NO.PZ201809170400000503
问题如下：
Which fund in Exhibit 1 most likely has the greatest implicit costs to implement its strategy?
选项：
A.
Fund 1
B.
Fund 2
C.
Fund 3
解释：
A is correct. Because Fund 1 has a large AUM but focuses on small-cap stocks, holds a relatively small number of securities in its portfolio, and prefers to make large trades, Fund 1 likely has the highest implicit costs. Each of these characteristics serves to increase the market impact of its trades. Market impact is a function of the security’s liquidity and trade size. The larger a trade size relative to a stock’s average daily volume, the more likely it is that the trade will affect prices. The relatively low level of trading volume of small-cap stocks can be a significant implementation hurdle for a manager running a strategy with significant assets under management and significant positive active weights on smaller companies.
最后一句提到： fund 3 prefer 大单交易。本身small cap流动性就要低一些，大单交易不是会有slippage cost吗
