Q-21.7.2. Four FRM candidates participate in a study group. They are learning about the different types of hedge funds. Each of the learners (Albert, Blake, Connie, and Denise) makes two statements, as follows:

• Albert refers to the Fundamental Law of Active Management, which holds that the information ratio equals the information coefficient multiplied by the square root of breadth, IR = IC × sqrt(breadth), and says that a Long-Short manager has greater maximum breadth (i.e., number of possible investment decisions per period) than a long-only manager. His second claim is that Dedicated Short managers tend to underperform during bull markets.
• Blake says that many distressed debt managers are experts in the bankruptcy process. Her second claim is that Fixed Income Arbitrage managers typically employ leverage.
• Connie says that Merger Arbitrage (aka, Risk Arb) managers specialize in trading on material, non-public information. Her second claim is that Global Macro managers tend to rely on anthropological analysis because they invest in emerging market sovereign debt.
• Denise says that a Managed Futures manager might employ a cost of carry (COC) model to compute theoretical commodity prices. Her second claim is that an appeal of several of the common hedge fund strategies is that they have low correlations with the overall market (and if they also have low volatilities, then they also have low betas).

Three of the candidates have made a correct statement, but one candidate's statement is incorrect. Who is the person whose assertions are INCORRECT?