问题如下:
A hedge fund is long $315 million in certain stocks and short $225 million in other stocks. The hedge fund’s equity is $185 million. The fund’s overall beta is 0.75. Calculate the gross and net leverage.
选项:
A. 2.91 and 0.48
B. 2.18 and 0.36
C. 2.91 and 0.36
D. 2.18 and 0.48
解释:
A is correct. The gross leverage is (315 + 225)/185 = 2.9. The net leverage is (315 — 225)/185 = 0.5. Note that beta is not needed for this calculation.
这个杠杆的计算在讲义上提到过么?似乎没有印象…