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柠乐 · 2022年07月16日

还是不明白第二句为什么是正确的

  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。

如何理解？这个知识点在哪里？谢谢

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1 个答案

笛子_品职助教 · 2022年07月17日

嗨，爱思考的PZer你好：


同学你好，这个知识点在基础讲义222页


根据讲义内容，多头有个floor，也就是最大亏损。

而空头亏损是无限的。


可以这里理解：

股票价格最多跌到零，不会跌到负数。如果一个股票100元，买了10万元，那么最大亏损就是股票从100元跌到0,10万元全部亏光。

而如果做空，损失是无限的，比如10万元做空了100元的股票，第二天突然宣布特大利好，价格涨到1000元，瞬间亏损100万元。不仅亏光了10万元本金，还欠券商90万元。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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