# Tag Info

## Hot answers tagged longshort

### What does "Gamma profit/loss" mean?

Think of this in terms of Taylor series. Let's say the option price today is $C\left(S,t\right)$ where S is the underlying price and t time. Let's say the underlying price changes by $\Delta S$ in a ...

### Portfolio VaR of a hedge portfolio (long index, short future): What total exposure to take to calculate VaR?

Firstly, your portfolio volatility of 0.74% is the variance, as the vol will be 8.6% relative your equity position. This is the Case 2 below. I will try to give you a derivation that you hopefully can ...
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### In FX trading, is the risk for long positions higher than for short positions, or vice versa?

I you take a long position in a stock the worst that can happen is the stock goes to zero, and you lose your investment. If you take a short position in a stock, you have the potential for unlimited ...
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### Gamma squeeze - mathematical explanation

Your questions on gamma squeeze are nicely answered here and/or here. Pnl of options book We will assume that the risk-free rate $r$ is zero. Assume that you hold a book $V(t,S)$ consisting of options ...
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### EuroStoxx50: long index and short futures

Small details accumulated over 10 years will explain the discrepancy. You need to simulate the actual strategy i.e. include cost of funding the long index leg, cost of margining the futures leg, ...
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### If by selling short assets, you get extra capital for your longs, can you actually be dollar neutral?

You should have bought your (long) stocks with the proceeds of the ETF sell.
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### In FX trading, is the risk for long positions higher than for short positions, or vice versa?

[Your] analysis is correct. The long trade is worth 100 - 100/FX, and the short trade is worth 100/FX -100, where FX=ending EURUSD exchange rate. The first expression has unlimited downside as FX -> 0,...
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### Compute allocation given long-short portfolio weights

The long short portfolio you created is highly leveraged. That means it requires investing much more than the amount of capital you have, the additional capital would have to be borrowed. In your ...
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### How to combine different strategies in a backtest (and IRL)

There are quite a few different possible approaches to assigning weights for different strategies in a portfolio. Probably the first most important differentiating question is, do you have equal ...
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### Return Attribution for Long/Short Fund

You may want to use a technique I learned on this forum from Enrico Schumann, who referenced the book by Bruce Feibel (specifically the Chapter 2 on Portfolio Contribution). See this answer https://...
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### 2 methods for estimating factor return - differences between those 2 methods

You are confusing two different things. Let's say you have a factor that you identified, call it: $\lambda_t$. There are also other factors out there that are widely know. Let me call them: $F_t$ (...
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