我只知道active share并未考虑各投资之间的相关性,教材上有以下几个结论我不太理解:
1、active risk attributed to active share will be smaller if the number of securities is large
2、if the factor exposure is fully neutralized,active risk will be entirely attributed to active share
从结论看似乎active riks 和factor有很强相关性,active share 则没有,为什么?选股与benchmark不同的话,factor和benchmark也很可能不同,那么active share应该也和factor相关吧?如何理解?