How can a manager have high Active Share but low active risk? what should be the key takeaway or insight form this?
If a portfolio management is replicating a benchmark using the optimization approach, they would have high active share but low active risk.
This could be like if a benchmark has a lot of constituents that are correlated with each other or share a lot of similar characteristics, removing those securities from your portfolio would increase active share (because you are deviating from the benchmark on an absolute basis), but you are not necessarily changing the risk profile of the portfolio too much.
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