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Capital Market and Portfolio Management-NMIMS-June-17

Capital Market and Portfolio Management-NMIMS-June-17

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

Year

Return on stock (%)

Return on Market (%)

2001

25

29

2002

20

18

2003

18

20

2004

15

11

Calculate the beta of ABC Ltd. (10 Marks)

 

Q2. Calculate return as per CAPM and identify whether they are underpriced, overpriced or correctly priced according to security market line. (10 Marks)

Companies

Actual Return

Beta

Fama Ltd

10%

0.5

JK Ltd

12%

0.6

HT Ltd

20%

1.5

Nifty

22%

 

T Bills

9%

 

 

Q3. Calculate the following:

Mutual Funds

Rp (Return)

Standard Deviation

Beta

C1

20%

25%

1.1

C2

15%

20%

0.8

Market

12%

18%

 

Risk free Rate of interest is 6%.

(a)Sharpe ratio (5 Marks)

(b) Treynor ratio (5 Marks)

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