ohai

maybe reading the first paragraph on pg 147, vol 6 will help?

It basically says, if you(a long only manager) are not holding a high proporotion of securities in your benchmark (creating negative active weight), then that benchmark is not right for you...so i guess by holding +ve active weights, the benchmark is good for you because you have opinion on the security.

On a slightly unrelated note - I recall reading somewhere there is a tradeoff between having high Coverage and investing liquidity (or something like that) where if you want high coverage, you may have to buy/sell illiquid securities at a higher cost. I can't remember the exact concept though, anyone know what I'm talking about?