I have calculated the currency exposures of a long short portfolio simply by summing the weights of each stock.

However I was told that I need to incorporate the dollar borrowing (short dollars), I don't really follow.

Can we assume from this line the portfolio has a negative USD cash balance used to fund the shorts?

  • $\begingroup$ I think they're talking about the interest rate. You pay interest on margin accounts, which are required for short selling. $\endgroup$ – user59 Apr 28 '16 at 17:37
  • $\begingroup$ Ok that would make sense. I was thinking that you have the long portfolio & then the short portfolio. Say the long portfolio is 100% invested and the short is 92% you then have net position of 8%. Is this 8% the cash used to fund the short position? And if this was in USD would you subtract this 8% of USD exposure you get by summing the weights of all USD stocks in the portfolio? $\endgroup$ – user8170 Apr 29 '16 at 8:56

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