As part of his evaluation of the applicants, Warrack compiles a record of the Active Share and active risk of the funds that they manage. He observes that the Mattley Fund has relatively high Active Share but relatively low active risk.
The Mattley Fund manager is most likely following which investment style?
A.Sector rotation
B.Closet indexing
C.Diversified stock picking
Solution
A Incorrect. A sector rotator typically has high active risk and could have either high or low Active Share, depending on whether a concentrated or diversified portfolio approach was followed.
B Incorrect. A closet index would exhibit both low Active Share and low active risk, because such funds make few active bets.
C Correct. The Mattley Fund exhibited relatively high Active Share but relatively low active risk. High Active Share indicates that a manager’s holdings differ substantially from the benchmark, and low active risk indicates low idiosyncratic risk resulting from diversification: This combination indicates that the manager most likely follows a diversified stock picking strategy. A sector rotator typically has high active risk and could have either high or low Active Share, depending on whether a concentrated or diversified portfolio approach was followed. A closet index would exhibit both low Active Share and low active risk, because such funds make few active bets.
我之前做过另一道题，也是不同类型做选择
当时我把解析中的回答当作结论去记忆了，比方说“Fund X has risk targets consistent with an emphasis on stock picking–namely, high active risk, high exposure to risk from a single security, and low sector deviations"，也就是说我以为stock picking和high active risk是对应的，这也挺好理解的，就是通过尽量降低和benchmark持股相关性，按照李老师说的使得组合和benchmark更不像从而赚取超额收益，即stock picking的逻辑。
所以这题我看到说虽然是high active share 但是low active risk，就是看起来持股权重差异大，但是和benchmark考虑相关性后差异没那么大（low active risk），我就选择了closet indexing结果错了，这就很困惑了。
对于参考答案中closet indexing的解析我也能理解：“A closet index would exhibit both low Active Share and low active risk。“如果题目是两个都低我肯定更坚定选择这个了，但是这里low active risk还是stock picking这我怎么理解，以及和上面提及的另外一道题结合去记忆呢？
即是否是stock picking，其实不能仅通过active risk去判断？上面那道题更多是high single securitity contribution + high active risk 确定的？按照这个题的结论，stock picking选了半天股票，持股权重做的和benchmark很不一样了，结果相关系数巨高导致active risk很低，这算哪门子stock picking啊？是不是题目出的不好，最后硬选的这个，因为closet index必须两个都低才能选择。
麻烦帮忙解答一下，谢谢。
