FINAL EXAMINATION

ACT4221 INVESTMENT ANALYSIS

_________________________________________________________________________________________________

UNIVERSITI PUTRA MALAYSIA

FACULTY
MANAGEMENT

OF

ECONOMICS

AND

DEPARTMENT OF ACCOUNTING AND FINANCE

Course Name :

INVESTMENT ANALYSIS

SOALAN LATIHAN 2
Textbook

Frank K. Reilly and Edgar A. Norton (2006), Investments Thomson SouthWestern, 7th Edition

Note
Nota

:
:

This is a close-book examination.

You may use scientific calculator in the examination.
Ini adalah peperiksaan tutup buku.
Anda boleh menggunakan kalkulator saintifik di dalam peperiksaan ini.

Time
Masa

:
:

3 hours.
3 jam

FINAL EXAMINATION
ACT4221 INVESTMENT ANALYSIS
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BAHAGIAN A (Jawab semua soalan dalam bahagian ini)

SOALAN 1
Anda adalah seorang Pengurus Pelaburan Serdang Investment Fund, sebuah dana persaraan
persendirian. Pelanggan anda mahu memasukkan saham Telekom di dalam portfolionya.
Pelanggan tersebut mahukan maklumat lanjut tentang prestasi harga saham Telekom
berbanding dengan prestasi pasaran saham. Anda mempunyai rekod pulangan bulanan
Telekom untuk enam (6) bulan yang lepas seperti berikut:Bulan
1
2
3
4
5
6

Telekom
(%)
9.58
5.73
(5.15)
2.91
4.26
7.37

Indeks Komposit BSKL

(%)
11.72
4.98
2.46
4.57
(1.32)
5.72

Dari jadual di atas, kirakan:

a.

Purata pulangan bulanan untuk Telekom dan Indeks Komposit BSKL;

(3 markah)

b.

Varians dan deviasi piawaian bagi pulangan bulanan untuk Telekom, dan varians dan
deviasi piawaian bagi pulangan bulanan untuk Indeks Komposit BSKL;
(5 markah)

c.

Kovarians bagi pulangan untuk Telekom dan Indeks Komposit BSKL;

(3 markah)

d.

Koefisyen korelasi bagi pulangan antara Telekom dan Indeks Komposit BSKL;
(3 markah)

e.

Beta untuk Telekom;

(2 markah)

f.

Alpha untuk Telekom; dan

(2 markah)

g.

Tuliskan model indeks tunggal (single-index model) untuk Telekom.

FINAL EXAMINATION
ACT4221 INVESTMENT ANALYSIS
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(2 markah)
SOALAN 2
Seorang klien meminta anda menganalisis ciri-ciri dua (2) saham di dalam portfolionya, CIMA
dan YTL. Pada masa ini, pelabur boleh melabur di dalam pelaburan tanpa risiko yang memberi
pulangan tahunan sebanyak 5%. Anda telah membuat analisis ke atas pasaran saham dan
mendapati bahawa jangkaan pulangan pasaran adalah 12% dan varians kepada pulangan pasaran
ialah 0.01. Selepas menganalisis kedua-dua saham, anda juga mendapati keputusan seperti di
bawah:CIMA
YTL
a.

Korelasi dengan pasaran

0.5
0.3

Sisihan piawai
0.25
0.30

Kirakan Beta untuk CIMA dan YTL dan juga untuk portfolio yang mempunyai
timbangan setara di antara CIMA dan YTL.
(4 markah)

b.

Sekiranya terdapat satu saham lain, Gamuda yang mempunyai Beta sebanyak 1.1
dan pada masa ini mempunyai jangkaan pulangan sebanyak 14%, adakah anda
akan membeli saham ini? Mengapa?
(4 markah)

c.

Lakarkan saru geraf yang menunjukkan apa yang terjadi kepada sempadan
kecekapan Markowitz apabila anda menggabungkan asset tanpa risiko dengan
asset berisiko di atas sempadan kecekapan Markowitz.
(4 markah)

d.

Terangkan dengan geraf pembahagian keputusan pelaburan dan keputusan

pembiayaan seperti di dalam teori pengasingan. Terangkan profil risiko pelabur di
kedua-dua belah Garisan Pasaran Modal dalam teori pengasingan.
(4 markah)

e.

Terangkan perbezaan-perbezaan di antara Model Aset Harga Modal (Capital

Asset Pricing Model) dan Teori Harga Arbitraj (Arbitrage Pricing Theory).
Pada pendapat anda, yang manakah lebih baik dan mengapa?
(4 markah)

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ACT4221 INVESTMENT ANALYSIS
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BAHAGIAN B (Pilih dan jawab 2 soalan sahaja dalam bahagian ini)

SOALAN 3
a.

Anda telah melabur di dalam dua (2) portfolio bon. Dana Bon Cyberjaya memberikan
pendapatan tetap RM8,000 setiap tahun. Selain dari itu, anda juga telah melabur di dalam
Dana Bon Seri Kembangan yang kini memberi pulangan pendapatan RM6,000 setahun,
tetapi jumlah ini dijangka berkembang pada kadar 5% setiap tahun. Kedua-dua dana bon
mengagihkan pulangan sekali setahun. Dalam masa lebih kurang berapa tahunkah keduadua bon tersebut akan memberikan pulangan yang sama?
(4 markah)

b.

Anda membeli sijil simpanan 5 tahun, yang bernilai RM1,000 yang dikeluarkan oleh
Maybank dengan kadar nominal 8%, dikompaunkan dua kali setahun. Selain dari itu,
anda juga membeli sijil simpanan yang bernilai RM1,000 yang dikeluarkan oleh Bank
Bumiputra-Commerce, tetapi ianya adalah untuk 4 tahun, memberi pulangan 10%
setahun dan dikompaunkan dua kali setahun. Berapakah perbezaan jumlah faedah yang
dibayar oleh kedua-dua sijil simpanan tersebut?
(6 markah)

c.

Anda telah membeli satu anuiti dari Serdang United yang menjanjikan bayaran berjumlah
RM80 dalam tahun pertama. Bayaran ini merupakan bayaran pertama untuk siri sebanyak
10 bayaran. Jika setiap bayaran tahunan adalah 6% lebih tinggi dari bayaran sebelumnya,
apakah nilai semasa anuiti ini menggunakan kadar diskaun sebanyak 9%?
(6 markah)

d.

Apakah pula nilai masa depan anuiti Serdang United seperti di (c) di atas?
(4 markah)

SOALAN 4
Satu klien institusi, Kajang Group Bhd meminta nasihat anda di dalam pelaburan derivatif.
Terdapat dua (2) opsyen panggilan yang mempunyai tarikh luput yang sama. Opsyen A
mempunyai harga exercise RM50 dan Opsyen B mempunyai harga exercise RM60.
Panggilan untuk Opsyen A dijual pada harga RM10 dan panggilan untuk Opsyen B dijual pada
harga RM6. Strategi pelaburan klien anda ialah untuk membeli satu (1) Opsyen A dan menjual
dua (2) Opsyen B.
a.

Lukiskan rajah keuntungan jualan dua (2) Opsyen B tersebut.

(3 markah)

b.

Lukiskan rajah keuntungan belian satu (1) Opsyen A.

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ACT4221 INVESTMENT ANALYSIS
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(3 markah)
c.

Lukiskan rajah keuntungan gabungan urusniaga Opsyen A dan B.

(3 markah)

d.

Berapakah keuntungan kepada Kajang Group Bhd sekiranya Opsyen A berakhir

terkeluar dari wang (out of the money), di mana harga saham pada tarikh luput
opsyen adalah di bawah harga strike opsyen iaitu RM50. Opsyen manakah yang
akan diexercise, jika ada?
(4 markah)

e.

Berapakah keuntungan kepada Kajang Group Bhd sekiranya Opsyen B berakhir

pada wang (at the money), di mana harga saham pada tarikh luput opsyen
adalah sama dengan harga strike opsyen iaitu RM60. Opsyen manakah yang
akan diexercise, jika ada?
(4 markah)

f.

Apakah harga saham pada tarikh luput di mana keuntungan bersih dari
keseluruhan aturan menjadi kosong?
(3 markah)

SOALAN 5
a.

Michael Porter percaya bahawa kesengitan persaingan di antara firma-firma di dalam

sesebuah industri boleh menentukan keupayaan firma-firma untuk terus memberikan
pulangan melebihi kadar purata di atas modal yang dilaburkan. Senaraikan dan terangkan
lima (5) kuasa-kuasa daya-saing yang menentukan kesengitan persaingan seperti yang
dicadangkan oleh Michael Porter dengan mengambil contoh satu syarikat yang tersenarai
di Bursa Malaysia.
(5 markah)

b.

Senaraikan dan terangkan tiga (3) tahap Hipotesis Pasaran Kecekapan. Untuk setiap
tahap, namakan satu bursa saham yang anda fikir dikategorikan dalam tahap tersebut
serta berikan alasan mengapa anda berfikiran begitu.
(6 markah)

c.

Beta merupakan satu bahagian yang penting di dalam Model Indeks Tunggal (SingleIndex Model). Terangkan apakah maksud Beta sesuatu saham. Apakah yang diukur oleh
Beta sesuatu saham itu?
(4 markah)

d.

Terangkan apakah yang diamksudkan apabila Beta sesuatu saham itu bernilai +1.0, +2.0
dan apabila nilai Beta ialah 1.0. Terangkan peranan Beta sesuatu saham dalam
pembinaan sebuah portfolio.
(5 markah)
5

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ACT4221 INVESTMENT ANALYSIS
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SOALAN 6
Sebagai seorang Pengurus Pelaburan, anda telah diberi tugas untuk menstrukturkan
penubuhan sebuah dana pelaburan baru bernilai RM100 juta. Terangkan kepada ketua
anda kesemua langkah-langkah dan prosedur-prosedur yang perlu di dalam proses
pengurusan portfolio, termasuk, tetapi tidak terhad kepada, mendefinasikan kenyataan
polisi, objektif dan had-had dana tersebut, analisa keadaan kewangan dan ekonomi
semasa dan akan datang, agihan aset dan strategi pelaburan, langkah-langkah untuk
menjalankan strategi-strategi dan mekanisma pemantauan prestasi dana tersebut.
Penjelasan anda haruslah berdasarkan cadangan anda tentang penubuhan sebuah dana
spesifik (contohnya Dana Syariah, Dana Perkembangan atau Dana Seimbang) dan oleh
itu, contoh-contoh, seperti analisa senario hendaklah disertakan.
(20 markah)

SELAMAT MAJU JAYA

FINAL EXAMINATION
ACT4221 INVESTMENT ANALYSIS
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SECTION A (Answer all questions in this section)

QUESTION 1
You are an Investment Manager of Serdang Investment Fund, a private pension fund. Your
client wants to include Telekom stocks in its portfolio. The client wants to know more details
on the price performance of Telekom compared to the stock market performance. You have a
record of their monthly return over the past six (6) months as below:Month
1
2
3
4
5
6

Telekom
(%)
9.58
5.73
(5.15)
2.91
4.26
7.37

KLSE Composite Index

(%)
11.72
4.98
2.46
4.57
(1.32)
5.72

From the table, compute:

a.

The monthly average return of Telekom and the KLSE Composite Index;
(3 marks)

b.

The variance and standard deviation of monthly return of Telekom and the variance
and standard deviation of monthly return of the KLSE Composite Index;
(5 marks)

c.

The covariance of the returns of Telekom and the KLSE Composite Index;
(3 marks)

d.

The correlation coefficient of the returns between Telekom and KLSE Composite
Index;
(3 marks)

e.

Beta of Telekom;
(2 marks)

f.

Alpha of Telekom; and

(2 marks)

g.

Write the single-index model for Telekom.

(2 marks)

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ACT4221 INVESTMENT ANALYSIS
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QUESTION 2
A client asked you to analyze the characteristics of two stocks in his portfolio, CIMA and YTL.
Presently, investors are able to invest in a risk free investment, which provide an annual return of
5%. You have made some analysis on the stock market and you found that the expected return on
the market is 12% and the variance of the market return is 0.01. After analyzing both stocks, you
also found some results as summarized in a table below:CIMA
YTL
a.

Correlation with market

0.5
0.3

Standard deviation
0.25
0.30

Compute Betas for CIMA and YTL and for an equally weighted portfolio of
CIMA and YTL.
(4 marks)

a.

If another stock, Gamuda, with a Beta of 1.1 and presently has an expected return
of 14%, should you buy it? Why?
(4 marks)

b.

Draw a graph that shows what happens to the Markowitz efficient frontier when
you combine risk-free asset with risky assets portfolios on the Markowitz efficient
frontier.
(4 marks)

c.

Explain graphically the division of the investment decision from the financing
decision as in the separation theorem. Elaborate the risk profile of investors on
both sides of the Capital Market Line (CML) in the separation theorem.
(4 marks)

e.

Explain the differences between Capital Asset Pricing Model and Arbitrage
Pricing Theory. In your opinion, which one is more superior and why?
(4 marks)

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ACT4221 INVESTMENT ANALYSIS
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SECTION B (Choose and answer only 2 questions from this section)

QUESTION 3
a.

You have invested in two (2) bond portfolios. Cyberjaya Bond Fund generates exactly
RM8,000 per year in income. On the other hand, you also invested in Seri Kembangan
Bond Fund that currently yields RM6,000 per year in income, but this amount is expected
to grow at 5% annually. Both bond funds distribute income annually. In about how many
years will the two (2) bond portfolios yield equal amounts?
(4 marks)

b.

You purchased a 5-year, RM1,000 certificate of deposit issued by Maybank that carries a
nominal rate of 8%, compounded semi-annually. In addition, you also purchased a
RM1,000 certificate of deposit issued by Bumiputra-Commerce Bank, but it is a 4-year,
offering 10% annual rate, also compounded semi-annually. How much difference is there
in total interest paid by the two competing investments?
(6 marks)

c.

You have purchased an annuity from Serdang United that promised to make a payment of
RM80 in the first year. This payment will be the first of a series of 10 payments. If each
succeeding annual payment is 6% higher than the previous one, what is the present value
of this annuity using a 9% discount rate?
(6 marks)

d.

What is then the future value of Serdang Uniteds annuity in (c) above?
(4 marks)

QUESTION 4
An institutional client, Kajang Group Bhd seeks your advice in a derivative investment. There
are two (2) call options with the same expiration date. Option A with an exercise price of RM50
and Option B with an exercise price of RM60. The call for Option A is selling at RM10 and the
call for Option B is selling at RM6. Your clients investment strategy is to purchase one (1)
RM50 call and to issue two (2) RM60 calls.
a.

Plot the profit diagram of issuing the two (2) Option B.

(3 marks)

b.

Plot the profit diagram of buying Option A.

(3 marks)

c.

Plot the combined profit diagrams for both call options.

(3 marks)

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ACT4221 INVESTMENT ANALYSIS
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d.

What would be the profit to Kajang Group Bhd if Option A finishes out of the
money, where the stock price at its expiration is below the options strike price of
RM50. Which option will be exercised, if any?
(4 marks)

e.

What would be the profit to Kajang Group Bhd if the two (2) Option B finish at
the money, where the stock price on their expiration equals their strike price of
RM60. Which option will be exercised, if any?
(4 marks)

f.

What would be the stock price on the expiration date where the net profit from the
whole arrangement become zero?
(3 marks)

QUESTION 5
a.

Michael Porter believes that the intensity of competition among the firms in an industry
determines the ability of firms to sustain above-average rates of return on invested
capital. List and explain the five (5) competitive forces that determine the intensity of
competition as suggested by Michael Porter by using a public listed company on Bursa
Malaysia as an example.
(5 marks)

b.

List and briefly describe the three (3) forms of the Efficient Market Hypothesis. For each
of the forms, name a stock market or stock exchange which you think should be
categorized under the form and provide reasoning for your thoughts.
(6 marks)

c.

Beta is an integral part of the Single-Index Model. Explain what is Beta of a stock. What
does Beta of a stock measures?
(4 marks)

d.

Explain what does it means when a Beta of a stock is +1.0, +2.0 and when the Beta is
-1.0. Describe the role of a stock's Beta in the construction of a portfolio.
(5 marks)

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ACT4221 INVESTMENT ANALYSIS
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QUESTION 6
As an Investment Manager, you have been assigned to structure the formation of a new
investment fund worth RM100 million. Explain to your superior all the necessary steps
and procedures in the portfolio management process which include, but not limited to,
defining the policy statement, objective and constraints of the fund, examining the
current and projected financial and economic condition, asset allocation and investment
strategy, measures to implement the strategies and monitoring mechanism of the funds
performance. Your explanation should be based on your suggestion for the formation of a
specific type of fund (for example growth fund, balanced fund or Syariah fund) and thus,
examples, such as scenario analysis should also be included.
(20 marks)

GOOD LUCK

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