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孙甘迪 · 2019年02月21日

问一道题：NO.PZ201809170400000606 第6小题

  1. CFA III
  2. Equity

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问题如下图：

    

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A.

B.

C.

解释：


long和short不是应该各有100%吗？ gross为100%意思不就是没投资完？long-short management是不是应该做到100%

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老师答案

我有100块钱，买了50块钱的股票，再卖空50块钱的股票，那不就是long 50%，sho'rt 50%了嘛。那就是gross 100.

李斯克 · 2019年02月22日

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NO.PZ201809170400000606问题如下 Whiof Garcia’s statements regarng investing with long–short anlong-only managers is correct? Only Statement 1 Only Statement 2 Both Statement 1 anStatement 2 C is correct. Both Statement 1 anStatement 2 are correct. Statement 1 is correbecause, similto a long-only portfolio, a long–short portfolio cstructureto have a gross exposure of 100%. Gross exposure of the portfolio is calculatethe sum of the long positions anthe absolute value of the short positions, expressepercentages 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 correbecause long-only investing generally offers greater investment capacity thother approaches, particularly when using strategies thfocus on large-cstocks. For large institutioninvestors supension plans, there are no effective capacity constraints in terms of the totmarket cavailable for long-only investing. 请问 statement2知识点在讲义哪里？

2022-07-11 12:00 1 · 回答

Only Statement 2 Both Statement 1 anStatement 2 C is correct. Both Statement 1 anStatement 2 are correct. Statement 1 is correbecause, similto a long-only portfolio, a long–short portfolio cstructureto have a gross exposure of 100%. Gross exposure of the portfolio is calculatethe sum of the long positions anthe absolute value of the short positions, expressepercentages 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 correbecause long-only investing generally offers greater investment capacity thother approaches, particularly when using strategies thfocus on large-cstocks. For large institutioninvestors supension plans, there are no effective capacity constraints in terms of the totmarket cavailable for long-only investing. long only的capacity更大怎么理解。我看之前老师的说流动性好的时候long only可以买很大的量而不受影响。这个不应该是large cap的优点吗？

2020-10-02 14:57 1 · 回答

    讲130/30时说的是卖空30，买130，这个地方也应该是卖空100，买200，gorss是300吗？

2019-03-22 23:42 1 · 回答

gross不是算绝对值么？那可以大于100%呀

2019-03-10 17:58 1 · 回答

第二个statement不是很理解，为什么long only 有更大的capacity?

2019-02-25 18:25 1 · 回答