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：
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.
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.
中文解析：
本题考查的是大家对于Active Share and
Active Risk的理解。
需要特别注意的是选项的顺序和题干小点的顺序不一致。三个描述中的第三个小点（即选项B）的说法有误，正确的说法应该是If
the factor exposure is fully neutralized, the active risk will be entirely
attributed to the active Share. 它错在active Share和active Risk写反了。这句话描述的是因子的full neutralized，即组合在承担因子这个层面已经是充分分散化了（风险因子的attribution和benchmark几乎一样），但此时还有active
Risk说明组合的return依然和benchmark不一样，那就只有一种可能，就是基金经理买的股票 和benchmark不同但行业选的和benchmark是类似的即那这种情况下产生AR只可能源于active
share。打个比方，组合和benchmark都看好房地产，但组合投金地，而benchmark投万科。
The level of active risk will rise with an
increase in factor and idiosyncratic volatility。当组合的因子更加集中（非系统性风险上升），组合与benchmark更不像，active
risk也就跟着上升。这个描述是正确的。
The active risk attributed to Active Share
will be smaller in more diversified portfolios. 如果组合的分散化非常好，说明它包含股票数量很多，非系统性风险很小。此时组合和benchmark
应该很像，如果仍存在差别（只要有差别就有active
risk）, 而组合已经包含了大量的股票，那么由于AS带来的active
risk就非常小了。这个描述也是正确的。
为什么portfolio越是 diversified，active share越小？AR不是衡量portfolio和BM之间像不像吗？如果BM非常concentrated呢？看到老师有回复默认BM分散化效果好，为什么会这么默认呢？