The expected portfolio active raeturn is the weighted of managers’ active returns. For portfolio active risk, must we always assume the correlation between the managers’ active returns are zero?
I would thnk so, unless given corrleation data. I doubt we will have to calculate that though.
I second that. Till now all the problems I have come across on this topic assume zero correlation for managers’ active returns.
Thanks to both. Hopefully past trend continues and no surprises this round.