开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

过程 · 2021年02月21日

gross exposure =100%的构成举例

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.

请问gross exposure =100%的构成,比如long70%,short30%,意思是做空数额占asset的30%,但是除了做多的asset的(即70%的资产),剩下的30%asset是作为现金在手上没有投资么(也就是说还有30%的asset可以去做多)?

1 个答案
已采纳答案

maggie_品职助教 · 2021年02月22日

嗨,努力学习的PZer你好:


1.你前面的理解是正确的,只有最后一个括号里的内容理解不正确。

2.沿用你的例子long70%,short30%来解释,比如你手上有100元,你看好一只股票A未来股价会长,但你又不想满仓入,只拿了70元建仓购入即long 70%。同时,你又看空B股票,认为它未来有下跌的可能,因此你又卖空了30元的B股票,即short30%。由此可见,不管是买入还是卖空的%都是占你自有资金100元的比例。

3.你在long70%,short30%后,手里还剩60元:原自由资金30元,加上你卖空得到的30元。

4.因此如果你还想继续long, 你还有60%的资产而非30%。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 2

    关注
  • 660

    浏览
相关问题

NO.PZ2019012201000075 问题如下 Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-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 thother approaches, particularly when using strategies thfocus on large-cstocks. Whiof Garcia’s statements regarng investing with long–short anlongonly managers is correct? A.Only Statement 1 B.Only Statement 2 C.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. 老师,上课讲的gross exposure 根据130-30,应该是160%啊。 net exposure才是100%。为什么第一个论述是对的呢?

2024-08-17 14:40 1 · 回答

NO.PZ2019012201000075问题如下Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-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 thother approaches, particularly when using strategies thfocus on large-cstocks. Whiof Garcia’s statements regarng investing with long–short anlongonly managers is correct? A.Only Statement 1 B.Only Statement 2 C.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. 本题问的是capacity。CAPACITY指策略的市场容量。也就是这个策略,最大可以管理多少资金。这里我们首先需要知道多头管理的资金,大于空头所能管理的资金。例如,一个Long only 策略,可以管理1000亿资金,一个short only策略,可能管理资金最多只能有100亿。这是因为做空存在的限制,要比做多,多很多。那比如我做空10%去做多,不就能110%吗?谢谢

2024-06-30 12:50 1 · 回答

NO.PZ2019012201000075 问题如下 Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-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 thother approaches, particularly when using strategies thfocus on large-cstocks. Whiof Garcia’s statements regarng investing with long–short anlongonly managers is correct? A.Only Statement 1 B.Only Statement 2 C.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. 接这个题想问一下主动投资的思路。主动投资的strategy里面有factor-basestrategy里面有heing portfolio 和factor tilting portfolio。而且再portfoilio construction note上讲到了long/short 和long only 的两种方法,我想问一下,他们的直接内在联系是什么?

2024-06-28 14:46 1 · 回答

NO.PZ2019012201000075问题如下Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-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 thother approaches, particularly when using strategies thfocus on large-cstocks. Whiof Garcia’s statements regarng investing with long–short anlongonly managers is correct? A.Only Statement 1 B.Only Statement 2 C.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. 如题,没看明白是什么意思,为什么long only strategy又更大的investment capacity?

2024-06-28 10:03 1 · 回答

NO.PZ2019012201000075问题如下 Chen anGarcia next scuss characteristiof long–short anlong-only investing. Garcia makes the following statements about investing with long–short anlong-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 thother approaches, particularly when using strategies thfocus on large-cstocks. Whiof Garcia’s statements regarng investing with long–short anlongonly managers is correct? A.Only Statement 1 B.Only Statement 2 C.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. 我对这块一直很迷糊,long extension是特殊的long short吗?一般就是130/30?130/30是融券了30,又把这30去做多吧?那这样话总的持仓究竟是算多少?capacity是持仓吗?gross exposure是160,net是100吧?考试的时候是不是所有策略的net exposure都是100呢?因为都是全仓投资?如果是50/50是不是相对于没用本金,纯靠融券的钱?80/20等这些比例都存在吗?这里还需要掌握什么点呢,我感觉我没有理解透。谢谢老师解答。

2024-05-30 08:35 1 · 回答