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邮票LL · 2021年05月04日

priority of selection

  1. CFA III
  2. Equity

NO.PZ2019012201000064

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：

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.

做这类题时，是否可以遵照以下的hierarchy来选出greatest implicit cost:

  1. fund category: small cap>large (liquidity concern);
  2. fund size: large>small (trading volumn, market impact);
  3. #securities: small>large (?)
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maggie_品职助教 · 2021年05月05日

嗨，从没放弃的小努力你好：


这里不存在hierarchy，因为交易规模和流动性是要一起看的。比如，基金买的都是小盘股，但如果基金规模很小，买的股票又不多，那么久不存在market impact。这道题和刚才那道题如出一辙，当基金管理规模很大，买的都是流动性不好的小盘股，且买的很少时，才会有很高的市场冲击成本。可以结合我刚才的回复一起看下。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

邮票LL · 2021年05月07日

请问large number of security 也是从流动性方面考虑吗，是会减弱流动性吗

maggie_品职助教 · 2021年05月08日

嗨，爱思考的PZer你好：


还是我上面回复的问题，这个要结合其他条件一起看，如果买的都是流通性很好的大盘股，那么即便large number of security也不会有流动性问题。

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努力的时光都是限量版，加油！

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2024-07-03 07:28 1 · 回答

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2023-11-13 11:07 1 · 回答

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2023-01-31 03:08 1 · 回答

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