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Capital Market and Portfolio Management-NMIMS June18

Capital Market and Portfolio Management-NMIMS June18

Note: Must read before purchase: You must edit approx 10-20 percent answer for avoid copy case

Q1. The following data shows the return of ABC Ltd and the market:

Year

Return on ABC(%)

Return on Market (%)

1

40

35

2

35

28

3

32

34

4

28

30

5

25

24

Calculate the beta of ABC Ltd and interpret. (10 Marks)

 

Q2. The details of portfolio of Mr.Singh are:

Stock

Expected Return

Standard Deviation

Weight

Wipro

15%

12%

0.4

Infosys

18%

20%

0.6

Covariance of stock Wipro and Infosys is 0.0064.

Calculate return and total risk of the portfolio. (10 Marks)

 

Q3. Nisha has just completed her MBA and has joined an investment management firm as an analyst. On the first day of her job, her manager gave her data of two portfolios and asked her to suggest which one is a better portfolio.

 

Observed Return

Beta

Portfolio Alpha

18%

1.5

Portfolio Beta

15%

0.8

Risk-free rate is 8.5%, Return on the market portfolio is 15%, Standard Deviation of the market is 8%.

a. Suggest which portfolio has outperformed the market on the basis of Jensen index. (5 Marks)

b. Suggest which portfolio is better on the basis of systematic risk using Treynor ratio.

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