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.
请问这个计算在课上哪里有说到?没在讲义上看到这个知识点啊。还是说纯粹靠理解?