在active risk and active share的哪个章节,讲义里有一张图,横坐标是acitve risk,纵坐标是active share
请问 factor neutral and diversified stock picks 比 closet indexing的active share高是怎么解释呢?
按照前页ppt的说法,if the factor exposure is fully neutralized, the active risk will be entirely attributed to active share。老师说factor投的分散,那么相关系数带来的active risk就没有了,那么active risk 主要来自于 active share带来的权重的不同,所以就是选股有区别,所以active share会高于closet indexing?