# Download GTU MBA 2019 Summer 3rd Sem SECURITY ANALYSIS PORTFOLIO MANAGEMENT 3539223 Question Paper

Download GTU (Gujarat Technological University) MBA (Master of Business Administration) 2019 Summer 3rd Sem SECURITY ANALYSIS PORTFOLIO MANAGEMENT 3539223 Previous Question Paper

Page 1 of 3

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER (3) ? EXAMINATION ? SUMMER 2019

Subject Code: Security Analysis & Portfolio Management Date:10/05/2019
Subject Name: 3539223
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 Define following terms:
1. Settlement Period
2. Odd lot Trading
3. Support and Resistance Level
4. Systematic Risk
5. Head and shoulder pattern
6. Bond Duration
7. Holding period Return
14
Q.2
(A)
?The investment process involves a series of activities starting from the policy
formulation? Discuss the statement.
07
Q.2
(B)
Stock L and M have yielded the following returns for the past two years.
Year
Return %
L M
1995 12 14
1996 18 12
A. What is the expected return on portfolio made up of 60% of L and 40%
of M?
B. Find out the standard deviation of each stock.
C. What is covariance and coefficient of correlation between stock L and
stock M?
07
OR
Q.2
(B)
From the following information available of Vedanta Ltd. Calculate Beta value.

Year Return of Vedanta Ltd. Return from Market
1 -13% -3%
2 5% 2%
3 15% 8%
4 27% 12%
5 10% 7%

07
Q.3
(A)
Discuss the factors that Differentiate investor from speculator and gambler in
detail.
07
Q.3
(B)
Miss. Mona is considering an investment in the stock of PC Jewelers corporation.
Miss. Mona expects PC Jewelers corporation to earn a return of 17% in the next
year. PC Jewelers? beta is 1.3, T- bill rate is 7% and market return is 15%. Should
Miss. Mona invest in the PC Jewelers corporation
07
OR
Q.3
(A)
What do you mean by Fundamental Analysis? How does fundamental analysis
differ from technical analysis?
07
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Page 1 of 3

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER (3) ? EXAMINATION ? SUMMER 2019

Subject Code: Security Analysis & Portfolio Management Date:10/05/2019
Subject Name: 3539223
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 Define following terms:
1. Settlement Period
2. Odd lot Trading
3. Support and Resistance Level
4. Systematic Risk
5. Head and shoulder pattern
6. Bond Duration
7. Holding period Return
14
Q.2
(A)
?The investment process involves a series of activities starting from the policy
formulation? Discuss the statement.
07
Q.2
(B)
Stock L and M have yielded the following returns for the past two years.
Year
Return %
L M
1995 12 14
1996 18 12
A. What is the expected return on portfolio made up of 60% of L and 40%
of M?
B. Find out the standard deviation of each stock.
C. What is covariance and coefficient of correlation between stock L and
stock M?
07
OR
Q.2
(B)
From the following information available of Vedanta Ltd. Calculate Beta value.

Year Return of Vedanta Ltd. Return from Market
1 -13% -3%
2 5% 2%
3 15% 8%
4 27% 12%
5 10% 7%

07
Q.3
(A)
Discuss the factors that Differentiate investor from speculator and gambler in
detail.
07
Q.3
(B)
Miss. Mona is considering an investment in the stock of PC Jewelers corporation.
Miss. Mona expects PC Jewelers corporation to earn a return of 17% in the next
year. PC Jewelers? beta is 1.3, T- bill rate is 7% and market return is 15%. Should
Miss. Mona invest in the PC Jewelers corporation
07
OR
Q.3
(A)
What do you mean by Fundamental Analysis? How does fundamental analysis
differ from technical analysis?
07
Page 2 of 3

Q.3
(B)
Alpha and beta coefficient details of the following stocks are as under;

Stocks ? ?
A 1.00 0.80
B 1.35 1.15
C 1.18 1.25
D 1.25 0.95
E 1.50 1.40

Rank the five stocks using Jenson?s performance measure.
07
Q.4
(A)
?Stocks are considered to be risky but bonds are not?. Clarify that this is not fully
correct.
07
Q.4
(B)
Miss. Charmi considers Rs. 1000 par value bond bearing a coupon rate 11% that
matures after 5 years. She wants minimum yield to maturity of 15%. This bond
is currently available at Rs. 870. Should she buy the Bond?
07
OR
Q.4
(A)
What do you mean by portfolio return? Explain various types of Return in detail. 07
Q.4
(B)
The following three portfolios of ?Mihir Investment House? provided bellow
particulars;

Portfolio
Avg. Annual
Return
Standard
Deviation
Correlation
coefficient
A 18% 27% 0.8
B 14% 18% 0.6
C 15% 8% 0.9
Market 13% 12% --

Risk free rate of interest of 9%. Rank these portfolios using sharpe Index and
Treynor?s Model.
07
Q.5 Miss Nikita is constructing an optimal portfolio. The market return forecast says
that it would be 13.5% for the next two year with the market variance of 10%.
The riskless rate of return is 5%. The following securities are under review.

Company ? ?
Residual
variance
A 3.72 0.99 9.35
B 0.60 1.27 5.92
C 0.41 0.96 9.79
D -0.22 1.21 5.39
E 0.45 0.75 4.52

Q.5
(A)
What is the Cut Off point of Optimal Portfolio for Miss Nikita? 07
Q.5
(B)
Find out the stocks for optimal portfolio and also create an optimal portfolio with
the calculation of proportion of investment in each stocks selected for portfolio.
07
OR
Q.5 ?Kinjal investment Avenues? assumes CAPM equilibrium model with unlimited
borrowings and lending at the riskless rate of interest. Complete the blanks in the
following table.

Security ? (R ) ? ? Residual
A 0.15 -- 2 0.10
B -- 0.25 0.75 0.04
C 0.09 -- 0.50 0.17

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Page 1 of 3

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER (3) ? EXAMINATION ? SUMMER 2019

Subject Code: Security Analysis & Portfolio Management Date:10/05/2019
Subject Name: 3539223
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 Define following terms:
1. Settlement Period
2. Odd lot Trading
3. Support and Resistance Level
4. Systematic Risk
5. Head and shoulder pattern
6. Bond Duration
7. Holding period Return
14
Q.2
(A)
?The investment process involves a series of activities starting from the policy
formulation? Discuss the statement.
07
Q.2
(B)
Stock L and M have yielded the following returns for the past two years.
Year
Return %
L M
1995 12 14
1996 18 12
A. What is the expected return on portfolio made up of 60% of L and 40%
of M?
B. Find out the standard deviation of each stock.
C. What is covariance and coefficient of correlation between stock L and
stock M?
07
OR
Q.2
(B)
From the following information available of Vedanta Ltd. Calculate Beta value.

Year Return of Vedanta Ltd. Return from Market
1 -13% -3%
2 5% 2%
3 15% 8%
4 27% 12%
5 10% 7%

07
Q.3
(A)
Discuss the factors that Differentiate investor from speculator and gambler in
detail.
07
Q.3
(B)
Miss. Mona is considering an investment in the stock of PC Jewelers corporation.
Miss. Mona expects PC Jewelers corporation to earn a return of 17% in the next
year. PC Jewelers? beta is 1.3, T- bill rate is 7% and market return is 15%. Should
Miss. Mona invest in the PC Jewelers corporation
07
OR
Q.3
(A)
What do you mean by Fundamental Analysis? How does fundamental analysis
differ from technical analysis?
07
Page 2 of 3

Q.3
(B)
Alpha and beta coefficient details of the following stocks are as under;

Stocks ? ?
A 1.00 0.80
B 1.35 1.15
C 1.18 1.25
D 1.25 0.95
E 1.50 1.40

Rank the five stocks using Jenson?s performance measure.
07
Q.4
(A)
?Stocks are considered to be risky but bonds are not?. Clarify that this is not fully
correct.
07
Q.4
(B)
Miss. Charmi considers Rs. 1000 par value bond bearing a coupon rate 11% that
matures after 5 years. She wants minimum yield to maturity of 15%. This bond
is currently available at Rs. 870. Should she buy the Bond?
07
OR
Q.4
(A)
What do you mean by portfolio return? Explain various types of Return in detail. 07
Q.4
(B)
The following three portfolios of ?Mihir Investment House? provided bellow
particulars;

Portfolio
Avg. Annual
Return
Standard
Deviation
Correlation
coefficient
A 18% 27% 0.8
B 14% 18% 0.6
C 15% 8% 0.9
Market 13% 12% --

Risk free rate of interest of 9%. Rank these portfolios using sharpe Index and
Treynor?s Model.
07
Q.5 Miss Nikita is constructing an optimal portfolio. The market return forecast says
that it would be 13.5% for the next two year with the market variance of 10%.
The riskless rate of return is 5%. The following securities are under review.

Company ? ?
Residual
variance
A 3.72 0.99 9.35
B 0.60 1.27 5.92
C 0.41 0.96 9.79
D -0.22 1.21 5.39
E 0.45 0.75 4.52

Q.5
(A)
What is the Cut Off point of Optimal Portfolio for Miss Nikita? 07
Q.5
(B)
Find out the stocks for optimal portfolio and also create an optimal portfolio with
the calculation of proportion of investment in each stocks selected for portfolio.
07
OR
Q.5 ?Kinjal investment Avenues? assumes CAPM equilibrium model with unlimited
borrowings and lending at the riskless rate of interest. Complete the blanks in the
following table.

Security ? (R ) ? ? Residual
A 0.15 -- 2 0.10
B -- 0.25 0.75 0.04
C 0.09 -- 0.50 0.17

Page 3 of 3

Q.5
(A)
Find out expected return of security B for ?Kinjal investment Avenues?. 07
Q.5
(B)
Calculate standard deviation of security A and security C. 07
*************
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This post was last modified on 19 February 2020