Module 12Marks & PnLLesson 3 of 716 min
Gross vs Net Exposure
Risk views beyond MV.
Net
Σ q_i m_i (signed)
Gross
Σ |q_i m_i|
Long/Short
Sum of positive MV legs vs absolute short MV.
Challenge
Compute long/short ratio long/short.
Tips
- Gross drives leverage limits
- Net can be small with large gross
- Risk systems track both
Try it live
Gross vs Net ExposureRust 2021
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Output
Press Run to compile and execute.