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小省 · 2022年04月04日

为什么Long-only 有greater investment capacity？capacity具体指什么？

  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。

看到有些回答说因为市场限制做空，所以long-only要比long-short 有 greater investment capacity。但是，如果有做空限制，long-short 就可以以long为主，capacity和long-only一样咯？为什么说就是long-only要更大呢？ 不太理解

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1 个答案

笛子_品职助教 · 2022年04月04日

嗨，努力学习的PZer你好：


但是，如果有做空限制，long-short 就可以以long为主，capacity和long-only一样咯？为什么说就是long-only要更大呢？ 不太理解


Long -short是一种策略，这种策略必须做空，也许在短期不做空，纯做多，但是大部分运行的时间，是必须有空头的，而且一般来说，空头必须维持在一定的比例，例如130/30策略，就是130%做多，30%做空。


所以说，短期确实存在long -short不做空，成为long only的情形。但是长期来看，是不存在long -short不做空，成为long only的情形的。


capacity是投资容量的意思。


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