Hi All, quick question on the 2020 curriculum p258. Exhibit 6.
This has been asked by many people but I cannot find an answer.
Active share = how your portfolio weight deviate from benchmark
Active risk (tracking error) = how your portfolio volatility (s.d.) different from benchmark
all good here. but in exhibit 6 it says diversified stock pickers will have higher active share than sector rotator. how? In my view, diversified picker would be picking sub-set of the benchmark while sector rotator can rotate to a sector that is concentrated and outside benchmark. Thanks.