Download GTU (Gujarat Technological University) MBA 2019 Winter 3rd Sem 3539223 Security Analysis And Portfolio Management Previous Question Paper

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA - SEMESTER ? III EXAMINATION ? WINTER 2019

Subject Code: 3539223 Date: 05-12-2019

Subject Name: Security Analysis & Portfolio Management

Time: 10:30 AM TO 1.30 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 Explain the Following Concept

(a) Support and Resistance

(b) Bond Immunization

(c) SML

(d) MACD

(e) Asset Management Company

(f) Margin Trading

(g) Investment V/S. Speculation

14

Q.2 (a) "No Investment Decisions are made without calculating risk." Do you agree?

As an Investment Manager of a firm, discuss the various investment avenues

available for investment with risk involved in each of them.

07

(b) A stock earns the following returns over a Six year period:

Year 2012 2013 2014 2015 2016 2017

Return

(%)

30 -20 -12 38 42 36

Calculate the Arithmetic and Geometric Mean Return for the Above data

07

OR

(b) The returns of two assets under four possible states of nature are given below:

State of

nature

Probability

Return on Asset

X (%)

Return on Asset

Y (%)

1 0.3 10 12

2 0.2 18 14

3 0.1 20 16

4 0.4 25 20

Calculate standard deviation and covariance between the returns on assets X

and Y.

07

Q.3 (a) What do you understand by efficient market hypothesis? Briefly explain its

different forms of efficiency

07

(b) The risk-free return is 10 percent and the return on market portfolio is 16

percent. Stock - A's beta is 1.2; its dividends and earnings are expected to

grow at the constant rate of 12 percent. If the previous dividend per share of

stock A was Rs. 2.00, what should be the intrinsic value per share of stock A?

07

OR

Q.3 (a) What is Technical Analysis? Describe the Dow Theory and its three

components.

07

(b) A Six year bond having the Face value of Rs.100 and bearing the coupon rate

of 12% per annum, currently selling at Rs.110. find out the duration of the bond

if it matures after 6 years. (Use approximation method for the Yield to

maturity)

07

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Page 1 of 2

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA - SEMESTER ? III EXAMINATION ? WINTER 2019

Subject Code: 3539223 Date: 05-12-2019

Subject Name: Security Analysis & Portfolio Management

Time: 10:30 AM TO 1.30 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 Explain the Following Concept

(a) Support and Resistance

(b) Bond Immunization

(c) SML

(d) MACD

(e) Asset Management Company

(f) Margin Trading

(g) Investment V/S. Speculation

14

Q.2 (a) "No Investment Decisions are made without calculating risk." Do you agree?

As an Investment Manager of a firm, discuss the various investment avenues

available for investment with risk involved in each of them.

07

(b) A stock earns the following returns over a Six year period:

Year 2012 2013 2014 2015 2016 2017

Return

(%)

30 -20 -12 38 42 36

Calculate the Arithmetic and Geometric Mean Return for the Above data

07

OR

(b) The returns of two assets under four possible states of nature are given below:

State of

nature

Probability

Return on Asset

X (%)

Return on Asset

Y (%)

1 0.3 10 12

2 0.2 18 14

3 0.1 20 16

4 0.4 25 20

Calculate standard deviation and covariance between the returns on assets X

and Y.

07

Q.3 (a) What do you understand by efficient market hypothesis? Briefly explain its

different forms of efficiency

07

(b) The risk-free return is 10 percent and the return on market portfolio is 16

percent. Stock - A's beta is 1.2; its dividends and earnings are expected to

grow at the constant rate of 12 percent. If the previous dividend per share of

stock A was Rs. 2.00, what should be the intrinsic value per share of stock A?

07

OR

Q.3 (a) What is Technical Analysis? Describe the Dow Theory and its three

components.

07

(b) A Six year bond having the Face value of Rs.100 and bearing the coupon rate

of 12% per annum, currently selling at Rs.110. find out the duration of the bond

if it matures after 6 years. (Use approximation method for the Yield to

maturity)

07

Page 2 of 2

Q.4 (a) ?The Arbitrage Pricing Theory can be used to identify mispriced securities? ?

Explain the statement in detail.

07

(b) Zero coupons bonds are excellent vehicles for immunizing a portfolio. Do you

agree or disagree? Why?

07

OR

Q.4 (a) Explain Capital Asset Pricing Model with an example. 07

(b)

Consider the following information for three mutual funds, X, Y, and Z, and the

market.

Mean return (%) Standard deviation (%) Beta

X 24 22 1.8

Y 16 14 1.2

Z 12 13 0.8

Market index 10 10 1

The mean risk-free rate was 7 percent. Calculate the Treynor measure, Sharpe

measure, Jensen measure

07

Q.5

Read the Following Information and Answer the Questions:

The Stock of ABC Company performs well relative to other stocks during

recessionary periods. The stock of XYZ Company on the other hand, does well

during the growth periods. Both the stocks are currently selling for Rs.100 per

share. The rupee return (dividend and price change) of these stocks for the next

year would be as follows :

Particulars

Economic Situation

High

Growth

Low

Growth

Stagnation Recession

Probability 0.3 0.4 0.2 0.1

Return on ABC

Company Stock (Rs.)

100 120 130 150

Return on XYZ

Company Stock (Rs.)

140 130 90 70

Calculate the Expected return and Standard deviation of;

(a) Rs. 1000 invested in Stock of ABC Company

07

(b) Rs. 500 invested in Stock of ABC Company and Rs.500 invested in Stock of

XYZ Company

07

OR

(a) Rs. 1000 invested in Stock of XYZ Company 07

(b)

Rs. 700 invested in Stock of ABC Company and Rs.300 invested in Stock of

XYZ Company

07

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This post was last modified on 19 February 2020