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 5% and equities

A portfolio manager has maintained an actively managed portfolio with a

A portfolio manager has maintained an actively managed portfolio with a beta of 0.2. During the last year, the risk-free rate was 5% and equities performed very badly 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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