A portfolio manager has maintained an actively managed portfolio with a beta of 0.1. During the last year, the risk-free rate was 2.5% and major equity indices performed very badly, providing returns of about 35%. The portfolio manager produced a return of 12% and claims that in the circumstances it was good. A) What is the expected return on a portfolio with a beta of 0.1? (Show your calculation) B) Discuss this claim, was it a good return, why or why not?