Question: A portfolio manager has maintained an actively managed portfolio with a beta of 0.4. During the last year, the risk free rate was 6% and

A portfolio manager has maintained an actively managed portfolio with a beta of 0.4. During the last year, the risk free rate was 6% and major equity indices performed very badly, providing returns of about -30%. The portfolio manager produced a return of -8% and claims that in the circumstances it was good. Discuss this claim.

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