Security Analysis and Portfolio Management Question Paper June 2022, Dibrugarh University B.Com 6th Sem Hons CBCS Pattern

The figures in the margin indicate full marks for the questions

1. (a) State whether the following statements are True or False: 1x4=4

(1) Investment made on house property is a non-negotiable financial investment.

(2) Diversification reduces inflation risk.

(3) Market imperfection may lead to band of SML.

(4) Reward to volatility ratio developed by Jack Treynor.

(b) Fill in the blanks with appropriate word(s):

(1) Leading indicator is _______. (Sensex / GNP / Consumer Price Index)

(2) _______ is the highly liquid security. (Share / Debenture / Treasury Bill)

(3) As per CAPM, the relevant measure of risk is _______. (standard deviation / beta / variance)

(4) The Sharpe index assigns the high values to fund that have _______. (higher risk adjusted returns / higher returns / low standard deviation)

2. Write short notes on:                                4x4=16

(a) Systematic risk and unsystematic risk.

(b) Portfolio management scheme.

(c) Factor sensitivity.

(d) Components of performance evaluation.

3. (a) “Without adequate information the investor cannot carry out his investment programme.” Explain.    14

Or

(b) What is economic forecasting? How are economic forecasting techniques helpful for investors? 4+10=14

4. (a) Discuss the various steps involved in the traditional approach to the portfolio construction.  14

Or

(b) (1) Briefly discuss the Sharpe’s Single Index Model.                    7

(2) An investor analyzing two investment alternatives, stock X and stock Y. The estimated rate of returns and their probability of occurrence for the next year are as follows:

Probability of Occurrence	Stock X	Stock Y
0.20 0.60 0.20	22 14 – 4	5 15 25

Determine expected rate of returns and standard deviation.

5. (a) Discuss the advantages of Capital Asset Pricing Model (CAPM). In what way, Capital Asset Pricing Model is better than factor models? Discuss.       7+7=14

Or

(b) What do you mean by the term ‘arbitrage’? Describe the basic multiple factor model of APT. 4+10=14

6. (a) “The portfolio performance is evaluated by measuring and comparing the portfolio return and associated risk and hence risk adjusted performance.” Discuss.          14

Or

(b) (1) Explain the ‘Treynor index of portfolio performance.          7

(2) Mr. X gives the following information of his four different investment funds:

	A	B	C	D
Average returns	17	18	16	14
Standard deviation	10	12	12	13
Risk-free rate	9%	9%	9%	9%

According to Sharpe’s index, which fund performs well?

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