Download JNTUH (Jawaharlal Nehru Technological University Hyderabad) MBA Third Year (3rd Year) 2018 May Security Analysis And Portfolio Management Question Paper.
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.
MBAIIISemesterEndExaminations(Supplementary)-May,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
Time: 3Hours (MBA) MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explainthe?vefundamentalfactorsthatin?uencetheriskpremiumofaninvestment. [7M]
(b) Whatarethe?vestepsintheinvestmentprocess? Whatistheimportanceofeachsteptothe
entireprocess? [7M]
2. (a) Inaworldofe?cientcapitalmarkets,whatdoyouhavetodotobeasuperioranalyst? How
wouldyoutestwhetherananalystwassuperior? [7M]
(b) Explainthereasonbehindasupportlevelandaresistancelevel. [7M]
UNIT?II
3. (a) Themarketmodelspeci?esaverysimplerelationshipbetweenasecurity?sreturnandthereturn
onthemarketindex.Explainsome?realworld?complexitiesthatmightdiminishthepredictive
powerofthemarketmodel. [7M]
(b) Dhananjayownsaportfoliooftwosecuritieswiththeexpectedreturns,standarddeviations,
andweightsasshowninTable1. Whatcorrelationbetweenthetwosecuritiesproducesthe
maximumportfoliostandarddeviation? Whatcorrelationbetweenthetwosecuritiesproduces
theminimumportfoliostandarddeviation?Showyourcalculations. [7M]
Table1
Security ExpectedReturn(%) Standarddeviation(%) Weight
A 10 20 0.35
B 15 25 0.65
4. (a) WhyistheconceptofarbitragecentraltotheassetpricingmechanismofAPT? [7M]
(b) SwathiownsaportfoliocomposedofthreesecuritieswiththecharacteristicsshowninTable2.
Ifthestandarddeviationofthemarketindexis18%,whatisthetotalriskofSwathi?sportfolio?
[7M]
Page1of3
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HallTicketNo QuestionPaperCode:CMB404
.
.
MBAIIISemesterEndExaminations(Supplementary)-May,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
Time: 3Hours (MBA) MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explainthe?vefundamentalfactorsthatin?uencetheriskpremiumofaninvestment. [7M]
(b) Whatarethe?vestepsintheinvestmentprocess? Whatistheimportanceofeachsteptothe
entireprocess? [7M]
2. (a) Inaworldofe?cientcapitalmarkets,whatdoyouhavetodotobeasuperioranalyst? How
wouldyoutestwhetherananalystwassuperior? [7M]
(b) Explainthereasonbehindasupportlevelandaresistancelevel. [7M]
UNIT?II
3. (a) Themarketmodelspeci?esaverysimplerelationshipbetweenasecurity?sreturnandthereturn
onthemarketindex.Explainsome?realworld?complexitiesthatmightdiminishthepredictive
powerofthemarketmodel. [7M]
(b) Dhananjayownsaportfoliooftwosecuritieswiththeexpectedreturns,standarddeviations,
andweightsasshowninTable1. Whatcorrelationbetweenthetwosecuritiesproducesthe
maximumportfoliostandarddeviation? Whatcorrelationbetweenthetwosecuritiesproduces
theminimumportfoliostandarddeviation?Showyourcalculations. [7M]
Table1
Security ExpectedReturn(%) Standarddeviation(%) Weight
A 10 20 0.35
B 15 25 0.65
4. (a) WhyistheconceptofarbitragecentraltotheassetpricingmechanismofAPT? [7M]
(b) SwathiownsaportfoliocomposedofthreesecuritieswiththecharacteristicsshowninTable2.
Ifthestandarddeviationofthemarketindexis18%,whatisthetotalriskofSwathi?sportfolio?
[7M]
Page1of3
Table2
Security Beta StandardDeviationRandomerrorterm(%) Proportion
A 1.20 5 0.30
B 1.05 8 0.50
C 0.90 2 0.20
UNIT?III
5. (a) Identifythethreemostimportantdeterminantsofthepriceofabond. Describethee?ectof
each. [7M]
(b) Calculatethedurationofan8percent,Rs.1,000parbondthatmaturesin3yearsifthebond?s
YTMis10percentandinterestispaidsemiannually.
i.Calculatethisbond?smodi?edduration.
ii.Assumingthebond?sYTMgoesfrom10percentto9.5percent,calculateanestimateofthe
pricechange. [7M]
6. (a) Whatismeantbytermstructureofinterestrates? Explainthetheoreticalbasisofanupward
slopingyieldcurve. [7M]
(b) Aishwarya?sportfoliomanageradviseshertobuya7year,Rs.5,000facevaluebondthatgives
8percentannualcouponpayments. Theappropriatediscountrateis9percent. Thebondis
currentlysellingatRs.4,700.ShouldAishwaryaadheretothemanager?sadvice? [7M]
UNIT?IV
7. (a) Specifythemajorcomponentsforthecalculationofeconomicvalueaddedanddescribewhata
positiveEVAsigni?es. [7M]
(b) ThecurrentdividendonanequityshareofPioneerTechnologyisRs.3.00. Pioneerisexpected
toenjoyanabovenormalgrowthrateof40%for5years. Thereafter,thegrowthratewillfall
andstabilizeat12%.Equityinvestorsrequireareturnof15%fromPioneerTechnology?sstock.
WhatistheintrinsicvalueoftheequityshareofPioneerTechnology? [7M]
8. (a) De?neaninterestrateswapandbrie?ydescribetheobligationofeachpartyinvolved. [7M]
(b) ThefollowinginformationisavailablefortheequitystockofPrakashLimited. S
0
=Rs.120,E
Rs.110,r=0.12, =0.40.Calculatethepriceofa6-monthcalloptionaspertheBlack-Scholes ?
model. [7M]
UNIT?V
9. (a) Explainthe twomajor factorsthat aportfolio managershould considerbefore designingan
investmentstrategy.Whattypesofdecisionscanamanagermaketoachievethesegoals?[7M]
(b) Duringthepastthreeyears,theMagnumFundproducedpershare?nancialresultsasshownin
Table3.CalculatetheannualreturnsonaninvestmentintheMagnumFundduringthisperiod.
[7M]
Page2of3
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HallTicketNo QuestionPaperCode:CMB404
.
.
MBAIIISemesterEndExaminations(Supplementary)-May,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
Time: 3Hours (MBA) MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explainthe?vefundamentalfactorsthatin?uencetheriskpremiumofaninvestment. [7M]
(b) Whatarethe?vestepsintheinvestmentprocess? Whatistheimportanceofeachsteptothe
entireprocess? [7M]
2. (a) Inaworldofe?cientcapitalmarkets,whatdoyouhavetodotobeasuperioranalyst? How
wouldyoutestwhetherananalystwassuperior? [7M]
(b) Explainthereasonbehindasupportlevelandaresistancelevel. [7M]
UNIT?II
3. (a) Themarketmodelspeci?esaverysimplerelationshipbetweenasecurity?sreturnandthereturn
onthemarketindex.Explainsome?realworld?complexitiesthatmightdiminishthepredictive
powerofthemarketmodel. [7M]
(b) Dhananjayownsaportfoliooftwosecuritieswiththeexpectedreturns,standarddeviations,
andweightsasshowninTable1. Whatcorrelationbetweenthetwosecuritiesproducesthe
maximumportfoliostandarddeviation? Whatcorrelationbetweenthetwosecuritiesproduces
theminimumportfoliostandarddeviation?Showyourcalculations. [7M]
Table1
Security ExpectedReturn(%) Standarddeviation(%) Weight
A 10 20 0.35
B 15 25 0.65
4. (a) WhyistheconceptofarbitragecentraltotheassetpricingmechanismofAPT? [7M]
(b) SwathiownsaportfoliocomposedofthreesecuritieswiththecharacteristicsshowninTable2.
Ifthestandarddeviationofthemarketindexis18%,whatisthetotalriskofSwathi?sportfolio?
[7M]
Page1of3
Table2
Security Beta StandardDeviationRandomerrorterm(%) Proportion
A 1.20 5 0.30
B 1.05 8 0.50
C 0.90 2 0.20
UNIT?III
5. (a) Identifythethreemostimportantdeterminantsofthepriceofabond. Describethee?ectof
each. [7M]
(b) Calculatethedurationofan8percent,Rs.1,000parbondthatmaturesin3yearsifthebond?s
YTMis10percentandinterestispaidsemiannually.
i.Calculatethisbond?smodi?edduration.
ii.Assumingthebond?sYTMgoesfrom10percentto9.5percent,calculateanestimateofthe
pricechange. [7M]
6. (a) Whatismeantbytermstructureofinterestrates? Explainthetheoreticalbasisofanupward
slopingyieldcurve. [7M]
(b) Aishwarya?sportfoliomanageradviseshertobuya7year,Rs.5,000facevaluebondthatgives
8percentannualcouponpayments. Theappropriatediscountrateis9percent. Thebondis
currentlysellingatRs.4,700.ShouldAishwaryaadheretothemanager?sadvice? [7M]
UNIT?IV
7. (a) Specifythemajorcomponentsforthecalculationofeconomicvalueaddedanddescribewhata
positiveEVAsigni?es. [7M]
(b) ThecurrentdividendonanequityshareofPioneerTechnologyisRs.3.00. Pioneerisexpected
toenjoyanabovenormalgrowthrateof40%for5years. Thereafter,thegrowthratewillfall
andstabilizeat12%.Equityinvestorsrequireareturnof15%fromPioneerTechnology?sstock.
WhatistheintrinsicvalueoftheequityshareofPioneerTechnology? [7M]
8. (a) De?neaninterestrateswapandbrie?ydescribetheobligationofeachpartyinvolved. [7M]
(b) ThefollowinginformationisavailablefortheequitystockofPrakashLimited. S
0
=Rs.120,E
Rs.110,r=0.12, =0.40.Calculatethepriceofa6-monthcalloptionaspertheBlack-Scholes ?
model. [7M]
UNIT?V
9. (a) Explainthe twomajor factorsthat aportfolio managershould considerbefore designingan
investmentstrategy.Whattypesofdecisionscanamanagermaketoachievethesegoals?[7M]
(b) Duringthepastthreeyears,theMagnumFundproducedpershare?nancialresultsasshownin
Table3.CalculatetheannualreturnsonaninvestmentintheMagnumFundduringthisperiod.
[7M]
Page2of3
Table3
Year1 Year2 Year3
NAVatbeginningofyear 13.89 14.40 15.95
NAVatendofyear 14.40 15.95 15.20
Incomedistribution 0.29 0.33 0.36
Capitalgainsdistribution 0.12 0.25 0.05
10. (a) Asaninvestigatorevaluatinghowwellmutualfundmanagersselectundervaluedstocksorproject
marketreturns,discusswhethernetorgrossreturnsaremorerelevant. [7M]
(b) AnAnalystwanttoevaluatePortfolioX,consistingentirelyofequitystocks,usingboththe
TreynorandSharpemeasuresofportfolioperformance.TheTable4providestheaverageannual
rateofreturnforportfolioX,themarketportfolio(asmeasuredbytheBSESensexindex),and
Treasurybillsduringthepasteightyears.
CalculateboththeTreynorandtheSharpemeasureforbothportfolioXandtheBSESensex.
Brie?yexplainwhetherportfolioXunderperformed,equaledoroutperformedthemarket. Ex-
plainthereasonforthecon?ictingresultswhenusingtheTreynormeasureversustheSharpe
measureintheabovecalculation. [7M]
Table4
Annualaveragerateofreturn Standarddeviationofreturn Beta
PortfolioX 10 18 0.60
BSESensex 12 13 1.00
T-bills 6 NA NA
Page3of3
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This post was last modified on 04 December 2019