A rather simple question.

You have a portfolio of USD100 in cash. You now take USD10 and buy a derivative that gives you exposure of USD200 to something.

What is the weighting of cash in the portfolio now: USD90/USD100 or USD90/USD290?

(You want the weight that you would multiply the asset's return by if you were calculating the portfolio's return.)


1 Answer 1


You need to calculate your weights using your total exposure, no matter which product you are using. In this case, as you said will be 90/290.


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