I found the above question in Grinold and Khan "Active Portfolio Management", p39 Chapter 2 Q3 of the Exercises. I presume the MMI portfolio is the Major Markets Index portfolio, but I'm struggling to work out what is meant by "characteristic", let alone answer the question.
Is it referring to the attribute which that portfolio expresses most effectively (they defined a relationship between attributes and characteristic portfolios at the beginning of the Technical Appendix to chapter 2)? Or is it something else?
Any help on clarifying the above and answering the question is appreciated!