active share

问题如下：

When compared to a broad market benchmark, a portfolio that imposes a set of sector exclusions most likely produces:

选项：

A.high active share and low tracking error.

B.low active share and high tracking error.

C.high active share and high tracking error.

解释：

A. Incorrect because a portfolio that imposes a broad set of exclusions (particularly sector exclusions, which represent a significant weight of their benchmark), will likely produce high active share and tracking error. This magnitude of difference may lead the portfolio manager to adopt a more appropriate ESG benchmark rather than a broad market benchmark.B. Incorrect because a portfolio that imposes a broad set of exclusions (particularly sector exclusions, which represent a significant weight of their benchmark), will likely produce high active share and tracking error. This magnitude of difference may lead the portfolio manager to adopt a more appropriate ESG benchmark rather than a broad market benchmark.

C. Correct because the degree of exclusions may carry significant implications from a portfolio management perspective, not just in terms of higher tracking error and active share, but also unintended factor exposure. Tracking error and active share are measures that represent the degree to which a portfolio deviates from its benchmark. A portfolio that imposes a broad set of exclusions (particularly sector exclusions, which represent a significant weight of their benchmark), will likely produce high active share and tracking error. This magnitude of difference may lead the portfolio manager to adopt a more appropriate ESG benchmark rather than a broad market benchmark.