For answersheets contact[/b]
[email protected][/b][/b]
+91 95030-94040[/b][/b]
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)
For answersheets contact[/b]
[email protected][/b][/b]
+91 95030-94040[/b][/b]
[email protected][/b][/b]
+91 95030-94040[/b][/b]
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)
For answersheets contact[/b]
[email protected][/b][/b]
+91 95030-94040[/b][/b]