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I have 5 portfolios (A, B, C, D, E). The Residual STD for each, respectively, are 0.158, 0.315, 0.045, 0.053, 0.01. Each portfolio has 100

I have 5 portfolios (A, B, C, D, E). The Residual STD for each, respectively, are 0.158, 0.315, 0.045, 0.053, 0.01. Each portfolio has 100 stocks with no stock overlap across the poprtfolios.

Through econometric theory, the xpected value fo the residuals is zero. However, the standard deviation of those residuals can't be zero. WHY?

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