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我叫仙人涨 · 2022年03月12日

不是long/ short的capacity更大么

  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。

做多加上做空（long/ short) 可以搞到160%， 然而纯做多只能投100%，请问 long/ short不是更大的capacity么？

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1 个答案

伯恩_品职助教 · 2022年03月12日

嗨，从没放弃的小努力你好：



因为short position的限制会更多（很多股票不允许卖空），相比只做多，long-short碰到不能做空的交易的概率会更大。如果都不能做空，都不能试试L/S，哪来的capacity。因此，long only的investment capacity更大。

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