NMIMS assignment June 2020 - Compute the Jensen index for each of the funds and comment which one is

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Capital Market and Portfolio Management[/b][/b]



1. Calculate the standard deviation and return of portfolio consisting of 60% of Security A and 40% of Security B.

Year

Security A return (%)

Security B return (%)

2015

10

18

2016

12

15

2017

9

11

2018

10

9

2019

5

7





2. Calculate the return as per CAPM for each of the company’s stock, identify whether they are underpriced, overpriced or correctly priced and advise accordingly. Returns of T- Bill is 9%.

Stock

Expected Return

Beta

Titan

24%

1.8

Nestle

30%

1.5

Eicher Motors

12%

1.2

HDFC

25.9%

1.3

Sensex

22%





3. An investor was tracking SBI and HDFC mutual funds whose return and beta are as given below:



Observed Return

Beta

Portfolio SBI

18%

0.75

Portfolio HDFC

25%

1.25



Return on the market portfolio is 11%, while the risk-free return is 8%. Assume standard Deviation of the market to be 7%.

a. Compute the Jensen index for each of the funds and comment which one is better.

(5 Marks)

b. Compute the Treynor index for each of the funds and comment which one is better. (5 Marks)

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+91 95030-94040[/b][/b]



 
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