Gross exposure

Gross exposure adds longs and shorts without letting them offset. A fund with 1,200 of longs and 200 of shorts has a net asset value of 1,000 and gross exposure of 1,400, or 140%. It shows how much market exposure the capital supports, whatever the direction.

For alternative investment funds, the gross method is a regulatory measure of leverage. Article 7 of Regulation (EU) 231/2013 sums the absolute values of all positions and converts derivatives into equivalent positions in the underlying. It excludes qualifying cash and cash equivalents, and the result is divided by net asset value.

Acclimetry has two templates. The gross exposure limit is the long-only form; the gross and net exposure limits template measures gross, net or short exposure on signed positions. Example: 1,400 of gross exposure against a 1,000 net asset value is 140%, a breach of a 120% cap.