NO.PZ202207040100000803
问题如下：
In Lazare and Warrack’s comments about Active Share and active risk, the comment that is least accurate is the one concerning:选项：
A.portfolio diversification.
B.neutralizing factor exposure.
C.increasing idiosyncratic volatility.
解释：
SolutionB is correct. The comment concerning neutralizing factor exposure is incorrect: In a single-factor model, if the factor exposure is neutralized, the active risk will be entirely attributable to the Active Share—a consequence of the manager deviating from benchmark weights. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk. Active risk does rise with an increase in factor and idiosyncratic volatility.
A is incorrect. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk.
C is incorrect. Active risk does rise with an increase in factor and idiosyncratic volatility.
Solution
B is correct. The comment concerning neutralizing factor exposure is incorrect: In a single-factor model, if the factor exposure is neutralized, the active risk will be entirely attributable to the Active Share—a consequence of the manager deviating from benchmark weights. The active risk attributed to Active Share will be smaller for more diversified portfolios with lower idiosyncratic risk. Active risk does rise with an increase in factor and idiosyncratic volatility.
太奇怪，B的说法跟原文就是一样的，为啥就不对呢。意思不就是说如果因子的风险暴露是中性的，然后active risk 全部来自Active share?
