9. The active risk decomposition of two portfolios, A and B is given below:
Portfolio Active Factor Active Specific
Industry Style factor
A 15 10 17
B 5 8 2
Note: Entries are in % squared
Which of the following statements is most likely true?
A. Style factor contributed more to Portfolio B’s active risk than Portfolio A.
B. Portfolio B’s active risk is higher than that of portfolio A.
C. The low active specific risk of portfolio B suggests a passively managed portfolio.
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