We know that Breadth is a measure of independent forecast. If active return of 4 securities are uncorrelated (Correlation=0) to with each other and forecasts are independent from year to year, then their Breadth will be 4. WHAT IF active return of 4 securities are correlated to with each other or forecasts are NOT independent?
I have found this helpful but it is not conceptually clear to me yet . http://www.cfapubs.org/doi/full/10.2469/dig.v34.n4.1579
Can any 1 please elaborate the fact.