Question: Assume the following: benchmark index = Salomon Smith Barney BIG Bond Index expected return for benchmark index = 7% forward-looking tracking error relative to Lehman

Assume the following:
benchmark index = Salomon Smith Barney BIG Bond Index
expected return for benchmark index = 7%
forward-looking tracking error relative to Lehman Aggregate Bond Index = 200 basis points
Assuming that returns are normally distributed, complete the following table:

Number of Standard Range for Portfolio Corresponding Range Deviations Active Retufor Portfolio Retum Probability

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