question on "Margin to equity ratio"

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PTCM
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question on "Margin to equity ratio"

Post by PTCM » 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...

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