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SUN · 2020年11月26日

问一道题：NO.PZ201809170400000602 第2小题 [ CFA III ]

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

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.

第三点写的是 10 times the security，s weight in the index 我看之前老师说肯定是乘以aum不是index，那就是题错了？
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maggie_品职助教 · 2020年11月27日

嗨，爱思考的PZer你好：


Index weight constraint = AUM × (Index weight × 10)，你看解析里指数的权重和AUM都用到了，之前提问中关于AUM的问题是大家在纠结是乘以250M还是公司的市值3B, 我们现在要计算的是基金经理A能够买多少这只公司(最大持仓限制)，肯定乘以的是基金A有多少钱，AUM即资产管理的规模。

但是权重的限制是10倍的公司股票在指数中的权重即0.2%，因此，Index weight constraint = $250 million × (0.20% × 10) = $5.0 million


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


SUN · 2020年11月27日

终于明白了，谢谢

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