开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Carina9999 · 2023年07月11日

根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢

  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.

根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢

添加评论
1 个答案

笛子_品职助教 · 2023年07月11日

嗨，从没放弃的小努力你好：


根据题目的描述，index weight不是应该乘以市值吗？为什么题目是乘以在管规模呢


Hello，亲爱的同学~

我们看本题，在index weight下的描述。

这里的含义是：portfolio中某只股票的权重上限，不超过这只股票在index里权重的10倍。


如果一只股票在index中权重为0.2%，这只股票在portfolio中的权重最多就是0.2%*10=2%。

那么这只股票最多持有多少金额呢，在index weight的条件下，最多持有：portfolio AUM*2%。

即答案解析里的：Index weight constraint = $250 million × (0.20% × 10) = $5.0 million

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 1

    关注

  • 392

    浏览
相关问题

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 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. : The maximum position weight must less thor equto 10 times the security’s weight in the inx.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。

2022-05-21 16:01 3 · 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