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陳泰傑 · 2021年10月16日

對詞彙有點疑問

  1. CFA III
  2. Equity

NO.PZ2019012201000039

问题如下：

Matt makes the following statements about investing with long-only managers:

Statement 1 A long-only portfolio puts a firm floor on how much an investor can win.

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 Matt’s statements regarding investing with long-only managers is correct?

选项：

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释：

B is correct.

考点：Long/Short, Long Extension, And Market-neutral

解析：表述1错在投资者不是为收益设定底线，而是为损失设定了底线。因为股票价格可以跌到的最低水平为零，而上涨空间是无限的，因此，只做多的投资者最大可能损失的金额就等于股票的初始投资。

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.


investment capacity 這是什麼意思 如何解釋

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笛子_品职助教 · 2021年10月17日

嗨，从没放弃的小努力你好：


investment capacity 投资容量，指的是基金所运用的策略，可以管理多大资金。


statement1：

多空策略允许Gross exposure =100%，是正确的。

Gross exposure = 多头头寸 + 空头头寸。多空基金的Gross exposure可以大于100%，但是两个头寸加起来等于100%也是可以的。

 

statement2：

纯多头策略可以管理更大的市场规模，特别是做多大盘股的时候。正确。由于存在卖空限制，纯多头策略，比需要卖空的策略，拥有更大的市场容量。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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