IES’s Management College and Research Centre, Mumbai

(FINAL EXAMINATION)

Date : 24/09/2021 Day: Friday Time: 11.00 am. To 01.30 pm Duration: 2 ½ Hrs

Course: PGDM Term: IV Course: Security Analysis and Max. Marks: 60

Portfolio Management
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Instructions: 1) Attempt any two from Question no 1 to 3
3) Attempt any two from Question no 4 to 6
4) Attempt any two from Question no 7 to 9
5)Student can write analysis of excel base question in respective Excel answer sheet.
6) Answer of question number 2B, 2C ,3,6A and 8A need to write in answer booklet

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Q. Content i.e. (Questions) (Marks) Co
No.
Q.1 Use the daily closing price of Axis bank Limited Ltd. For the period of 1st 10M C03
March 2020 through 1st September 2021 (Excel data- Q1) to calculate
Relative Strength Index (RSI) and Rate of change (ROC) where n=5 days.
Calculate RSI and plot ROC graph and determine buy and selling
opportunity of stock.

Calculate the market breadth of the given indices (Excel data – Q 2A) and 6M CO3
analyze the movement of the indices
Q.2A

Q.2B Explain any four technical market indicators 4M CO3

Q.3 Identify any 5-chart pattern and explain stock movement using charts 10M CO3
given in the Annexure-1.

Q.4 Calculate, Ranked and analyze given AMC scheme’s data (Excel – Q.4), 10M CO2
with help of following portfolio performance indicator ratio:
1.Risk and Reward Ratio
2.Selectivity Ratio
3.Information Ratio

Where Risk free rate is 0.15%

Q.5 Construct and comment a minimum variance portfolio using solver in MS 6M CO2
A Excel considering monthly average data. Use data (Excel-5A) to generate
minimum variance portfolio.

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Q.5B For above data if investor’s want maximum return at investor’s preferred 4M CO2
level of risk. Which securities and at what proportion analyst should
select?

Q.6A Explain the different forms of the market 4M CO2

Q.6B If the given different types of information reflect quicky and fully in 6M CO2
security prices. Explain the form of market efficiency indicated by each
information.
a. Avaibility of Companies market data- Trading Volume, High and
low of stock prices.
b. A confidential board meeting to discuss about FPO
c. An investment companies published report on the prospects of a
company
Q.7 Super Cement Industries has just paid a dividend for Rs. 4 per share. The
A dividend is expected to grow at a constant rate of 7% indefinitely. The beta
of the stock is 1, the risk-free rate is 6% and market risk premium is 9%.

1. Calculate the intrinsic value of stock 2M

2. What will be the intrinsic value of stock if its beta is 1.3? Explain 2M
change the value of beta and its impact on intrinsic value of share.

Q.7B Consider the given information to answer the questions given below, risk
free rate of return is 5%.
a. Which is better stock to buy? 2M
b. Calculate the required rate of return of a project with expected beta 2M
of 1.2, if the risk-free rate return is 7% and expected return of
market is 15%
c. If the IRR of the above referred project is 20% 2M

Estimated Return Beta

(%) CO1
Market 11 1
Jaipuriya Stock 15 1.2
Vardhman 17 1.5
Industries
Q.8A Write a short note on following (Any two) 4M CO1
1.Optimal portfolio
2.Assumption of CAPM
3. Difference between technical and fundamental analysis

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Q.8B Manisha bond portfolio manager advises her to buy 8 years, Rs. 10,000 6M CO1
face value bond. Bond that gives 8 % annual coupon payments. The
appropriate discount rate is 9% the bond is currently selling at Rs. 9700.
Should Manisha adhere to the manger’s advice?

Q.9 A portfolio manager is considering 3 portfolios for his client. The first is a
midcap stock portfolio, the second is a long-term government and
corporate bond portfolio, and the third is a risk -free asset portfolio.
Comprising t- bills that yield a rate of 6.5%. The risk -return CO1
characteristics of risky portfolio are:
Expected Return Standard Deviation
Stock Portfolio 15% 22%
Bond Portfolio 10% 8%
The correlation between the return of the two-risk portfolio is 0.10. 4M
1.Compute the weight of Bond and equity portfolio in the minimum-
variance portfolio formed by combining the two risky portfolios.

2.Tabualate and trace the investment opportunity set of the portfolio 2M

comprising the two risky portfolios by varying the investment proportions
for the stock portfolio from zero to 100% in increments of 20%
2M
3. Compute the weight of funds invested in T- bills and two risky
portfolios that together comprise the optimal risky portfolio. What is risk
associated with this optimal portfolio.

End

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