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  • Mba 3 Sem Security Analysis and Portfolio Management 2830203 Summer 2019

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    This document appears to be an exam for a course on Security Analysis and Portfolio Management from Gujarat Technological University. The exam contains multiple choice questions testing concepts like net asset value, bond pricing, the security market line, and the efficient market hypothesis. It also includes short answer and longer discussion questions about topics such as investment avenues, the CAPM model, technical analysis, mutual funds, and calculating stock and portfolio performance metrics. The exam provides a comprehensive test of students' understanding of key principles in security analysis and portfolio management.

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    This document appears to be an exam for a course on Security Analysis and Portfolio Management from Gujarat Technological University. The exam contains multiple choice questions testing concepts like net asset value, bond pricing, the security market line, and the efficient market hypothesis. It also includes short answer and longer discussion questions about topics such as investment avenues, the CAPM model, technical analysis, mutual funds, and calculating stock and portfolio performance metrics. The exam provides a comprehensive test of students' understanding of key principles in security analysis and portfolio management.

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    38 views3 pages

    Mba 3 Sem Security Analysis and Portfolio Management 2830203 Summer 2019

    Uploaded by

    It's Animeboy
    This document appears to be an exam for a course on Security Analysis and Portfolio Management from Gujarat Technological University. The exam contains multiple choice questions testing concepts like net asset value, bond pricing, the security market line, and the efficient market hypothesis. It also includes short answer and longer discussion questions about topics such as investment avenues, the CAPM model, technical analysis, mutual funds, and calculating stock and portfolio performance metrics. The exam provides a comprehensive test of students' understanding of key principles in security analysis and portfolio management.

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    © All Rights Reserved
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    of 3

    http://www.gujaratstudy.

    com

    Seat No.: ________ Enrolment No.___________

    GUJARAT TECHNOLOGICAL UNIVERSITY


    MBA – SEMESTER 3 – EXAMINATION – SUMMER 2019

    Subject Code: 2830203 Date:10/05/2019


    Subject Name: Security Analysis And Portfolio Management
    Time: 02:30 PM To 05:30 PM Total Marks: 70
    Instructions:
    1. Attempt all questions.
    2. Make suitable assumptions wherever necessary.
    3. Figures to the right indicate full marks.

    Q.1 Answer the following multiple questions. 6


    (a)

    1. The net asset value of a mutual fund investing in stock rises with
    A. higher stock prices B. lower equity values
    C. an increased number of D. increased liabilities
    shares
    2. While bond prices fluctuate
    A. yields are constant B. coupons are constant
    C. the spread between D short-term bond prices fluctuate
    yields is constant even more
    3. If a portfolio manager consistently obtains a high Sharpe measure, the
    manager's forecasting ability __________.
    A. is above average B. is average
    C. is below average D. does not exist.

    4. Which of the following is on the horizontal axis of the Security Market


    Line
    A. Standard deviation B. Beta
    C. Expected return D. Required return
    5. As the debt ratio increases
    A. fewer assets are debt- B. fewer assets are debt-financed,
    financed, and the ratio of and the ratio of debt-to-equity
    debt-to-equity increases decreases
    C. more assets are debt- D. more assets are debt-financed, and
    financed, and the ratio of the ratio of debt-to-equity
    debt-to-equity increases decrease
    6. What does the market price of a bond depend on?
    A. The coupon rate and B. The coupon rate and maturity date
    terms of the indenture
    C. The terms of the D. The coupon rate, terms of the
    indenture, and maturity indenture, and maturity date
    date
    Q.1 (b) Short / Definition Questions 04
    1. Margin Trading
    2. Short sell
    3. Beta
    4. Stop loss order
    Q.1 (c) Discuss T+2 Trading settlement system. 04

    1
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    Q.2 (a) What is investment? Discuss various investment avenue with their risk factor? 07

    (b) What is Efficient Market Hypothesis? Discuss their form of Hypothesis. 07


    OR

    (b) Being a Financial Advisor of Mr. Ramesh suggest Portfolio Process to invest 07
    his funds.

    Q.3 (a) Give detail on CAPM Model? Discuss Role of Beta. 07


    (b) During last five years the returns of the stock were as follows 07
    Year Return
    1 7
    2 3
    3 -9
    4 6
    5 10
    Compute Cumulative wealth index, arithmetic mean, geometric mean, variance
    and standard deviation.

    OR
    Q.3 (a) Give details on Assumptions of CAPM Model 07
    (b) 1000 rs. Par value bond currently selling at 992 matures after 6 years with 07
    coupon rate of 12%. If discount rate is 8% should Mr. Mahesh buy this bond?
    Q.4 (a) Explain Different Indicators of technical Analysis 07
    (b) Elaborate Duration and Convexity for bond portfolio. 07
    OR
    Q.4 (a) What is mutual fund? State how mutual fund played vital role in financial 07
    Market?
    (b) Financial Analyst has two different alternative Stock X and Y. Probability of 07
    return are given below
    P X Y
    0.30 15 25
    0.50 13 10
    0.20 8 -6
    Find out expected return and standard deviation for both the stocks and suggest
    best alternative to invest.

    Q.5 The rates of return on Stock A and market are given below 14
    period 1 2 3 4 5 6 7 8 9 10
    Return on 24 13 15 14 12 6 -8 15 -9 25
    A
    Return on 12 14 13 10 9 7 1 12 -11 7
    Market
    What is beta of Stock A and draw Characteristic line?
    OR

    2
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    Q.5 You were invested in three different portfolios namely P, Q and R and the 14
    mean, standard deviation and beta of them with market are given.
    Portfolio Mean Return S.D. Beta
    (%)
    P 17.1 28.1 1.20
    Q 14.5 19.7 0.92
    R 13.0 22.8 1.04
    Market 11 20.5 1.00

    If risk free return is 8.6, calculate portfolio performance of P, Q, and R by


    Sharpe, Treynor and Jensen method and rank them by their performance.

    *************

    3
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