How many of the following statements regarding active systematic returns are NOT correct?
Active returns are defined as the difference between the manager’s portfolio returns and the benchmark returns.
Expected active beta return is the return that results from the product of average active beta and the long-run expected benchmark excess return, where excess return is defined as the realized return minus the risk-free rate.
Active beta surprise is the product of active beta and the deviation of the benchmark returns from its long-term expected return.
Active benchmark timing return is a product of the deviation from the average beta and the deviation from the benchmark return.
A. Four of these. B. Two of these. C. One of these. D. None of these.
