22. A is correct. Kramer correctly explains the components of active risk. A portfolio's active
risk squared can be decomposed into two components: (1) “active factor risk is the
contribution to active risk squared resulting from the portfolio's different-from-benchmark
exposures relative to factors specified in the risk model” (or systematic risk), and (2) active
specific risk (or asset selection risk) is the contribution to active risk squared measured by the
portfolio's active weights of individual assets and the assets' residual risk (also referred to as
idiosyncratic risk). Section 5.2. LO.e.
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