关于“active risk and active risk”,基础班讲义有两句话,请老师帮助辨析
1.if the factor exposure is fully neutralized,the active risk will be entirely attributed to active share.
2.the active risk attributed to active share will be smaller if the number of the securities is large and/or average idiosyncratic risk is small.
第一句话的意思是如果portfolio 是充分分散化的,那么与benchmark越像,相关系数越高,如果还有active risk,那是由于active share 造成的
第二句不也是充分分散化的情形吗,怎么active risk attributed to active shere又小了呢?