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dognmnm · 2023年02月17日

收益的极限

  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。

A long-only portfolio puts a firm floor on how much an investor can win.

这话本身应该没错吧, 我long only最大收益无限, 最小收益为0, 不就是为win设定了floor吗? floor=0不是吗?

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1 个答案

笛子_品职助教 · 2023年02月19日

嗨，努力学习的PZer你好：


A long-only portfolio puts a firm floor on how much an investor can win.


这句话错了。把win改成lose

改成：A long-only portfolio puts a firm floor on how much an investor can lose.


最多输到零，而不是最多只能赢到零，赢是赢到无限。

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努力的时光都是限量版，加油！

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