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21MBA332-Investment Analysis & Portfolio Management

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0% found this document useful (0 votes)
35 views2 pages

21MBA332-Investment Analysis & Portfolio Management

Uploaded by

Manoj B.J
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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RASHTREEYA SIKSHANA SAMITHI TRUST®

RV INSTITUTE OF MANAGEMENT
BENGALURU-5600041
(Autonomous Institution Affiliated to BCU)
MID TERM EXAMINATIONS – MARCH -2023
Batch: 2021-23 Semester: III
Sub Code and Name: 21MBA332 – INVESTMENT ANALYSIS AND PORTFOLIO
MANAGEMENT
Max. Marks: 50 Duration: 1.30 Hours

Course Outcomes (COs)


CO1 Understand and appreciates the framework of the securities market and its functions
CO2 Understand and appreciates the framework of Risk and Return and calculate Risks and Returns of
selected securities
CO3 Understand and evaluate securities such as Bond and Equity to check whether they are under-priced or
Overpriced
CO4 Evaluate financial statements for fundamental analysis (valuation of companies) and Technical Analysis
(Charts)
CO5 Create optimum portfolios of different securities and evaluate the portfolio.
Cognitive Levels (CL)
L1 Remember / Recall the concept or Knowledge
L2 Understanding the Concept of Knowledge
L3 Application of the Concept of Knowledge
L4 Analyzing / Evaluating the concept of Knowledge
L5 Synthesis or Creating new knowledge

Sl. No Section – A C L Marks COs


Answer any THREE of the following questions. Each question carries Five marks. (5 x 3 =15)
1 Explain the process of investment undertaken by the investor. L2 5 CO1

Write short notes on the difference between the capital market and the money
2 L2 5 CO1
market.
The returns on Security A is given below:
Probability 0.5 0.4 0.1
3 Security A Return 4 2 0 L4 5 CO2

Calculate the risk and return of the security.


Two assets A and B have the following risk and return characteristics

4 Ra = 15% , Rb = 17%, σa =30% , σb = 25%, гab = -1 L5 5 CO5


Determine the minimum risk portfolio for A and B
A portfolio consists of two securities A and B. The proportion of investment,
returns and the standard deviations of the securities are given below:

Security Weight Standard deviation Return


5 A 0.55 25% 12% L4 5 CO2
B 0.35 38% 18%

The correlation coefficient between A and B security is 0.55. Calculate


portfolio return and risk.
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Section – B
Answer any TWO of the following questions. Each question carries Ten marks. (10 x 2 =20)
6 The expected rates of return and the possibilities of their occurrence for Alpha and Beta
company are given below:
Probability of Return on Alpha Return on Beta
Occurrence Company Stock Company stock
0.05 -2.0 -3.0
0.20 9.0 6.0
0.50 12.0 11.0
0.20 15.0 14.0
0.05 26.0 19.0 L4 10 CO2
(a) Find out the expected rates of return and risk for ABC and XYZ scrips.
(b) If an investor invests equal proportion on both the scrips what would be
the return?
(c) If the proportion is changed to 25% and 75% and then to 75% and 25%
what would be the expected rates of return?
(d) If an investor invests an equal proportion on both the scrips, calculate
portfolio risk, when the correlation between Alpha and Beta is 0.95.
7 An investor wants to build a portfolio with the following four stocks. With the
given details, find out his portfolio return and portfolio variance. The
investment is spread equally over the stocks.
Company Alpha Beta Residual Variance
Sneha 0.17 0.93 45.15 L4 10 CO5
Neha 2.48 1.37 132.25
Asha 1.47 1.73 196.28
Priya 2.52 1.17 51.98
Market Return = 11; and Market return variance = 26
8 Following data given with the market return and the company scrip’s return
for a particular period. Calculate (a) Beta (a) Alpha (c) Characteristic
Regression Line (d) if the market return is 2%, what would be the scrip return?
Index 0.5 0.6 0.5 0.6 0.8 0.5 0.8 0.4 0.7 L4 10 CO2
Return
Scrip 0.3 0.6 0.4 0.5 0.6 0.3 0.7 0.5 0.6
Return
Section – C
Case Study – Compulsory (1 x15=15)
9 Mr. David is constructing an optimum portfolio. The market return forecast says
that it would be 13.5% for the next two years with a market variance of 10%.
The riskless rate of return is 5%. The following securities are under review. Find
out the optimum portfolio.
Company Alpha Beta Residual Variance
A 3.72 0.99 9.35 L5 15 CO5
B 0.60 1.27 5.92
C 0.41 0.96 9.79
D -0.22 1.21 5.39
E 0.45 0.75 4.52
Construct an optimum portfolio.

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