SVKM’s NMIMS MUKESH PATEL SCHOOL OF TECHNOLOGY MANAGEMENT & ENGINEERING Programme: MBA Tech (All Streams) Year: V Semester: X» ; RK Academic Year: 2015-16 Batch: 2015-16 ves pe Subject: Financial Planning and Portfolio Management ee ° Marks: 60 Qe aio © ‘Time: 2.00 pm tr00 pm Date: 13 July 2016 Duration: 2 Hrs Re-Examination Instruction: Candidates should read carefully the instructions printed on the question paper and on the cover of the Answer Book, which is provided for their use. NB: 1) Question No. 1 is compulsory. 2) Out of remaining questions, attempt any 4 questions. 3) Inall 5 questions to be attempted, 4) All questions carry equal marks. 5) Answer to each new question to be started on a fresh page. 6) Figures in brackets on the right hand side indicate full marks. 7) Assume Suitable data if necessary 1, Buy and hold strategy will certainly not be the right choice in a economic meltdown environment’ Support in favor of this statement. (12) 2. Distinguish between the Security Market Line(SML) and Capital Market Line(CML) (12) Write a short note on any three. (43-12) 3 a. Active Portfolio. b. — Constant-dotlar plan ©. Constant-ratio plan d.— Jensen’s measure 4. The current value of Nifty is 6400 and the annualized dividend yield on the index is 3%. ‘The Risk free rate of interest is 10% p.a. The multiple of each contract is $0. Calculate the fair price of 3 months index futures contract assuming that: a) 25% stocks of the index will pay dividend during the3 month period. b) 50% stocks of the index will pay dividend during the3 month period. ©) Alll the stocks of the index will pay dividend during the3 month period. Yan (12)Sa. An investor has 20Lakh to invest. He decides the value of Aggressive portfolio should be 10L. He purchases 50000 shares of a company @ Rs 20. He wants to rebalance the portfolio every time the value of aggressive portfolio moves up or down by 20%, After rebalancing he wants to maintain the value of aggressive portfolio equal to 10Lakh. Find the loss or gain on formula portfolio if market price moves as 22, 24, 23, 20 & 19.20 © Sb. Consider the following information relating to three portfolio, A B and C. © Portfolio Return (%) Beta 1 Beta A 23.25 175 175 B )15 1.00 1.00 ic [20 1.25 1.25 The two factor arbitrage pricing model is given to be E(r)=4+6B|+5B2, From this information determine whether arbitrage profit opportunities exist and if yes, how they can be exploited. * 6. _ Please help Mr. David in constructing an optimum portfolio if the expected market return is 13.5%, market variance is 10% and risk free rate of return is 5%. With the help of given information. ~ (12) Security Expected Return Beta Unsystematic Risk 1 19 1.0 20 2 23, 15 30 3 u 03 10 4 25 2.0 40 5 13 1.0 20 6 9 05 50 a 14 115 130