NMIMS Global Access
School for Continuing Education (NGA-SCE)
Course: Capital Market and Portfolio Management
Semester: II/III
Program (Old & New) : DFPWM
Program (Old) : PGDFM
Assignment Marks: 30
Instructions:
All Questions carry equal marks.
All Questions are compulsory
All answers to be explained in not more than 1500 words. Use relevant examples,
illustrations as far as possible.
All answers to be written individually. Discussion and group work is not advisable.
Students are free to refer to any books/reference material/website/internet for attempting
their assignments, but are not allowed to copy the matter as it is from the source of
reference.
Students should write the assignment in their own words. Copying of assignments from
other students is not allowed.
1. The details of portfolio of Amit is:
Security Expected Return Standard Deviation Weight
A 10% 13% .30
B 12% 15% .70
Covariance of security A and B is 0.0049. Calculate:
i. Expected return of portfolio
ii. Variance of the portfolio
iii. Standard deviation of the portfolio (15 marks)
2. SBI and HDFC are two mutual funds. SBI has observed return of 15% and fund
HDFC has observed return of 20%. HDFC has a beta of 2 and SBI has a beta of 1. The
respective standard deviations are 18% of SBI and 22% of HDFC. The mean return for
market index is 0.12, while the risk-free return is 9%. (15 marks)
a) Compute the Jensen index for each of the funds
b) Compute the Treynor index for each of the funds
c) Compute the Sharpe index for each of the funds
*****************
School for Continuing Education (NGA-SCE)
Course: Capital Market and Portfolio Management
Semester: II/III
Program (Old & New) : DFPWM
Program (Old) : PGDFM
Assignment Marks: 30
Instructions:
All Questions carry equal marks.
All Questions are compulsory
All answers to be explained in not more than 1500 words. Use relevant examples,
illustrations as far as possible.
All answers to be written individually. Discussion and group work is not advisable.
Students are free to refer to any books/reference material/website/internet for attempting
their assignments, but are not allowed to copy the matter as it is from the source of
reference.
Students should write the assignment in their own words. Copying of assignments from
other students is not allowed.
1. The details of portfolio of Amit is:
Security Expected Return Standard Deviation Weight
A 10% 13% .30
B 12% 15% .70
Covariance of security A and B is 0.0049. Calculate:
i. Expected return of portfolio
ii. Variance of the portfolio
iii. Standard deviation of the portfolio (15 marks)
2. SBI and HDFC are two mutual funds. SBI has observed return of 15% and fund
HDFC has observed return of 20%. HDFC has a beta of 2 and SBI has a beta of 1. The
respective standard deviations are 18% of SBI and 22% of HDFC. The mean return for
market index is 0.12, while the risk-free return is 9%. (15 marks)
a) Compute the Jensen index for each of the funds
b) Compute the Treynor index for each of the funds
c) Compute the Sharpe index for each of the funds
*****************
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