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ZF Everyday · 2023年09月23日

没看懂

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.

long - short策略能管理多少资金,取决于short端能管理多少资金,而不是long端能管理多少资金(这就是木桶原理).因此有结论:long only的管理规模(investment capacity )要高于long - short

老师,上述解释没看懂,long+short可管理的资金不就是更多了吗?

5 个答案

笛子_品职助教 · 2023年10月20日

嗨,从没放弃的小努力你好:


因此整个策略的规模就是long 10亿 + short 10亿,管理是20亿规模呀?

long 是现金买入,本金10亿。

short是融券,借券实质属于杠杆,杠杆10亿。

总的portfolio,管理本金是10亿,因此是10亿。



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加油吧,让我们一起遇见更好的自己!

AnnaZ · 2023年10月28日

我还是没看懂这个回复,比如本金long了10亿,那现在管理规模10亿,然后又举杠杆10亿,相当于又借款了10亿还能再买10亿,那加起来不就是20亿吗。还是说所谓本金long的10亿,实质上是通过short借到的那10亿,所以其实管理规模只有10亿。噶觉有点概念混淆

ZF Everyday · 2023年10月20日

老师,您说因此整个策略的规模就是long 10亿 + short 10亿,管理规模是10亿。这管理明明是20亿规模呀?不理解。。。。。

笛子_品职助教 · 2023年10月16日

嗨,努力学习的PZer你好:


long 可以管理1000亿美元。 short可以管理10亿美元。 那么组合到一起,就只能管理10亿美元。而不是1000+10=1010亿美元。 这是什么原理??为什么不是1010亿美元呢?


因为long/short 策略中,包含了一条:多空需要有合理的比例。

例如Long 的市值=short的市值。

因此,在这个策略下,long1000亿市值,就需要short 1000亿市值。

但short只能最多做10亿市值。

因此整个策略的规模就是long 10亿 + short 10亿,管理10亿元,而不是1000亿元。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

ZF Everyday · 2023年10月20日

因此整个策略的规模就是long 10亿 + short 10亿,管理是20亿规模呀?

ZF Everyday · 2023年10月16日

long 可以管理1000亿美元。 short可以管理10亿美元。 那么组合到一起,就只能管理10亿美元。而不是1000+10=1010亿美元。 这是什么原理??为什么不是1010亿美元呢?

笛子_品职助教 · 2023年09月25日

嗨,努力学习的PZer你好:


老师,上述解释没看懂,long+short可管理的资金不就是更多了吗?


long + short 管理的资金,比long only少。


举例来说。

一个long - short策略,

单独拆开看:

long 可以管理1000亿美元。

short可以管理10亿美元。

那么组合到一起,就只能管理10亿美元。而不是1000+10=1010亿美元。


因为long 和short的占比,需要是稳定的。

例如,long 50%头寸,short 50%头寸。这个比例必须是稳定的,才属于long - short 策略。

所以long - short策略里,short能管理的资金规模,就决定了long/short的规模。



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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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