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.
本题问的是capacity。CAPACITY指策略的市场容量。也就是这个策略，最大可以管理多少资金。
这里我们首先需要知道：多头管理的资金，大于空头所能管理的资金。
例如，一个Long only 策略，可以管理1000亿资金，一个short only策略，可能管理资金最多只能有100亿。
这是因为做空存在的限制，要比做多，多很多。
那比如我做空10%去做多，不就能110%吗？谢谢
