Makeup

MBA183F1
USN 1 M
RAMAIAH
Institute of Technology
(Autonomous Institute, Affiliated to VTU)
(Approved by AICTE, New Delhi & Govt. of Karnataka) Accredited by NBA & NAAC with ‘A’ Grade
MAKEUP EXAMINATIONS – JANUARY 2020

Program : Master of Business Administration Semester : III
Course Name : Security Analysis and Portfolio Management Max. Marks : 100
Course Code : MBA183F1 Duration : 3 Hrs
Instructions to the Candidates:

 Answer one full question from each unit.
 PV Tables may be provided.
 Question No.9 is Compulsory.
UNIT- I
1. a) Define investment and its objectives. CO1 (03)
b) Discuss briefly the key steps involved in the portfolio management CO1 (07)
process.
c) Explain settlement procedure involved in Indian stock market. CO1 (10)
2. a) What are circuit breakers? CO1 (03)

b) Discuss the role and functions of stock exchanges. CO1 (07)
c) Describe briefly the important investment avenues available to saver in CO1 (10)
India.
UNIT- II
3. a) State the features of the Zero Coupon Bond. CO2 (03)
b) The variance-covariance matrix for three securities is given below: CO2 (07)
Security P Q R
P 108 -56 94
Q -56 214 137
R 94 137 180
Calculate the standard deviation of a portfolio constructed with these
three securities, the proportion of investment in each being
P=0.20,Q=0.50 and R=0.30.
c) The market price of a Rs.1000 par value bond carrying a coupon rate of CO2 (10)
14 percent and maturing after five years is Rs. 1050. What is the yield
to maturity (YTM) on this bond? What is the approximate YTM? What
will be the realised yield to maturity if the reinvestment rate is
12 percent?
4. a) What is meant by bond yield? CO2 (03)

b) Can a bondholder ensure himself immunized against interest rate risk? CO2 (07)
Justify with an illustration.
c) The historical rates of return of two securities over the past ten years CO2 (10)
are given. Calculate (i) covariance (ii) correlation of the two securities
and interpret.
Years 1 2 3 4 5 6 7 8 9 10
Security 1
15 10 8 9 12 14 20 17 14 16
(return percent)
Security 2
22 24 21 18 15 16 13 17 19 22
(return percent)
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MBA183F1
UNIT- III
5. a) Define behavioral finance. CO3 (03)
b) Discuss efficient market hypothesis. CO3 (07)
c) Days 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 CO3 (10)
Closing
prices 33 35 37.5 36 39 40 40.5 38.5 41 42 44 42.5 42 44 45
(Rs.)
Calculate: (i) five day SMA and (ii) five day EMA.
6. a) What is Random walk Theory? CO3 (03)

b) “The Elliot Wave Theory is based on the principle that action is followed CO3 (07)
by reaction”. Elucidate.
c) Discuss the various factors to be considered in economic analysis. CO3 (10)
UNIT- IV
7. a) What are the key differences between closed-ended and open-ended CO4 (03)
mutual fund schemes?
b) ‘Bonds are bought for their price appreciation and less for their steady CO4 (07)
income’. Do you agree? Discuss any three active strategies for
managing a bond portfolio.
c) Consider the following data for two risk factors and two securities CO4 (10)
(M and N):
λ0 = 8 per cent λ1= 8 per cent λ2= 8 per cent
bM1 = 0.76 bM2 = 1.90
bN1 = 1.72 bN2 = 2.45
Security M is currently priced at Rs.225; security N is currently priced
at Rs.150. anticipated prices of the securities at year end are Rs.275
and Rs.175 respectively.
i) Compute expected return of both securities
ii) What is the expected price of each security one year from now?
iii) Evaluate whether the securities are correctly priced.
8. a) State the assumptions of CAPM. CO4 (03)

b) Describe the characteristics of debt mutual fund schemes. CO4 (07)
c) Consider the following information for three mutual funds P,Q and R and the CO4 (10)
market.
Mean return Standard Beta
(%) deviation (%)
P 15 20 0.90
Q 17 24 1.10
R 19 27 1.20
Market Index 16 20 1.00
The mean risk-free rate was 10 per cent.
Calculate (i) Treynor measure (ii) Sharpe measure (iii) Jensen measure
for the three mutual funds and the market index.
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MBA183F1
UNIT- V
9. Case Study: (Compulsory)
Monthly return data (in percent) are presented below for BPCL stock and BSE
National Index for a 12-month period.
Month BPCL BSE National
Index
1 9.43 7.41
2 0.00 -5.33
3 -4.31 -7.35
4 -18.92 -14.64
5 -6.67 1.58
6 26.57 15.19
7 20.00 5.11
8 2.93 0.76
9 5.25 -0.97
10 21.45 10.44
11 23.13 17.47
12 32.83 20.15
Calculate:
i) Correlation coefficient. CO5 (04)
ii) Standard deviation of BPCL returns. CO5 (04)
iii) Standard deviation of BSE Index returns and Beta. CO5 (02)
iv) Beta of BPCL stock using the regression model. CO5 (02)
v) Suppose BSE index is expected to move up by 15 per cent next CO5 (04)
month.
vi) How much return would you expect from BPCL? CO5 (04)
****************
Page 3 of 3

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MBA183F1

MAKEUP EXAMINATIONS – JANUARY 2020

Instructions to the Candidates:

2. a) What are circuit breakers? CO1 (03)

4. a) What is meant by bond yield? CO2 (03)

6. a) What is Random walk Theory? CO3 (03)

8. a) State the assumptions of CAPM. CO4 (03)

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