SET - II

VIVEKANANDHA COLLEGE OF ENGINEERING FOR WOMEN

(AUTONOMOUS INSTITUTION AFFILIATED TO ANNA UNIVERSITY, CHENNAI)
Tiruchengode - 637 205

TERM TEST – III

Third Semester
MASTER OF BUSINESS ADMINISTRATION
P19BAF01– SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT
(2019 – Regulation)

Date: 18.12.2021 Maximum: 40 Marks

Time: 1 hour and 30 Mins
Answer ALL the questions
(5 x 2 = 10 Marks)
PART - A

Q.No Questions Marks KL CO

1. Write a short note on Random Walk theory. 2 K1 CO4
2. How to calculate reward to variability ratio? 2 K2 CO5
A mutual fund has earned an average annual return of 24
percent over a last five year period while the average market
return over the same period was only 18 percent. The risk
free rate prevailing at the time was 7.5 percent. The mutual
3. 2 K2 CO5
fund had a beta of 1.45. The standard deviation of returns of
the mutual fund and the market index were 40 percent and
30 percent respectively. Calculate Fama’s net selectivity for
the fund, showing the decomposition of performance.
Distinguish Sharpe and Treynor ratio. CO5
4. 2 K1
Define CAPM. CO5
5. 2 K2

PART – B
(2X15 = 30 Marks)
Q.No Questions Marks KL CO
Explain the weak form of the efficient market hypothesis.
6.a Describe the empirical tests used for testing the weak 15 K2 CO4
form efficiency.
(OR)

6.b What is RSI? Explain its calculation and interpretation. 15 K2 CO4

Describe how the total return of a portfolio can be decomposed 15 K3 CO5

7.a
into different sources, using Fama’s decomposition formula.
(OR)

7.b Calculate Sharpe, Treynor and Jensen ratio for following 15 K3 CO5
 information

Portfolio
S.no. Particulars A B C D
1 Beta 1.10 0.8 1.8 1.4
2 Return 14.5 11.25 19.75 18.5
(Percent)
3 Std.Deviatio 20.0 17.5 26.3 24.50
n
(Percent)

Assume risk free rate of return is 6percent and Market return is 12percent.

Subject Incharge HoD

***All the Best***