LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

M.Com. DEGREE EXAMINATION – COMMERCE

THIRD SEMESTER – APRIL 2012

CO 3802 – SECURITY ANALYSIS & PORTFOLIO MANAGEMENT

 

 

 

Date : 21-04-2012             Dept. No.                                        Max. : 100 Marks

Time : 1:00 – 4:00

 

SECTION – A                  Answer ALL questions                              ( 10 x 2 = 20 )

 

1. What is mean by investment?

 

2. What are the two components of Indian capital market?

 

3. What are the determinants of expected return?

 

4. In what way the financial investment is different from general investment?

 

5. On what basis strong form of efficient market hypothesis differ from the weak form?

 

6. Explain any two key factors involved in firm specific analysis.

 

7. What are the features of contingent investment?

 

8. What do mean by portfolio?

 

9. Information about return on an investment is as follows: (a) risk free rate 10%; (b) market return is 15%; (c) beta is 1.2. What should be the return from the investment?

 

10. Security A and B have standard deviations of 5% and 8%. Mr. Shyam is planning to invest 30% of his funds in security A and the balance in Security B. Ascertain portfolio risk, if correlation is 1.

 

SECTION – B                                         Answer any five questions                                      ( 5 x 8 = 40 )

 

11. What is charting technique? What are its underlying basic concepts?
12. Enumerate the assumptions of Random walk theory.

 

13. On what basis efficient market theory is criticized?

 

14. What are the points to be considered in Portfolio evaluation?

 

15. Give an account of various tests conducted under Semi-strong form.

 

16. Distinguish between systematic and unsystematic risk.

 

17. What are the assumptions of CAPM?

 

18. Novel owns a portfolio of two securities with the following expected returns, standard deviations, and weights:

Security	Expected Return	Standard deviation	weight
X	12%	15%	.40
Y	15%	20%	.60

What are the (i) Maximum and (ii) Minimum portfolio standard deviations for varying levels of correlation between two securities?

 

SECTION – C                                              Answer any TWO questions                           ( 2 x 20 = 40 )

 

19. Give a brief of the economic wide factors involved the investment decision making process.

 

20. What is portfolio construction and revision? Identify and discuss the factors contributing to portfolio management.

 

21. Write short notes on:
22. a) Titular investment
23. b) Speculation
24. c) Stock split
25. d) Dow Theory
26. e) Foreign institutional investors

 

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

M.Com. DEGREE EXAMINATION – COMMERCE

THIRD SEMESTER – NOVEMBER 2012

CO 3802 – SECURITY ANALYSIS & PORTFOLIO MANAGEMENT

 

 

Date : 01/11/2012            Dept. No.                                        Max. : 100 Marks

Time : 9:00 – 12:00

SECTION – A                                   Answer ALL questions                                               ( 10 x 2 = 20 )

 

• What do you mean by Investment Attributes?
• Why public prefer physical investment for financial investment?
• What is Arbitrage Pricing Theory Model?
• Distinguish Technical Analysis from Fundamental Analysis.
• What is stock split?
• Give the meaning of the following:

1. Price Earning Ratio
2. External Commercial Borrowing
3. Return on Investment
4. Dividend Pay out Ratio

• What is diversification of portfolio?
• What is risk penalty?
• Given Rf as 8%, Rm as 15%. The standard deviation of the market portfolio is 2%.  The investor has constructed a portfolio which has a standard deviation of 1.5% and a correlation with the market return of .85.  Calculate the expected return of the investor?
• Find the portfolio variance of a portfolio consisting of equities, bonds and real estates, if the portfolio weights are 30%, 45% and 35%. The standard deviations are 0.1986, 0.615 and 0.945 respectively. The correlations are 0.40 per equity and bonds, 0.30 for equities and real estates and 0.25 for bonds and real estate.

 

SECTION – B                Answer any five questions                                       ( 5 x 8 = 40 )

 

• Give a brief account of the various characteristic feature of an investor.

 

• What do you understand by internal business risk? Explain.

 

• Enumerate the assumptions of Capital Asset Pricing Model.

 

• How the company’s present situation and prospects are appraised?

 

• Explain the significance of beta in portfolio selection.

 

• In what way strong form of efficient market theory is unique from other forms?

 

 

 

• Following is the data regarding six securities –

Securities	A	B	C	D	E	F
Return (%)	8	8	12	4	9	8
Risk (%) (SD)	4	5	12	4	5	6

Which of the securities will be selected? Assuming the perfect correlation, whether it is preferable to invest 75% in sec.A and 25% in sec.C

 

• M Fund invests in three different funds – Fund A, Fund B and Fund C –

Fund	Value invested	Return	Standard Deviation
A	Rs.2.5 crores	15.50%	3.20%
B	Rs.6.0 crores	19.20%	4.50%
C	Rs.1.5 crores	12.80%	1.50%

Correlation between the funds are: AB – 0.30, AC – 0.50 and BC – 0.20

If the risk free return is 5% and the return on Nifty is 17% with a standard deviation of market ( is 3% and the standard deviation of the portfolio ( is 3.11%, ascertain the Sharpe’s index for the fund and evaluate its performance.

 

SECTION – C              Answer any TWO questions                                       (2 x 20 = 40 )

 

• What are the various investment alternatives? Explain in brief.

 

• Explain various charting techniques used in identifying the daily fluctuations of secondary price movement.

 

• Write short notes

1. Speculation
2. Time value of money
3. Product life cycle in industry analysis
4. Filtering Test under Weak form

 

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