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.
如果gross是100%， 那么就是借了50%， 用借的去买了50%， 没有自己投钱对吧？ 选项A说的是''allows''不代表就要这样做吧。 我觉得之前同学们的误解在于，老师上课讲的栗子，是用借的去投资（借30“，投30“）， 如果算上自己的钱100%， 肯定加起来大于100%， 就是 160% 但是A选项说的是allow, 不代表上面这个栗子。 而是说long/ short也允许100%， 就是我说的那个情况， 自己不出钱， 只是单纯借然后投， 50% +50% 等于100%
