Capital Market and Portfolio Management-1st-2016-NMIMS

Capital Market and Portfolio Management-1st-2016-NMIMS
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Q1. An investor invests his funds in ratio of 7:3 in assets A and B respectively. Given the following information calculate the expected return, variance and standard deviation of the two asset portfolio. (4+3+3=10 marks)
a) Expected return of asset A is 15%
b) Expected return of asset B is 9%
c) Standard deviation of asset A is 20%
d) Standard deviation of asset B is 10%
e) Covariance of asset A and B is 0.0025

Q2. The rates of return on the security of company XYZ and market portfolio for 4 periods are given below:
Period Return of Security XYZ Return on Market Portfolio
1 25 21
2 21 19
3 18 20
4 12 18
5 10 15
Calculate the Beta of the stock XYZ. (10 marks)

Q3. SBI and HDFC are two mutual funds. SBI has observed return of 12% and fund HDFC has observed return of 15%. HDFC has a beta of 0.8 and SBI has a beta of 1.5.
The respective standard deviations are 16% of SBI and 20% of HDFC. The mean return for market index is 11%, while the risk-free return is 10%.
a) Calculate Treynor ratio for each of the funds (5 marks)
b) Calculate the Sharpe ratio for each of the funds (5 marks)
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