Section B

4
Printed pages: NMBAFM01
2: Attempt the Case study question. (30 x 1 = 30)

(Following paper code and roll No. to be filled in your) answer book Stocks TATA and BIRLA display the following returns over the
Paper code:270369 Roll No. past three years:
Year Return

MBA TATA BIRLA

(SEM III) THEORY EXAMINATION 2014-
15 1994 14 12
SECURITY ANALYSIS & INVESTMENT 1995 16 18
MANAGEMENT
1996 20 15
Time: 3 Hours Max. Marks: 100 Answer following:
Section A a. What is the expected return on portfolio made up of
1: Attempt Any Four Questions from this section. Each question 40 per cent of TATA and 60 per cent of BIRLA?
carries equal marks. (5x4=20) b. What is the standard deviation of each stock?
c. Determine the correlation co-efficient of stock TATA
a. Differentiate Investors and Speculators. Discuss the Various and BIRLA.
Investment Alternatives in detail. d. What is the portfolio risk of a portfolio made up of 40
b. What are the powers vested with SEBI to promote the per cent TATA and 60 per cent BIRLA?
development of Security Market?
OR
c. What do you understand by Derivative? Differentiate
Forwards and Futures. An investor wants to build a portfolio with the stock of Bharti,
d. An investor wants to analyze his portfolio using Markowitz or Reliance, Uninor Company. The market is assumed to be bullish
Sharpe techniques. His portfolio consists of 25 different and the return from the market is expected to be 22 per cent.
stocks. He is not aware of the bits of information needed to Company Alpha (a) Beta
evaluate the portfolio. He wants to adopt a technique which (b)
requires minimum information. As a portfolio manager which
Bharti 0.6 0.9
method would you advise him to use? Reason out your
7 2
answer.
Reliance 0.8 1.1
e. Discuss about the role of Portfolio Management in Mutual
9 2
Funds Industry.
Uninor 0.5 1.8
f. Differentiate Fundamental and Technical Analysis. Explain
6 8
various types of Charts used by technical analyst.
Answer following:
 a. If he allocates equal proportion to the three stocks, what Portfolio B: Actual return = 20 per cent Beta = 1.2
would be his return? The equation of the CAPM is Ri = .07 +0.10 bi
b. If he utilises 50 per cent of his money for the purchase of What can be said about the portfolio’s performance?
Y stock and divides the remaining equally between the X
6. “The share price fluctuations are random and do not follow any
and Z stocks, what would be his portfolio return?
regular pattern”. Highlight the statement in view of
Section C Efficient Market Theory. Also discuss different forms of
Note: Attempt All questions from this section. Each question efficiencies.
carries equal marks. (5x10=50) ‘OR’
The market received rumors about Excel Corporation’s tie up
3. Differentiate New Issue Market and Secondary Market? Also with the multinational company. This has induced the market
discuss Listing and Delisting and its procedure. Discuss
price to move. If the rumor is false, the Excel stock price will
functions of Stock Exchanges. probably fall dramatically. To protect from this an investor
‘OR’ has bought the call and put option.
A bond with the face value of Rs 1,000 pays a coupon rate of I. Purchased one 3 month call with a striking price
9 per cent. The maturity period is 9 years Find out the (a) of Rs 42 for Rs 2 premium.
Approximate yield to maturity if the require
II. Paid Re 1 per share premium for a 3 month put
rate of return is 10%
with a striking price of Rs 40.
(b) Current yield.
a) Determine the investor’s position if the tie up
offer bids the price of Excel’s stock up to Rs
4. What do you understand by Beta? How is it calculated? Define
43 in 3 months.
Portfolio Revision. How will you evaluate a portfolio of two
b) Determine the investor’s ending position if
risky securities?
the tie up program fails and the price of
‘OR’
Excel’s stock falls to Rs 36 in 3 months.
With a 9 per cent risk free rate of return, the NSE- Nifty
portfolio is having an expected return of 21 per cent and a
standard deviation of 8. In the ‘X’ portfolio, the mean is 15 7. “Diversification reduces the unsystematic risk or unique risk
per cent and standard deviation is 8. In the ‘Y’ portfolio, the but cannot reduce systematic or un-diversifiable risk”,
mean is 20 per cent and the standard deviation is 12. For focusing over the statement discuss the Markowitz Model.
portfolio ‘Z’, the return is 21 per cent and standard deviation ‘OR’
is 16. Choose the best portfolio. Write short notes on Any Two of the following:
a) Single Index Modal
5. Explain Capital Asset Pricing Model. How does it help in b) Arbitrage Pricing Theory.
estimating the expected the expected return of a security? c) Various types of yield curve
‘OR’ d) Three Phase Modal
The CAPM was estimated for some period in the market. The
actual return of two Portfolios is given below: Portfolio A:
Actual return = 14 per cent Beta = 0.8