DFM 03
SECURITY ANALYSIS & PORTFOLIO MANAGEMENT
Assignment – I
Assignment Code: 2017DFM03B1 Last Date of Submission: 15th November 2017
Maximum Marks: 100
Attempt all the questions.
SECTION – A (25 marks for each question)
1. a) What are the underlying assumptions of Technical Analysis? [5]
b) List and explain the Technical Trading Rules. Discuss few of the popular momentum indicators and Stock Price and Volume Techniques under Technical analysis. [5+15]
2. Consider a mutual fund with Rs 200 million in assets at the start of the year and with 10 million shares outstanding. The fund invests in a portfolio of stocks that provides dividend income at the end of the year of Rs. 2 million. The stocks included in the fund’s portfolio increase in price by 8%, but no securities are sold and there are no capital gains distribution. The fund charges 12b-1 fees of 1% which are deducted from portfolio assets at year-end. What is net asset value at the start and end of the year? What is the rate of return for an investor in the fund? [15+10]
Section-B (50 Marks)
Case Study
An analyst of BCK securities Ltd. has made risk and return projections for the securities of Reliance and Hindalco, which are as follows:
Scenario
Probability Return on Reliance (%) Return on Hindalco (%) Market return (%)
4% GDP growth 0.30 3 2 1
6% GDP growth 0.35 17 14 15
8% GDP growth 0.25 20 19 17
10% GDP growth 0.10 22 17 25
It is felt that the interest rate of 7 % on the 91-day T-Bill is a good approximate of the risk-free rate.
a) Calculate the Expected Return on Reliance, Hindalco and Market. [15]
b) Find out the betas of Reliance and Hindalco securities, and comment on your findings. [15]
c) Find out whether the shares of Reliance and Hindalco are under priced or over priced. [20]
DFM 03
SECURITY ANALYSIS & PORTFOLIO MANAGEMENT
Assignment – II
Assignment Code: 2017DFM03B2 Last Date of Submission: 15th November 2017
Maximum Marks: 100
Attempt all the questions.
SECTION – A (25 marks for each question)
1. a) Write a critical note on regulation of securities market in India and the role of SEBI. [10]
b) State the basic premises of an efficient market. State the Efficient Market Hypothesis (EMH) and the three sub-hypotheses. What are their implications? [5+10]
2. a) What is a mutual fund? Briefly outline the various kinds of mutual fund schemes as seen
in India, and provide suitable examples. [15]
b) Compare the following two portfolios on the basis of Sharpe ratio and Treynor ratio, and offer your inferences/comments. [10]
Portfolio Return from the portfolio Standard deviation (%)
Beta
A 10% 13 0.75
B 20% 26 1.45
Market portfolio 14 % 18 1.00
Section-B (50 Marks)
Case Study
Mr. Marin Kumar, an investor is evaluating the prospects of investing in two companies i.e., Spark Ltd. and Amrit Ltd. The projections of returns for the stocks of the two companies along with their probabilities are as follows:
Economic scenario
Probabilities Returns associated with
Spark Ltd. Amrit Ltd. Market Index
Boom 0.45 43% 34% 26%
Growth 0.25 23% 27% 10%
stagnation 0.20 18% 16% 3%
slump 0.10 8% 4% - 6%
The risk-free rate of return is 9%.
Requirements:
a) Calculate the ex-ante betas for both Spark Ltd. and Amrit Ltd. separately. [12]
b) Calculate excess return provided by both the companies. [12]
c) Calculate the proportion of systematic risk and unsystematic risk for both the companies. [14]
d) State whether the stock of Spark Ltd. and Amrit Ltd. is underpriced or overpriced? Justify your answer. [12]
SECURITY ANALYSIS & PORTFOLIO MANAGEMENT
Assignment – I
Assignment Code: 2017DFM03B1 Last Date of Submission: 15th November 2017
Maximum Marks: 100
Attempt all the questions.
SECTION – A (25 marks for each question)
1. a) What are the underlying assumptions of Technical Analysis? [5]
b) List and explain the Technical Trading Rules. Discuss few of the popular momentum indicators and Stock Price and Volume Techniques under Technical analysis. [5+15]
2. Consider a mutual fund with Rs 200 million in assets at the start of the year and with 10 million shares outstanding. The fund invests in a portfolio of stocks that provides dividend income at the end of the year of Rs. 2 million. The stocks included in the fund’s portfolio increase in price by 8%, but no securities are sold and there are no capital gains distribution. The fund charges 12b-1 fees of 1% which are deducted from portfolio assets at year-end. What is net asset value at the start and end of the year? What is the rate of return for an investor in the fund? [15+10]
Section-B (50 Marks)
Case Study
An analyst of BCK securities Ltd. has made risk and return projections for the securities of Reliance and Hindalco, which are as follows:
Scenario
Probability Return on Reliance (%) Return on Hindalco (%) Market return (%)
4% GDP growth 0.30 3 2 1
6% GDP growth 0.35 17 14 15
8% GDP growth 0.25 20 19 17
10% GDP growth 0.10 22 17 25
It is felt that the interest rate of 7 % on the 91-day T-Bill is a good approximate of the risk-free rate.
a) Calculate the Expected Return on Reliance, Hindalco and Market. [15]
b) Find out the betas of Reliance and Hindalco securities, and comment on your findings. [15]
c) Find out whether the shares of Reliance and Hindalco are under priced or over priced. [20]
DFM 03
SECURITY ANALYSIS & PORTFOLIO MANAGEMENT
Assignment – II
Assignment Code: 2017DFM03B2 Last Date of Submission: 15th November 2017
Maximum Marks: 100
Attempt all the questions.
SECTION – A (25 marks for each question)
1. a) Write a critical note on regulation of securities market in India and the role of SEBI. [10]
b) State the basic premises of an efficient market. State the Efficient Market Hypothesis (EMH) and the three sub-hypotheses. What are their implications? [5+10]
2. a) What is a mutual fund? Briefly outline the various kinds of mutual fund schemes as seen
in India, and provide suitable examples. [15]
b) Compare the following two portfolios on the basis of Sharpe ratio and Treynor ratio, and offer your inferences/comments. [10]
Portfolio Return from the portfolio Standard deviation (%)
Beta
A 10% 13 0.75
B 20% 26 1.45
Market portfolio 14 % 18 1.00
Section-B (50 Marks)
Case Study
Mr. Marin Kumar, an investor is evaluating the prospects of investing in two companies i.e., Spark Ltd. and Amrit Ltd. The projections of returns for the stocks of the two companies along with their probabilities are as follows:
Economic scenario
Probabilities Returns associated with
Spark Ltd. Amrit Ltd. Market Index
Boom 0.45 43% 34% 26%
Growth 0.25 23% 27% 10%
stagnation 0.20 18% 16% 3%
slump 0.10 8% 4% - 6%
The risk-free rate of return is 9%.
Requirements:
a) Calculate the ex-ante betas for both Spark Ltd. and Amrit Ltd. separately. [12]
b) Calculate excess return provided by both the companies. [12]
c) Calculate the proportion of systematic risk and unsystematic risk for both the companies. [14]
d) State whether the stock of Spark Ltd. and Amrit Ltd. is underpriced or overpriced? Justify your answer. [12]
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