NO.PZ2023010903000067
问题如下：
After explaining his investment philosophy and portfolio construction process, Swanson is asked about the Legends Fund's active share. Swanson explains that the active share of the fund is typically very high and is currently at 90%. One of the reasons the active share is high is due to Swanson's large relative bets on different sectors. Twelve of the fund's thirty-five holdings are in the technology sector, whereas not a single financial sector name is held in the portfolio.
Swanson also notes that Legends's active risk is also quite high, and comments that not much can be done to lower it, as active risk is based on the correlations and variances of different securities.
Identify two changes Swanson could make to lower active risk. Support each of your proposed changes.
解释：
Answer:
Two changes Swanson could make to lower active risk are:1) reduce the level of security concentration in the portfolio, and 2) increase the sector diversification of the portfolio. This could be achieved for the Legends Fund by adding more stocks to the portfolio and adding exposure to relatively underweighted sectors(such as financials).
Reducing the level of security concentration would decrease the active share of the portfolio and lower the level of active risk.
Increasing the sector diversification of the portfolio would increase the degree of cross- correlation of the portfolio and lower the level of active risk.
如题，为什么increase diversification是increase cross-correlation不是decrease呢？能举个例子解释一下吗？谢谢
