NO.PZ202403050400000206
问题如下：
In response to Yusuf, based on the information in Exhibit 2, the portfolio with the highest active factor risk exposure to the style factor is:
选项：
A.Portfolio X.
B.Portfolio Y.
C.Portfolio Z.
解释：
A is incorrect. Portfolio X active style risk squared ÷ Active risk squared = 28 ÷ 64 = 43.75%.
B is incorrect. Portfolio Y active style risk squared ÷ Active risk squared = 14.4 ÷ 36 = 40%.
C is correct. Portfolio Z has the highest active factor risk exposures to the style factor. Portfolio Z active style risk squared ÷ Active risk squared = 10 ÷ 16 = 62.5%. Portfolio X active style risk squared ÷ Active risk squared = 28 ÷ 64 = 43.75%. Portfolio Y active style risk squared ÷ Active risk squared = 14.4 ÷ 36 = 40%.
这是什么意思啊？为什么是用active specific除以active risk suquared？这跟Information Ratio有什么关系吗？
