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Capital Market and Portfolio Management-2-NMIMS Solved Assignmen

Capital Market and Portfolio Management-2-NMIMS Solved Assignmen

Q1: Calculate the standard deviation and return of portfolio consisting of 70% of Security A and 30% of Security B.

 

Year

Security A return(%)

Security B return(%)

2001

9

8

2002

6

7

2003

7

9

2004

10

8

2005

8

5

 

Q2: Reliance and HDFC are two mutual funds.

 

Observed Return

Beta

Residual Variance

Portfolio Reliance

16%

0.8

0.02

Portfolio HDFC

25%

1.2

0.01

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

b) Compute the Treynor index for each of the funds

c) Compute the Sharpe index for each of the funds

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