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dilly24 · 2024年04月05日

Long Only

  1. CFA III
  2. Equity

NO.PZ2019012201000039

问题如下：

Matt makes the following statements about investing with long-only managers:

Statement 1 A long-only portfolio puts a firm floor on how much an investor can win.

Statement 2 A long-only portfolio generally allows for greater investment capacity than other approaches, particularly when using strategies that focus on large-cap stocks.

Which of Matt’s statements regarding investing with long-only managers is correct?

选项：

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释：

B is correct.

考点：Long/Short, Long Extension, And Market-neutral

解析：表述1错在投资者不是为收益设定底线，而是为损失设定了底线。因为股票价格可以跌到的最低水平为零，而上涨空间是无限的，因此，只做多的投资者最大可能损失的金额就等于股票的初始投资。

请问这道题Statement 2 讲的是什么啊？ 为什么正确？

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1 个答案

笛子_品职助教 · 2024年04月06日

嗨，从没放弃的小努力你好：


请问这道题Statement 2 讲的是什么啊？ 为什么正确？

Hello，亲爱的同学~

Statement 2 A long-only portfolio generally allows for greater investment capacity than other approaches, particularly when using strategies that focus on large-cap stocks.


意思是，只做多策略（long-only ）的portfolio，比long - short策略（only long的other approaches就是多空策略，仅做空策略）的portfolio，能管理更多资金（greater investment capacity）。


因为做空比做多容纳的资金少，做空要比做多更难。

因此，做多策略的资金容量，比做空策略要高。

做多策略的资金容量，也比多空策略高。

因为多空策略，空头必须维持一定比。而空头的容量又较少，从而限制了多空策略整体的资金容量。


举例来说，一个多空策略，要求70%多头 + 30%空头。

30%空头的资金容量，最多管理100亿资金。70%多头，最多管理2000亿资金。

空头的资金容量决定了多空策略的资金容量。则可以推算这个多空策略，最多管理333亿资金。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

三年小马哥 · 2024年05月18日

30%空头的资金容量，最多管理100亿资金。70%多头，最多管理2000亿资金 老师可以解释下这个么？

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