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    Gnanamani Educational Institutions: Ba 5012 - Security Analysis and Portfolio Mangement

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    Sabha Pathy
    This document contains information about a test on security analysis and portfolio management, including two parts with multiple choice and long answer questions. Part A contains 5 short answer questions asking about topics like portfolio evaluation, Fama decomposition of returns, breadth of the market calculation, and evaluating portfolio performance using beta, risk free rate and market returns. Part B contains two long answer questions, the first asking to evaluate a mutual fund's performance using returns, beta, risk free rate and market returns, and the second asking to calculate risk adjusted measures like Sharpe ratio for a mutual fund given its annual returns and betas over 10 years.

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    Gnanamani Educational Institutions: Ba 5012 - Security Analysis and Portfolio Mangement

    Uploaded by

    Sabha Pathy
    43 views1 page
    This document contains information about a test on security analysis and portfolio management, including two parts with multiple choice and long answer questions. Part A contains 5 short answer questions asking about topics like portfolio evaluation, Fama decomposition of returns, breadth of the market calculation, and evaluating portfolio performance using beta, risk free rate and market returns. Part B contains two long answer questions, the first asking to evaluate a mutual fund's performance using returns, beta, risk free rate and market returns, and the second asking to calculate risk adjusted measures like Sharpe ratio for a mutual fund given its annual returns and betas over 10 years.

    Original Title

    SAPM DEFINE III

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    This document contains information about a test on security analysis and portfolio management, including two parts with multiple choice and long answer questions. Part A contains 5 short answer questions asking about topics like portfolio evaluation, Fama decomposition of returns, breadth of the market calculation, and evaluating portfolio performance using beta, risk free rate and market returns. Part B contains two long answer questions, the first asking to evaluate a mutual fund's performance using returns, beta, risk free rate and market returns, and the second asking to calculate risk adjusted measures like Sharpe ratio for a mutual fund given its annual returns and betas over 10 years.

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    © All Rights Reserved
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    Download as docx, pdf, or txt
    43 views1 page

    Gnanamani Educational Institutions: Ba 5012 - Security Analysis and Portfolio Mangement

    Uploaded by

    Sabha Pathy
    This document contains information about a test on security analysis and portfolio management, including two parts with multiple choice and long answer questions. Part A contains 5 short answer questions asking about topics like portfolio evaluation, Fama decomposition of returns, breadth of the market calculation, and evaluating portfolio performance using beta, risk free rate and market returns. Part B contains two long answer questions, the first asking to evaluate a mutual fund's performance using returns, beta, risk free rate and market returns, and the second asking to calculate risk adjusted measures like Sharpe ratio for a mutual fund given its annual returns and betas over 10 years.

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    © All Rights Reserved
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    of 1

    GNANAMANI EDUCATIONAL INSTITUTIONS

    DEPARTMENT OF MANAGEMENT STUDIES


    DEFINE TEST - III
    BA 5012 - SECURITY ANALYSIS AND PORTFOLIO MANGEMENT

    Date: 04.09.2018 Marks: Max.30


    Class: II MBA
    PART –A (5 X 2 = 10)
    1. Define portfolio evaluation.
    2. How do you calculate the Fama decomposition of total return?
    3. Define and calculate the breadth of the market for the following data
    DAY MON TUE WED THU FRI
    ADVANC
    620 470 360 585 705
    E
    DECLINE 350 510 610 380 270
    4. An investor owns a portfolio that over the last five years has produced 26.8 percent annual return.
    During that time the portfolio produced a 1.10 beta. Further, the risk free return and the market return
    index averaged 7.4 percent and 15.2 percent per year respectively. How would you evaluate the
    performance of the portfolio in this case?
    5. How Jensen ratio measures the differential return of portfolio.
    PART –B (2 X 10 = 20)
    6. A mutual fund has earned an average annual return of 24 percent over a five year period while the
    average market return over the same period was only 18 percent. The risk free rate prevailing at the time
    was 7.5 percent. The mutual fund has a beta of 1.45. The standard deviation of returns of the mutual
    fund and the market index were 40 percent and 30 percent respectively. (7)
    7. Given below are the historical performance information on the capital market and a mutual fund.

    MUTUTAL FUND RETURN MUTUAL FUND RETURN ON MARKET RETURN ON


    YEAR
    (PERCENT) BETA INDEX GOVT.SECURITIES

    1 13.85 1.25 -10.00 4.76


    2 28.00 1.20 21.00 4.21
    3 35.00 1.18 11.05 5.21
    4 11.25 1.20 -7.50 6.00
    5 24.00 1.22 4.00 6.50
    6 6.85 1.32 14.31 4.35
    7 1.20 1.27 18.95 3.85
    8 21.00 1.25 14.50 6.15
    9 10.18 1.10 9.25 7.50
    10 17.65 0.95 20.00 6.00
    Calculate the following risk adjusted measures for the mutual fund: (i) Sharpe Ratio.

    Subject Incharge HoD


    G.Kanagasabapathy ***All the Best*** Dr.K.Sampath

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