June, 2010
Ms-44 : Security Analysis and Portfolio Management
1. What do you understand by 'Investment' ? Explain the steps involved in the investment process.
2. (a) Define risk. What are the statistical tools that are used to measure risk of securities return ?
(b) Mr. Vamsi is considering the purchase of a bond currently selling at Rs. 878.50. The bond has four years to maturity, face value of Rs. 1,000 and 8% coupon rate. The next annual interest payment is due after one year from today. The required rate of return is 10%.
(i) Calculate the intrinsic value (present value) of the bond. Should Vamsi buy the bond ?
(ii) Calculate the yield to maturity of the bond.
3. Discuss the various measures that have been adopted in
4. What is market efficiency ? Explain the various anomalies in efficient market hypothesis.
5. (a) In the context of Risk Adjusted returns, briefly explain :
(i) Treynor's Ratio
(ii) Sharpe's Ratio
(b) Puja and Devika are the two mutual funds Puja has a mean success of 0.15 and Devika has 0.22. The Devika has double the beta of Puja fund's 1.5. The standard deviations of Puja and Devika funds are 15% and 21.43%. The mean return of market index is 12% and its standard deviation is 7. The risk free rate is 8%.
(i) Compute the Jensen Index for each fund.
(ii) Compute the Treynor and Sharp indices for the funds. Interpret the results.
6. What is portfolio revision ? Why does it arise ? Discuss the various constraints in portfolio revision.
7. Distinguish between any four of the following :
(a) Growth Fund and Balanced Fund
(b) Ex-dividend and Cum-dividend
(c) Commercial Paper and Commercial Bill of Exchange
(d) Self-regulation and Legislative regulation
(e) Buy-back of Shares and Surrender of Shares
(f) Money Market and Capital Market
8. Write short notes on any four of the following :
(a) Investment Vs. Speculation
(b) Bullish market
(c) Capital market line
(d) Technical analysis
(e) Efficient portfolio
(f) Price-earnings approach
