2. Assuming active returns are normally distributed, calculate the expected returns about the benchmark at various at the 67%, 95%, and 99% confidence levels assuming the following data: Expected active return (%) 2% Tracking error (%) 3% Benchmark expected return 8% 3. Suppose that a manager whose benchmark is the S&P 500 pursues an enhanced indexing strategy allocating 10% of the portfolio to be actively managed and 90% indexed. Assume further that the tracking CVUITT VALUATION AND PURTFULIU MANAGEMENT error of the actively managed portion is 12% with respect to the S&P 500. What is the portfolio's tracking error? 2. Assuming active returns are normally distributed, calculate the expected returns about the benchmark at various at the 67%, 95%, and 99% confidence levels assuming the following data: Expected active return (%) 2% Tracking error (%) 3% Benchmark expected return 8% 3. Suppose that a manager whose benchmark is the S&P 500 pursues an enhanced indexing strategy allocating 10% of the portfolio to be actively managed and 90% indexed. Assume further that the tracking CVUITT VALUATION AND PURTFULIU MANAGEMENT error of the actively managed portion is 12% with respect to the S&P 500. What is the portfolio's tracking error