2018 (May)
COMMERCE (Speciality)
Course: 404 (Security Analysis and Portfolio Management)
The figures in the margin indicate full marks for the questions
(NEW COURSE)
Full Marks: 80
Pass Marks: 24
Time: 3 hours
Time: 3 hours
1.
What do you mean by the following (answer in 1 sentence)? 1x8=8
a) Time
value of money.
b) Beta.
c) One
advantage of Sharpe performance model.
d) Risk.
e) Expenditure.
f) Security
market line.
g) Portfolio.
h) Diversification.
2.
Write short notes on the following (any four): 4x4=16
a) Unsystematic
risk.
b) Traditional
portfolio analysis.
c) Capital
market line.
d) Jensen’s
performance model.
e) Efficient
market hypothesis.
f) Valuation
of equity shares.
3.
What do you mean by fundamental analysis and technical analysis? Bring out
clearly the points of distinction between the two. 8+6=14
Or
Define the term ‘investment’. Discuss the different avenues
available to an investor for making investment. 4+10=14
4.
Discuss the need and significance of diversification in a portfolio
construction. 14
Or
Explain the Markowitz portfolio theory. What are the
assumptions of Markowitz portfolio theory? 6+8=14
Also Read:
***
5.
What are the basic assumptions of CAPM? Write down the difference between CAPM
and APT model. 6+8=14
Or
GAIL
Investment Company manages a portfolio consisting of 6 stock with the following
information:
|
Name of the scrip
|
Market value
(Rs.)
|
Beta
|
|
Essar Steels Ltd.
TATA Steels Ltd.
SAIL Ltd.
Andhra Steels Ltd.
Mittal Steels Ltd.
Varun Steels Ltd.
|
4,00,000
3,00,000
3,00,000
1,00,000
2,00,000
2,00,000
|
1.20
1.24
0.90
0.60
0.75
0.80
|
The
risk-free rate of interest is 6 percent and the market return is 13 percent. Estimate
the portfolio expected return and portfolio beta. 8+6=14
6.
Explain the different methods of measurement of portfolio performance. 14
Or
The
financial performance of the various mutual funds is provided below. The
risk-free rate of interest is 6%:
|
Name of the scheme
|
Return
On
Portfolio
|
Standard
Deviation
Of the
Portfolio
|
Beta
|
|
Birla Mutual Fund
TATA Mutual Fund
ICICI Mutual Fund
|
23.45
22.95
23.15
|
0.3
8.98
3.45
|
0.27
0.54
0.56
|
Rank the funds according to the Sharpe and Treynor
Performance Index. 7+7=14
(OLD COURSE)
Full Marks: 80
Pass Marks: 32
Time: 3 hours
1.
What do you mean by the following (answer in 1 sentence)? 1x8=8
a) Time
value of money.
b) Beta.
c) One
advantage of Sharpe performance model.
d) Risk.
e) Investment.
f) Fixed
securities.
g) Portfolio.
h) Concentration
of securities.
2.
Write short notes on the following (any four): 4x4=16
a) Unsystematic
risk.
b) Traditional
portfolio analysis.
c) Capital
asset.
d) CAP
model.
e) Efficient
market hypothesis.
f) Valuation
of equity shares.
3.
“Investment is nothing but risk taking.” Do you agree to the statement? Justify
your answer with examples. 12
Or
Discuss the various steps involved in the process of an
investment analysis. 12
4.
What is diversification? Discuss the methods of diversification of securities. 11
Or
What do you understand by portfolio management? Explain its
objectives. 4+7=11
5. What
do you mean by capital market line and security market line? Distinguish
between capital market line and security market line. 6+5=11
Or
Explain the Capital Asset Pricing Model (CAPM). Describe some
limitations of CAPM. 5+6=11
6.
Discuss Jensen’s performance index model in detail. State the limitations of
Jensen’s model. 7+4=11
Or
Consider
the following information on three mutual funds P, Q and R and the market
index:
|
|
Mean return
|
SD
|
Beta
|
|
P
Q
R
Market Index
|
15%
17%
19%
16%
|
20%
24%
27%
20%
|
0.90
1.10
1.20
1.00
|
The Mean risk-free rate is 10%. Calculate the Treynor’s measure, Sharpe
measure and Jensen measure for the three mutual funds. 11
7.
What is future? What are its characteristics? Explain. 4+7=11
Or
What
is option? Explain the different types of options. 4+7=11
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