Question: Problem 3. A portfolio manager has maintained an actively managed portfolio with a beta of 0.4. During the last year the risk-free rate was 4%

Problem 3. A portfolio manager has maintained an actively managed portfolio

Problem 3. A portfolio manager has maintained an actively managed portfolio with a beta of 0.4. During the last year the risk-free rate was 4% and equities performed very badly providing a return of -20%. The portfolio manager produced a return of -10% and claims that in the circumstances it was good. Discuss this claim

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