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明媚的梦想 · 2024年05月22日

long/short策略的管理资金只按照short端来定吗? 经典的130/30策略是100%满仓了long后,又追加了30%

NO.PZ2019012201000075

问题如下:

Chen and Garcia next discuss characteristics of long–short and long-only investing. Garcia makes the following statements about investing with long–short and long-only managers:
Statement 1 A long–short portfolio allows for a gross exposure of 100%.
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 Garcia’s statements regarding investing with long–short and longonly managers is correct?

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

C is correct. Both Statement 1 and Statement 2 are correct.Statement 1 is correct because, similar to a long-only portfolio, a long–short portfolio can be structured to have a gross exposure of 100%. Gross exposure of the portfolio is calculated as the sum of the long positions and the absolute value of the short positions, expressed as percentages of the portfolio’s capital.
Gross exposure = Long positions + |Short positions|
Gross exposure long-only portfolio = 100% (Long positions) + 0% (Short positions) = 100%
Gross exposure long–short portfolio = 50% (Long positions) + |–50%| (Short positions) = 100%
Statement 2 is correct because long-only investing generally offers greater investment capacity than other approaches, particularly when using strategies that focus on large-cap stocks. For large institutional investors such as pension plans, there are no effective capacity constraints in terms of the total market cap available for long-only investing.

long/short策略的管理资金只按照short端来定吗?

经典的130/30策略是100%满仓了long后,又追加了30%的short端的资金,所以long了130%啊...

2 个答案

笛子_品职助教 · 2024年05月25日

嗨,努力学习的PZer你好:


所以我的理解就是long only的最大持仓就是100%;而long/short譬如130/30的持仓就是130%了,statement2中说long-only portfolio generally allows for greater investment capacity than other approaches就是错的啊 如何理解这个inventment capacity?

如果是比例,同学理解正确。

long最多持仓100%,而long/short可以持仓130%。

则100%确实小于130%。


但是这里,同学对inventment capacity,尤其是是capacity这个英文单词的理解,是错误的。

capacity是容量的意思,并不是比例。

capacity不等于proportion。

在这里,capacity指最大投资金额,同学注意是金额,并不是比例。


正如老师举的例子。

long only可以管理1000亿元。而130/30只能管理130亿元。

1000亿元是金额,130亿元也是金额。

1000亿元>130亿元,即 long only capacity > 130/30 capacity

因此:statement2正确。


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笛子_品职助教 · 2024年05月23日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

多空策略,空头必须在总持仓中,占据一定的百分比。

而short的资金容量一般比Long要小。

因此,short资金容量,就限制了整个130/30的资金容量。


举例来说,某个fund的一个130/30策略,30%空头最多容量30亿元。

但多头,容量无限大,可以达到1000亿元。

但由于空头必须有这个占比,则整个130/30的策略,总容量,就是:30亿空头 + 100亿多头 = 130亿元。


如果多空都达到各自最大容量。

即多有1000亿,空头30亿,则空头占比仅3%,不符合130/30的多空配比。

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