1. JOSEPH’S COLLEGE OF COMMERCE (AUTONOMOUS)

END SEMESTER EXAMINATION – MARCH/APRIL 2015

M.COM – II SEMESTER

P111203: SECURITY ANALYSIS PORTFOLIO MANAGEMENT

Duration: 3 Hours                                                                                                  Max. Marks: 100

SECTION – A

 

1. I) Answer any SEVEN questions. Each carries 5 marks.          (7×5=35)

 

1. Explain the steps involved in portfolio investment process.
2. What is meant by Efficient Frontier.
3. Write short notes on Convertibles and Warranties as financial derivatives.
4. How does Markowitz Model differ from Sharp Single Index model.
5. State briefly the meaning of terms ‘Hedging’, ‘Arbitrage’ and ‘Speculation’.
6. What is CAPM?
7. In what way can Beta and correlation be used while constructing a portfolio? How does Beta differ from Correlation?
8. How does Fundamental Analysis differ from Technical Analysis?
9. A 9%  100 face value debenture, having a provision for conversion at the end of 5 years into four equity shares of face value Rs. 10 each at a premium of Rs. 15 each. It is expected that the equity shares will have market value of Rs. 33 per share on the date of conversion. An investor has expected rate of return of 15% per annum. Suggest him at what price he should be ready to buy this debenture.
10. What are the types of Bond that are issued in Indian Bond Market?

 

SECTION – B

1. II) Answer any THREE questions. Each carries 15 marks.                                     (3×15=45)

 

11. What is meant by Forward and Future Contract? How does forward differ from future?
12. What is Risk? Explain the kinds of Systematic and unsystematic Risk.

13. The returns on the equity stocks of TCS limited and the market portfolios over a 12 year period are given below :
Year	Return on auto TCS Ltd. (%)	Return on market portfolio (%)
1	15	12
2	-6	1
3	18	14
4	30	24
5	12	16
6	25	30
7	2	-3
8	20	24
9	18	15
10	24	22
11	8	12
a)     Calculate the beta for the stock of TCS limited
b)     Established the characteristics line for the stock of TCS limited.

 

14. Mr. X buys one call at strike price 55 and one at call strike price Rs.65. He sells 2 call at strike price 60. Current spot price Rs.61.  Call option quotations in the market are as follows:

Strike Price `	Premium `
55	10
60	7
65	5

 

Give pay as per Butterfly strategy if spot price on expiry are 51, 52,…….70.

 

15. An Investor has gathered the following information about mutual funds:

Mutual Fund	Return (%)	Risk () %	Beta β
A	15	5	1.5
B	11	4	0.5
C	17	7	1
D	11	6	0.7
E	19	5	1.2

 

Return on Zero beta portfolios is 4% and return on market is 18%.  Evaluate these mutual funds using sharpe, Treynor and Jenson’s methods.

 

 

SECTION – C

 

1. IV) Case Study (1×20=20)

 

16. Mr.Vinod received Rs.10 Lakhs from his pension fund. He wants to invest in the stock Market. The Treasury Bill rate is 7% and the market return variance is 20. The following Table gives the details of regarding the expected return, Beta and residual variance of the security. What is the optimum portfolio assuming no short sales?

 

Stock	Ri	Beta	Standard deviation square
A	20	0.75	25
B	18	1.3	16
C	16	1.3	9
D	12	0.75	16
E	10	0.6	9
F	15	1.8	36

 

 

 

 

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