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.
我对这块一直很迷糊，long extension是特殊的long short吗？一般就是130/30？130/30是融券了30，又把这30去做多吧？那这样话总的持仓究竟是算多少？capacity是持仓吗？gross exposure是160，net是100吧？ 考试的时候是不是所有策略的net exposure都是100呢？因为都是全仓投资？如果是50/50是不是相对于没用本金，纯靠融券的钱？80/20等这些比例都存在吗？这里还需要掌握什么点呢，我感觉我没有理解透。谢谢老师解答。
