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
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
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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