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侠女yao · 2021年10月14日

0.2%和AUM的关系

  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。

感觉题目没有说清楚条件，虽然知道不是用3billion，但觉得还是不明白为什么最后用AUM去算，0.2%只说了是index中的权重，并没有说明投资时也按这个比例出资。请老师解答，谢谢。

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1 个答案

伯恩_品职助教 · 2021年10月14日

嗨，从没放弃的小努力你好：


 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.

同学你好，这个题是比较乱，不容易捋清。老师第一次做也是没搞明白，看答案后才理解。这个是根据课后题改编的，所以虽然我也觉得题目说的不是很清楚，但是课后题这么出，我们也认为考试也会有可能这么考，这个协会说了算，只能去适应协会的考试方式了。

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努力的时光都是限量版，加油！

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