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Capital Market and Portfolio Management-1-2015

Capital Market and Portfolio Management-1-2015

1. The details of portfolio of Amit is:


Covariance of security A and B is 0.0049. Calculate:

i. Expected return of portfolio

ii. Variance of the portfolio

iii. Standard deviation of the portfolio


2. SBI and HDFC are two mutual funds. SBI has observed return of 15% and fund HDFC has observed return of 20%. HDFC has a beta of 2 and SBI has a beta of 1. The respective standard deviations are 18% of SBI and 22% of HDFC. The mean return for market index is 0.12, while the risk-free return is 9%.

a) Compute the Jensen index for each of the funds

b) Compute the Treynor index for each of the funds

c) Compute the Sharpe index for each of the funds

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