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little_back · 2021年08月21日

请问老师：index weight到底是谁的比率？

  1. CFA III
  2. Equity

NO.PZ2019012201000036

问题如下：

TMT has $250 million in assets under management. ABC.CO has a market capitalization of $3.0 billion, an index weight of 0.20%, and an average daily trading volume (ADV) of 1% of its market capitalization. TMT considers investing in ABC and has the following position size policy constraints:

Allocation: No investment in any security may represent more than 3% of total AUM.

Liquidity: No position size may represent more than 10% of the dollar value of the security’s ADV.

Index weight: The maximum position weight must be less than or equal to 10 times the security’s weight in the index.

Which of the following position size policy constraints is the most restrictive in setting TMT’s maximum position size in shares of ABC?

选项：

A.

Liquidity

B.

Allocation

C.

Index weight

解释：

A is correct.

考点：Implicit Cost-related Considerations

解析： 根据三种限制要求，最大持仓规模分别计算如下：

ABC公司每日交易价值=ABC的市值×每日的交易量=$3 billion × 1.0% = $30 million

流动性限制= ABC公司每日交易价值×流动性限制=$30 million × 10% = $3 million

配置限制=管理的资产规模×最大头寸限制=$250 million × 3.0% = $7.5 million

指数权重限制=管理的资产规模×（指数权重×10）=$250 million × (0.20% × 10) = $5.0 million

由于流动性限制计算出来的最大持仓规模金额最小，因此它是最严格限制政策。

请问老师：an index weight of 0.20%表示谁是谁的 0.20%？

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2 个答案

伯恩_品职助教 · 2021年08月23日

嗨，从没放弃的小努力你好：


同学，我解释了啊

The maximum position weight这个是250million里面最多能放多少，

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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！

伯恩_品职助教 · 2021年08月22日

嗨，努力学习的PZer你好：


 the security’s weight in the index(该证券在指数中的权重）， the security是指 ABC.CO，它在指数的权重中占比0.2%，然后*10（因为最大不能超过这的10倍）。然后 The maximum position weight这个是250million里面最多能放多少？所以这句话连起来就是250*0.2%*10=5.

这句话确实咬文爵字，比较难理解。得拆解才能明白。

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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！

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