconstraint is calculatefollows:Liquity Constraintllvalue of PC traily = PC market c× Average ily trang volumellvalue of PC traily = $3 billion × 1.0% = $30 millionLiquity constraint = llvalue of PC traily × Liquity % thresholiquity constraint = $30 million × 10% = $3 millionAllocation ConstraintAllocation constraint = AUM × Maximum position size thresholllocation constraint = $250 million × 3.0% = $7.5 millionInx Weight ConstraintInx weight constraint = AUM × (Inx weight × 10)Inx weight constraint = $250 million × (0.20% × 10) = $5.0 millionThe liquity constraint of $3.0 million is less thboth the $5.0 million inx weight constraint anthe $7.5 million allocation constraint. Therefore, the maximum allowable position size thManager A mtake in PC is $3.0 million. 根据题目的描述，inx weight不是应该乘以市值吗？为什么题目是乘以在管规模呢

2023-07-11 15:06 1 · 回答

NO.PZ201809170400000602 问题如下 Whiof the following position size policonstraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation? A.Liquity B.Allocation C.Inx weight A is correct. The maximum position size in shares of Pasliant Corporation (Pis terminethe constraint with the lowest llamount. The maximum position size for PC unr eaconstraint is calculatefollows:Liquity Constraintllvalue of PC traily = PC market c× Average ily trang volumellvalue of PC traily = $3 billion × 1.0% = $30 millionLiquity constraint = llvalue of PC traily × Liquity % thresholiquity constraint = $30 million × 10% = $3 millionAllocation ConstraintAllocation constraint = AUM × Maximum position size thresholllocation constraint = $250 million × 3.0% = $7.5 millionInx Weight ConstraintInx weight constraint = AUM × (Inx weight × 10)Inx weight constraint = $250 million × (0.20% × 10) = $5.0 millionThe liquity constraint of $3.0 million is less thboth the $5.0 million inx weight constraint anthe $7.5 million allocation constraint. Therefore, the maximum allowable position size thManager A mtake in PC is $3.0 million. Inx weightA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怎么区分，有时候inx weight是用AUM 去乘，有时候是用maket cap去乘除，如何区分呢？

2023-05-06 21:47 1 · 回答

NO.PZ201809170400000602 问题如下 Whiof the following position size policonstraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation? A.Liquity B.Allocation C.Inx weight A is correct. The maximum position size in shares of Pasliant Corporation (Pis terminethe constraint with the lowest llamount. The maximum position size for PC unr eaconstraint is calculatefollows:Liquity Constraintllvalue of PC traily = PC market c× Average ily trang volumellvalue of PC traily = $3 billion × 1.0% = $30 millionLiquity constraint = llvalue of PC traily × Liquity % thresholiquity constraint = $30 million × 10% = $3 millionAllocation ConstraintAllocation constraint = AUM × Maximum position size thresholllocation constraint = $250 million × 3.0% = $7.5 millionInx Weight ConstraintInx weight constraint = AUM × (Inx weight × 10)Inx weight constraint = $250 million × (0.20% × 10) = $5.0 millionThe liquity constraint of $3.0 million is less thboth the $5.0 million inx weight constraint anthe $7.5 million allocation constraint. Therefore, the maximum allowable position size thManager A mtake in PC is $3.0 million. 老师请问，为何是选三者中最小的呢？题目问的是“the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation”？所以是最小范围就是最严格？maximum position size这三个单词可以忽略，是吧？

2022-12-23 22:56 1 · 回答

NO.PZ201809170400000602 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，可以麻烦老师一下吗

2021-09-23 21:39 1 · 回答

Index weight

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