active risk

Which of the following assumptions is typically used to calculate the portfolio active risk from a group of equity managers? The correlation between equity managers’ active returns are: A) positive, ranging from 0.3 to 0.8. B) zero. C) a function of the amount allocated to each manager. Totally not at my game today… not good.

B zero. it assumes uncorrelated returns.


B is corret, guys. Good job.