LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
B.A. DEGREE EXAMINATION – CORPORATE
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)
- Define investment
- What is a real return?
- ITC’s today price is Rs 27.60, yesterdays price was Rs 22.60. Calculate today security return.
- What are the two types of risk?
- A bond of Rs.1000at 5% interest. Calculate current yield.
- What is aggressive portfolio?
- If present value is Rs 100, Interest rate 5%, Years to maturity 5 years, Calculate future value.
- State the relationship between growth and market value in industrial analysis.
- What is derivative security?
- 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)
- What are the reasons for investment?
- 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
- Explain bond valuation theorem.
- 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]
- What are the various factors of economic analysis?
- 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
- 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
- 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)
- What are the new innovations in the Debt instrument available to an individual investor?
- 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
- 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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