Consider the single factor APT. Portfolio A has a beta of .2 and an expected return of 13%. Portfolio B has a beta of .4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _________.

The answer is to short B and long A.

I am not asking for the solution, rather can you explain why I short the the lower returning portfolio and long the higher returning portfolio.