16. A is correct. Wiley correctly states the active factor risk and active specific risk. “Active
factor risk measures the factor exposures of the portfolio relative to its benchmark. Active
specific risk is the contribution to active risk squared due to each asset’s active weight (actual
weight in the portfolio minus weight in the benchmark) times its residual risk (the variance of
the asset’s returns left unexplained by the factors)—that is, it measures the residual risk taken
on by the portfolio.” Section 5.2. LO.e.
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