If the factor exposure is fully neutralized, the Active Share will NOT be entirely attributed to the active risk.
Only 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.
Plz explain. If factor exposures are neutralized, active share will be because of position sizing, which does contribute to active risk ?
Q Identification Tag : Lazare and Warrack make the following about Active Share and active risk in the context of a single-factor model:
Sir I have updated the question with the SS where I came across.
I understood why the statement was wrong in the candidate resources – active risk will be attributed to active share .
Thank you sir.