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wsmn · 2019年03月10日

问一道题：NO.PZ201809170400000606 第6小题 [ CFA III ]

  1. CFA III
  2. Equity

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问题如下图：

选项：

A.

B.

C.

gross不是算绝对值么？那可以大于100%呀
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1 个答案

韩韩_品职助教 · 2019年03月10日

同学你好，这里statement 1 只是说long/short strategy下，long position + short position 头寸可以等于100，比如答案中提到的，Gross exposure long–short portfolio = 50% (Long positions) + |–50%| (Short positions) =100%，只是说可以是对的。如果说只能等于100，那肯定就错了。

wsmn · 2019年03月10日

谢谢

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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

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2020-10-02 14:57 1 · 回答

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2019-03-22 23:42 1 · 回答

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2019-02-25 18:25 1 · 回答