问题:statement “If we reduce the tracking error of the manager with the highest active risk, this is very likely to reduce the plan-wide active risk of the overall portfolio.”
Determine whether each of the three statements by Hammer is correct or incorrect
Answer: Incorrect.The individual manager’s risk can be offset by other individual managers’ portfolio risk. Forcing an individual manager to minimize tracking error or mimic the benchmark could in fact raise plan-wide active risk.
老师, 这道题我完全不理解, 您能解释一下吗?