Essay [12 points; each part is worth 4 points] You are an in…
Essay You are an investment-consulting analyst responsible for advising a search committee that is hiring one or two external U.S. large-cap equity managers for a $5 billion pension fund. The committee’s stated objective is to keep total active risk within 1.5% predicted tracking error while preserving a market-like return profile. During the short-list discussion, one committee member insists that selecting the lowest-beta candidate (β ≈ 0.80) “automatically keeps active risk in check.” Several other candidates have betas much closer to 1.00 but exhibit lower predicted tracking error. As the consulting analyst, you must prepare a concise position paper for the committee that clarifies why beta alone is an incomplete proxy for active risk. Question Write a position paper that addresses the following: What is meant by active return and active risk? What is the difference between Beta and Tracking Error Explain why a portfolio can have a low beta yet still exhibit substantial active risk.