ST.JOSEPH’S COLLEGE OF COMMERCE (AUTONOMOUS)

END SEMSTER EXAMINATION – APRIL 2012

M.COM – II SEMSTER

SECURITIES ANALYSIS AND PORTFOLIO MANAGEMENT                           

TIME : 3 HOURS                                                                                                  Total Marks- 100

Section-A

1. Answer any seven                                                                           (7X5=35)

 

• What do you mean by EMH? Bring out its various forms?
• The rates of return on stock B is given .Determine the AM and GM

Year                         Return on B (%)

1                                      15

2                                      25

3                                    -10

4                                     20

5                                      15

 

• What steps would an investor follow to make an investment?
• Explain the Markowitz model?
• Write a note on company analysis?
• Explain in detail the Dow Theory?
• What is Industry Life Cycle? Also mention any 3 Characteristics that are to be evaluated in Industry analysis?
• Explain CRA’s?
• Differentiate SML and CML?
• Write in detail how Gain or Loss occur for the buyer and the writer in case of call and put option?

Section – B

 

1. Answer any three    (3X15=45)

 

•  Explain efficient frontier and optimal portfolio?
• The returns of two assets under 4 possible states of nature are given below

 

State of nature      Probability       Return on asset 1             Return on asset 2

1                          0.10                         5%                                     0%

2                          0.30                        10%                                   8%

3                          0.50                        15%                                  18%

4                          0.10                        20%                                  26%

 

1. What is the standard deviation of the return on asset 1 and asset 2?
2. What is the co-variance between the returns of the assets
3. What is the co-efficient of correlation between them?

• What are the different risks inherent in the dealings of mutual funds? Also explain the methods by which you can evaluate the performance of mutual funds?
• What are charts? How are they interpreted in technical analysis?
• Define economic forecasting. Explain the important forecasting techniques? (3X15=45)

SECTION- C

• Compulsory Question                                                                                       (1X20=20) 

                             

• a) What is a risk? Differentiate unique risk and Market risk?

 

1. b) The returns on the Equity stock of Auto Electricals Limited and the market portfolio over a 15 year period are given below. Calculate 1) Beta and Alpha for the stock of Auto electrical Limited (2) Characteristic line for the stock of Auto Electricals Limited

Year                       Return on Stock of                               Return on Market Portfolio

Auto electrical Limited

1                                  10                                                        12

2                                  15                                                        14

3                                  18                                                        13

4                                  14                                                        10

5                                  16                                                        9

6                                  16                                                        13

7                                  18                                                        14

8                                  4                                                          7

9                                  -9                                                         1

10                                14                                                        12

11                                15                                                        -11

12                                14                                                        16

13                                6                                                          8                                                          14                         7                                                          7

15                                -8                                                         10

 

 

 

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