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Gwen博 · 2021年09月12日

gross 和 net

  1. CFA III
  2. Equity

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.

老师上课举的例子是gross=130%，net=100%，和答案刚好相反，为什么？

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3 个答案

伯恩_品职助教 · 2022年03月03日

嗨，爱思考的PZer你好：


我也是像老师您说的这么理解的，那statement1的表述就是错误的，因为net exposure才是100%，这道题就应该选B了 我和楼上的思考方式完全一样，应该改成net之后A才对。——如果我上一个回答，无论是net还是gross都可以是100%

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加油吧，让我们一起遇见更好的自己！

伯恩_品职助教 · 2021年09月13日

嗨，爱思考的PZer你好：


哦，你说这个啊，首先呢130/30这个是L/S的一个特殊策略，只要有long和short就是L/S，解析里有特殊的情况，比如

Gross exposure long-only portfolio = 100% (Long positions) + 0% (Short positions) = 100% ①

Gross exposure long–short portfolio = 50% (Long positions) + |–50%| (Short positions) = 100% ②

然后呢我设定的100%持仓的，也可能是50%持仓，50%持有的是现金，然后再做空50%，就是式子②

式子①呢，我说要short，但是short的是0，相当于是一种很特殊的情况，但是也是允许的

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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！

伯恩_品职助教 · 2021年09月13日

嗨，努力学习的PZer你好：


同学，我没太理解你具体疑问点在哪里。我把这个题和gross和net讲解一下吧

原先有100%的头寸，然后忘记它 ，先别管。你先理解有100万的股票头寸吧

现在我卖空30%（卖空不是卖掉，细品一下这两个词），就是30万的股票（这个卖空是通过借股票卖出，借，注意是借，那就是空手套白狼，没有起始资金，然后卖空这部分是有头寸的，-30%，也就是股票跌了，这卖空的部分是赚的。），卖出后呢，是不是一手交钱一手交货，卖出肯定会收获一笔现金对吧，手上就有30万的现金了，然后拿着30万现金再去买股票，又有了30%的正的头寸。如果按照gross的算，就是一共有多少敞口（你可以理解为绝对值的敞口）就是原有的100%+做多的30%+做空的30%（绝对值后就是正数了）=160%.如果是按照net的算（正负号要抵消的）原有的100%-做空的30%+做多的30%=100%

如果没有解答你的问题欢迎追问，就是具体说清楚你的具体疑问点在哪里，老师做针对的回答

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努力的时光都是限量版，加油！

Gwen博 · 2021年09月13日

我也是像老师您说的这么理解的，那statement1的表述就是错误的，因为net exposure才是100%，这道题就应该选B了

I Yuan · 2022年03月03日

我也是像老师您说的这么理解的，那statement1的表述就是错误的，因为net exposure才是100%，这道题就应该选B了 我和楼上的思考方式完全一样，应该改成net之后A才对。

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