question on "Margin to equity ratio"
Posted: Tue May 29, 2007 11:21 am
I am in the process of creating a portfolio that includes a long only equties strategy(80%) + short only futures strategy (20%).
To calculate the margin to equity ratio for the portfolio, should the excess CASH held by the long only strategy be included in the calculation ? or only the cash set aside for the short only strategy should be used as denominator ?
Anyone ? many thanks...
To calculate the margin to equity ratio for the portfolio, should the excess CASH held by the long only strategy be included in the calculation ? or only the cash set aside for the short only strategy should be used as denominator ?
Anyone ? many thanks...