LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – CORPORATE

HO 17

SIXTH SEMESTER – APRIL 2007

CR 6602 – PORTFOLIO MANAGEMENT

 

 

 

Date & Time: 20/04/2007 / 9:00 – 12:00  Dept. No.                                               Max. : 100 Marks

 

 

Section – A

 

Answer all the questions                                                                     (10 X 2 = 20 Marks)

 

1. Define investment

 

1. What is a real return?

 

1. ITC’s today price is Rs 27.60, yesterdays price was Rs 22.60. Calculate today security return.

 

1. What are the two types of risk?

 

1. A bond of Rs.1000at 5% interest. Calculate current yield.

 

1. What is aggressive portfolio?

 

1. If present value is Rs 100, Interest rate 5%, Years to maturity 5 years, Calculate future value.

 

1. State the relationship between growth and market value in industrial analysis.

 

1. What is derivative security?

 

1. If standard deviation of market portfolio is 3%, standard deviation of an asset is 2%, and correlation of market return is .65%, calculate beta.

 

 

Section – B

 

Answer Any Five                                                                                  (5 X 8 = 40 Marks)

 

1. What are the reasons for investment?

 

1. During the past five years the stock return are as under. Compute standard deviation, Variance and mean.

 

Years                           1          2          3          4          5

Stock Return               0.04     0.06     -0.03    0.05     .20

 

1. Explain bond valuation theorem.

 

1. An investor invests Rs 5,000 bond with a 10% Coupon rate. Matures in 8 Years and currently sells at 97%. The required rate of return is 11%. Calculate present value of bond. [PVAF 11% @ 8Y è 5.146, PVF 11%, @8Yè 0.434]

 

1. What are the various factors of economic analysis?

 

1. Calculate SHARPE and TREYNOR Indices for WIPRO. If risk free rate is 8% Rank the securities.

 

Fund Name                 Average Return           Standard Deviation     Beta

A                                 12                                15                                1.12

B                                 16                                14                                1.32

C                                 18                                13                                1.26

D                                 20                                12                                1.50

 

 

1. Reliance Invests in two securities. Compute co efficient of Variance, Covariance, Variance and Standard deviation.

Probability       .2         .3         .1         .4

Security A       6          -3         5          2

Security B       2          1          7          -4

 

1. Calculate the market sensitivity index, Beta, and the expected return on the investment of the following data.

Standard deviation of an asset                                                           2.5%

Market Standard deviation                                                     2.0%

Risk free rate of return                                                            13.0%

Expected return on market portfolio                                      15.0%

Correlation coefficient of portfolio with market                    .8

 

              

  Section – C

Answer Any Two                                                                                (2 X 20 = 40 Marks)

 

1. What are the new innovations in the Debt instrument available to an individual investor?

 

1. Calculate Beta, Alpha and correlation from the following securities index.

 

Date                NSE Index      SATYAM Stock Value

May 1              162                  130

May 2              165                  132

May 3              167                  136

May 4              160                  139

May 5              159                  145

May 6              169                  131

 

1. Calculate Jensen’s performance Index

Period              Return on L&T           Trade bill rate              NSE Sensex Index

2002                5                                  12                                10

2003                -4                                 10                                6

2004                6                                  8                                  -5

2005                11                                6                                  12

2006                12                                9                                  9

2007                10                                5                                  13

 

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