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dognmnm · 2022年05月12日

long only的 capacity

  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。

第二个表述, 不太理解这个capacity的含义, 我是long only表示我的投资只能做多, 显然我限制了各种投资方式, 怎么capacity还大呢?

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dognmnm · 2022年05月12日

如果股票本身流动性很小, 那capacity不也是小吗? 感觉long only的capacity并没有比较大

dognmnm · 2022年05月12日

难道long-short在大盘股当中的capacity就不大嘛?

1 个答案

伯恩_品职助教 · 2022年05月12日

嗨，爱思考的PZer你好：


investment capacity指的是你能够实现你投资判断的能力。

 A long-only portfolio generally allows for greater investment capacity than other approaches, particularly when using strategies that focus on large-cap stocks.这句话说的是long only的组合通常比其他交易策略的investment capacity要大，特别是当只做多大盘股的时候。

1.先解释前半句：因为short position的限制会更多（很多股票不允许卖空），相比只做多，long-short碰到不能做交易的概率会更大。因此，long only的investment capacity更大。

2.再解释后半句：相比小盘股，大盘股交易量大、流动性好，如果看涨，long only（只做多）大盘股的股票是不会收到任何限制的。而long only小盘股，你认为某只股票被低估，想买入，有可能买不到。

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