Download GTU (Gujarat Technological University) MBA (Master of Business Administration) 2019 Summer 3rd Sem 2830203 Security Analysis And Portfolio Management Previous Question Paper
Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2019
Subject Code: 2830203 Date:10/05/2019
Subject Name: Security Analysis And Portfolio Management
Time: 02:30 PM To 05:30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q.1
(a)
Answer the following multiple questions. 6
1. The net asset value of a mutual fund investing in stock rises with
A. higher stock prices B. lower equity values
C. an increased number of
shares
D. increased liabilities
2. While bond prices fluctuate
A. yields are constant B. coupons are constant
C. the spread between
yields is constant
D short-term bond prices fluctuate
even more
3. If a portfolio manager consistently obtains a high Sharpe measure, the
manager's forecasting ability __________.
A. is above average B. is average
C. is below average
D. does not exist.
4. Which of the following is on the horizontal axis of the Security Market
Line
A. Standard deviation B. Beta
C. Expected return D. Required return
5. As the debt ratio increases
A. fewer assets are debt-
financed, and the ratio of
debt-to-equity increases
B. fewer assets are debt-financed,
and the ratio of debt-to-equity
decreases
C. more assets are debt-
financed, and the ratio of
debt-to-equity increases
D. more assets are debt-financed, and
the ratio of debt-to-equity
decrease
6. What does the market price of a bond depend on?
A. The coupon rate and
terms of the indenture
B. The coupon rate and maturity date
C. The terms of the
indenture, and maturity
date
D. The coupon rate, terms of the
indenture, and maturity date
Q.1 (b) Short / Definition Questions
1. Margin Trading
2. Short sell
3. Beta
4. Stop loss order
04
Q.1 (c) Discuss T+2 Trading settlement system. 04
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2019
Subject Code: 2830203 Date:10/05/2019
Subject Name: Security Analysis And Portfolio Management
Time: 02:30 PM To 05:30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q.1
(a)
Answer the following multiple questions. 6
1. The net asset value of a mutual fund investing in stock rises with
A. higher stock prices B. lower equity values
C. an increased number of
shares
D. increased liabilities
2. While bond prices fluctuate
A. yields are constant B. coupons are constant
C. the spread between
yields is constant
D short-term bond prices fluctuate
even more
3. If a portfolio manager consistently obtains a high Sharpe measure, the
manager's forecasting ability __________.
A. is above average B. is average
C. is below average
D. does not exist.
4. Which of the following is on the horizontal axis of the Security Market
Line
A. Standard deviation B. Beta
C. Expected return D. Required return
5. As the debt ratio increases
A. fewer assets are debt-
financed, and the ratio of
debt-to-equity increases
B. fewer assets are debt-financed,
and the ratio of debt-to-equity
decreases
C. more assets are debt-
financed, and the ratio of
debt-to-equity increases
D. more assets are debt-financed, and
the ratio of debt-to-equity
decrease
6. What does the market price of a bond depend on?
A. The coupon rate and
terms of the indenture
B. The coupon rate and maturity date
C. The terms of the
indenture, and maturity
date
D. The coupon rate, terms of the
indenture, and maturity date
Q.1 (b) Short / Definition Questions
1. Margin Trading
2. Short sell
3. Beta
4. Stop loss order
04
Q.1 (c) Discuss T+2 Trading settlement system. 04
2
Q.2 (a) What is investment? Discuss various investment avenue with their risk factor? 07
(b) What is Efficient Market Hypothesis? Discuss their form of Hypothesis. 07
OR
(b) Being a Financial Advisor of Mr. Ramesh suggest Portfolio Process to invest
his funds.
07
Q.3 (a) Give detail on CAPM Model? Discuss Role of Beta. 07
(b) During last five years the returns of the stock were as follows
Year Return
1 7
2 3
3 -9
4 6
5 10
Compute Cumulative wealth index, arithmetic mean, geometric mean, variance
and standard deviation.
07
OR
Q.3 (a) Give details on Assumptions of CAPM Model 07
(b) 1000 rs. Par value bond currently selling at 992 matures after 6 years with
coupon rate of 12%. If discount rate is 8% should Mr. Mahesh buy this bond?
07
Q.4 (a) Explain Different Indicators of technical Analysis 07
(b) Elaborate Duration and Convexity for bond portfolio. 07
OR
Q.4 (a) What is mutual fund? State how mutual fund played vital role in financial
Market?
07
(b) Financial Analyst has two different alternative Stock X and Y. Probability of
return are given below
P X Y
0.30 15 25
0.50 13 10
0.20 8 -6
Find out expected return and standard deviation for both the stocks and suggest
best alternative to invest.
07
Q.5 The rates of return on Stock A and market are given below
period 1 2 3 4 5 6 7 8 9 10
Return on
A
24 13 15 14 12 6 -8 15 -9 25
Return on
Market
12 14 13 10 9 7 1 12 -11 7
What is beta of Stock A and draw Characteristic line?
14
OR
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2019
Subject Code: 2830203 Date:10/05/2019
Subject Name: Security Analysis And Portfolio Management
Time: 02:30 PM To 05:30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q.1
(a)
Answer the following multiple questions. 6
1. The net asset value of a mutual fund investing in stock rises with
A. higher stock prices B. lower equity values
C. an increased number of
shares
D. increased liabilities
2. While bond prices fluctuate
A. yields are constant B. coupons are constant
C. the spread between
yields is constant
D short-term bond prices fluctuate
even more
3. If a portfolio manager consistently obtains a high Sharpe measure, the
manager's forecasting ability __________.
A. is above average B. is average
C. is below average
D. does not exist.
4. Which of the following is on the horizontal axis of the Security Market
Line
A. Standard deviation B. Beta
C. Expected return D. Required return
5. As the debt ratio increases
A. fewer assets are debt-
financed, and the ratio of
debt-to-equity increases
B. fewer assets are debt-financed,
and the ratio of debt-to-equity
decreases
C. more assets are debt-
financed, and the ratio of
debt-to-equity increases
D. more assets are debt-financed, and
the ratio of debt-to-equity
decrease
6. What does the market price of a bond depend on?
A. The coupon rate and
terms of the indenture
B. The coupon rate and maturity date
C. The terms of the
indenture, and maturity
date
D. The coupon rate, terms of the
indenture, and maturity date
Q.1 (b) Short / Definition Questions
1. Margin Trading
2. Short sell
3. Beta
4. Stop loss order
04
Q.1 (c) Discuss T+2 Trading settlement system. 04
2
Q.2 (a) What is investment? Discuss various investment avenue with their risk factor? 07
(b) What is Efficient Market Hypothesis? Discuss their form of Hypothesis. 07
OR
(b) Being a Financial Advisor of Mr. Ramesh suggest Portfolio Process to invest
his funds.
07
Q.3 (a) Give detail on CAPM Model? Discuss Role of Beta. 07
(b) During last five years the returns of the stock were as follows
Year Return
1 7
2 3
3 -9
4 6
5 10
Compute Cumulative wealth index, arithmetic mean, geometric mean, variance
and standard deviation.
07
OR
Q.3 (a) Give details on Assumptions of CAPM Model 07
(b) 1000 rs. Par value bond currently selling at 992 matures after 6 years with
coupon rate of 12%. If discount rate is 8% should Mr. Mahesh buy this bond?
07
Q.4 (a) Explain Different Indicators of technical Analysis 07
(b) Elaborate Duration and Convexity for bond portfolio. 07
OR
Q.4 (a) What is mutual fund? State how mutual fund played vital role in financial
Market?
07
(b) Financial Analyst has two different alternative Stock X and Y. Probability of
return are given below
P X Y
0.30 15 25
0.50 13 10
0.20 8 -6
Find out expected return and standard deviation for both the stocks and suggest
best alternative to invest.
07
Q.5 The rates of return on Stock A and market are given below
period 1 2 3 4 5 6 7 8 9 10
Return on
A
24 13 15 14 12 6 -8 15 -9 25
Return on
Market
12 14 13 10 9 7 1 12 -11 7
What is beta of Stock A and draw Characteristic line?
14
OR
3
Q.5 You were invested in three different portfolios namely P, Q and R and the
mean, standard deviation and beta of them with market are given.
Portfolio Mean Return
(%)
S.D. Beta
P 17.1 28.1 1.20
Q 14.5 19.7 0.92
R 13.0 22.8 1.04
Market 11 20.5 1.00
If risk free return is 8.6, calculate portfolio performance of P, Q, and R by
Sharpe, Treynor and Jensen method and rank them by their performance.
14
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This post was last modified on 19 February 2020