Question: A portfolio manager has maintained an actively managed portfolio with a beta of 0.2. During the last year, the risk-free rate was 3% and equities

A portfolio manager has maintained an actively managed portfolio with a beta of 0.2. During the last year, the risk-free rate was 3% and equities performed very poorly providing a return of -30%. The portfolio manager produced a return of -5% and claims that in the circumstances it was a good performance. Discuss this claim.

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