Gross exposure

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？

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

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？

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？

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。