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

FirstRanker.com - FirstRanker's Choice

1

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

FirstRanker.com - FirstRanker's Choice

1

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

*************

FirstRanker.com - FirstRanker's Choice

This post was last modified on 19 February 2020