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SUBJECT CODE : MF0010 SUBJECT : Security Analysis and Portfolio Management

SECTION A 1. Investment in houses, land building, diamond are investments in ____________ a. Primary securities b. Derived Instruments c. Physical assets d. Non-Marketable Financial Asset

2. Primary Securities are ___________ a. Common and Preferred Stocks, Govt Bonds, Corporate Bonds, Treasury Bills. b. Mutual Funds, Put and Call Options, Futures & Forward Contracts c. House, Land, Buildings, Precious Stones d. Fixed Deposit with Banks

3. ______________ is a process by which investment portfolios are tried to match the performance of an index. a. Active portfolio management b. Passive portfolio management c. Security revision d. Benchmark index

4. Financial markets facilitate competition so that best price may be available to the investors. This activity is known as: a. Transfer price b. Price discovery c. Paralysis of analysis d. Price movements

5. Financial market is a market for creation and exchange of ___________ a. Real assets b. Derivatives c. Financial assets d. Physical and financial assets

Dependent on each other 8. Which type of risk represents the variations in GDP. Securities are selected based on fundamental analysis and technical analysis. The former focuses on: a. Business risk 9. Financial market is broadly classified into: a. Primary Market and Secondary Market b. A risk averse investor c. An indifferent investor d. A financial illiterate 10. Future cash flows of the issuer and growth potential d. b. Primary Market and Commodity Market 7. A risk seeking investor b. money supply. Risk and Return are: a. Not correlated d. interest rate structure? a. Which type of investor will choose investment that has lowest standard deviation for an equal rate of return? a. Inversely proportional c. Directly proportional b. government spending. Financial data and future cash flows. Primary Market and Money Market c. Primary Market and Derivative Market d. Interest rate risk b. Financial data of the issuer of the security c. Historical price of the security and the volume information. Inflation risk d.6. . Market risk c.

Capital account surplus d. Economic factors and company's risk c. The red colour is used when the: a.11. The assumption' The market discounts everything ' denotes that at any given point of time security's price incorporates: a. Support level c. Moderate risk b. Intrinsic value < Market price c. Which of the following leads to a situation when a country receives less international inflows than the investment made by residents of the country in foreign countries? a. closing price is equal to lowest price d. the candles are shaded with blue/green and red colour. Current account deficit c. The firm's security is considered as overvalued if its: a. Market psychology and volumes 14. Resistance level b. A situation where a falling price can be expected to halt is known as _______ a. opening price is higher that closing price c. None 12. Intrinsic value > Market price b. High risk . Intermediate 16. opening price is equal to lowest price 15. In candlestick chart. Intrinsic value = Market price d. Economic factors. closing price is higher than opening price b. fundamentals and market psychology b. In an efficient market the only way an investor can get higher returns is by taking on __________________ a. Primary d. Company's risk and Industry life cycle d. Capital account deficit 13. Current account surplus b.

House-money effect b. Aversion to ambiguity d. None 19. Previous price d. subsequent price change represents random deviations from ______ a. To give correct signals to company managers d. people are less inclined to take risk. Overconfidence b. Aversion to ambiguity 20. Representativeness d. In random walk. Future price c. Low risk d. This refers to: a. Which of the following refers to the tendency to form judgments based on stereotypes? a. To encourage speculative trading b. This refers to: a. Representativeness c. Innumeracy b. The financial markets are efficient for 3 reasons: choose the odd man out: a.c. Anchoring c. No risk at all. Trying to break even effect d. After incurring a loss. To encourage share buying c. 17. Emotional time line . To help allocate resources 18. People become more cautious. People are unable to know the difference between nominal and real changes that takes place in purchasing power. Overconfidence 21. Snake -bite effect c. Current price b.

0 . The expected return on a portfolio is a.00% c. c. Annual interest / Aug of current & market price d. Current yield a. -1.0 b. The range of correlation coefficient is. Government policies & the stage of the firm in the industry 26.0 ≤ ρ1. Annual interest / current price b.0 < ρ1. Duration of the bond 24.24% 23.35 what is its current yield? a. Annual interest / face value c. Geometric mean of the return of the security included is the prof. -1. a. 100 and a coupon rate of 8%.0 c. YTM b. Collective wisdom c.2 ≤ 1. YTM 25. 8. 7. YTC d. Value of the bond c. A bond maturing after 5 years from now has a par value of Rs. Individual risk aversion characteristics b. -1. Arithmetic average of the return of the securities includes in the portfolio b.22. 104. The exact trade off between risk and reward differs across investors is due to. a. Weighted risk of the security held in the portfolio 27. 6. a. Weighted return of the security held in the portfolio d.2 < 1. It represents the length of time that elapses before the average rupee of present value from the bond is received.94% d.67% b.2 > 1. If the current market price of the bond is Rs.0 ≤ ρ1. 6. Market trend & new information d.

All assets b. Portfolio diversification c. Total risk d. Government securities 32. Efficient frontier d. Efficient set b. Portfolio T 31. Tangency portfolio 30. _____________represents the trade-off between risk and expected return faced by an investor when fixing his portfolio. Portfolio set b.0 ≤ ρ1. Risky asset d. -1. a. Risky portfolio d. Attainable set 29. None 33. Portfolio L d.0 28. r1 = α1 + βi r M + ϵ I where ϵ I is a. Leveraged portfolio c. Unsystematic risk b.2 ≥ 1. CAPM evaluates the pricing of: a. Tobin's super-efficient portfolio is a. Risk free asset c. The subset of attainable set is known as. Slope term . Intercept term b.d. Portfolio F c. a. Individual stock's return is measured by the formula. Systematic risk c. Portfolio X b. The risk that exist in the market portfolio that cannot be eliminated by future diversification is a.

a. Under one factor model . Depository receipts (DRs) are negotiable securities that generally represent a publicly traded equity or debt of a. _____________ is a risk management tool a. Covariance 36. ri = ai + bi F b. Leverage buyout d. Portfolio risk 35. ri = ai + bi F + ϵi d. ri = bi F + ϵi c. Return on market index d. local company’s securities b. Various factors c. Variance d. ri = αi + bi F + ϵi 37. Restructuring b. Foreign company's securities c. Variance of return on the market index b. In single index model total risk of an individual stock is σ12 = βi2 σm2 + σϵi 2 where σϵi2 is a. Capital infusion . Random error term 34. Market risk of the stock c. Factor model or index model assumes that the return on a security is sensitive to the movement of. 38.c. One factor (Market index return) b. a. Diversification c. Government companies. Local & foreign company's securities d. the return on a security ri is given by a. Unique risk of the stock d.

Who holds the fund's securities in safe custody. The corporation receives funds from the buyers of new securities. Money market deals with ___________ a. Security selection c. Hedge fund c. b. Junk bonds SECTION B 41. Physical assets d. The major difference between Primary & Secondary market is that in Primary market: a. Fundamental analysis 43. Price discovery is possible 44. In a portfolio investment. Commercial papers & Fixed deposits . Custodian c. a. Asset allocation d. Bonds c. Distributors / agents 40. Liquidity is high d. ______________ is not included as the asset category. The corporation does not receive funds from the buyers of these securities c. T-Bills. exchange traded fund d. T-Bills. settles securities transactions for the fund? a. Security analysis b.39. The functioning of which type of fund doesn't involve much regulations a. Stocks b. Commercial papers & Certificate of Deposits b. Sponsor b. Cash 42. Examining and identifying individual securities within a broad categories of financial assets is known as ________________ a. Mutual fund b. Asset Management Company d.

0 c. T-Bills. Commercial papers and commodity trading 45. a. The surplus BOP leads to ________ a.67 d. A weak stock in a strong industry is better than: a. BOP reflects a country's international monetary transactions for a specific period of time. Capital allocation line 47. 95 percent of the area lies within ___________ standard deviation of the expected value. Stocks and Bonds of corporates d.0 46.c. Risk taker d.1. Market psychology c. A strong stock in a weak industry c. Irrational behaviour of the market participants d. Rupee gaining stability d. +/. Rupee appreciation b. +/. Efficient frontier b. A weak stock in a well-diversified industry b. T-Bills. More cash outflows 49. The straight line in the Investment opportunity set graph denotes: a. Rupee depreciation c.3. Herd mentality b.1. +/0. In the normal distribution curve. Insider Trading . +/. A weak stock in a sunrise industry d. Risk averter c.96 b. _________ denotes the repetitive nature of price movements a. A strong stock in a sunrise industry 48.

Orderly 4. 997 c.15 54. Inverse head and shoulder is a chart pattern that gives a signal of reversal of ________ a. rational 2. 2. Stake pricing b. 1000 b. Two securities are negatively correlated . Find the value of the bond? a. Two securities are positively correlated d. a. a. Under pricing d. The efficient market hypothesis assumes that investors are : 1. Two securities are un correlated c. 1.3 and 4 d. 2 and 4 53. Resistance level and support level 51. Two securities are low correlation b. The interactive risk is negative when. Over pricing 52. The total risk could be reduced if the interactive risk is negative. Previous trend d. 1000 carrying a coupon rate 9% for a stated life of 8 years. 1000. Downward trend b. irrational 3.3 and 4 b. Tidy a. Consider a bond having a face value of Rs. Accurate pricing c. An efficient financial market aims at encouraging investors to buy shares through the process of . 999 d.50. Upward trend c. 1 and 3 c.

Consider a stock which has rm = 15%. Government policies c. Medium volatility c. 21. lowest co-efficient of correlation 56. balanced scheme b.75% d. 18. Inflation d.55. 21% c. a. Currency stability b. Hybrid scheme is also known as: a. r (return) 57. α1 = 3% and β = 1. σij2 = bi by σF2 59. select the stock that less a. a. α (constant term) b. For a given level of expected return. σi2 = bi2 σ2F + σϵI c. The variance of any security in the single factor model is equal to. β (Beta co-efficient) c. 21. Debt scheme . Highest volatility b. σij = bi by σF2 d.57% 58. CAPM states that expected return on an asset is related to its systematic risk & it is denoted by . ϵ (error item) d.75% b. Exchange rate risk are usually offset by a. External factors 60. σi2 = bi2 σ2F + σϵi2 b.25% the expected return on the stock a a. Lowest volatility d.

1e. 1d. repurchase agreement 2. Sectorial scheme SECTION C 61. 2e. Treasury Bills. Financial institutions a. 4a. 1b. 3a. Index scheme d. R6 = 15%. call money. 3e. Timing. 4a.2 %. Continuous process a. 2d. f. Selectivity . R5 = 12 %. 5c c. 5f 62. Selectivity. Match the following 1. 2d. 3a. Portfolio construction involves 4. a. 3e. 1e. 4f. Stock Index e. A stock earns the following returns over a five year period: R1 = 10 %. 2c. 12. Portfolio Performance evaluation a. Stocks. 4c 63. 2d. Performing security analysis 3. R3= 24 %. Portfolio Revision 5. Setting investment policy 2. R2 = 16%. 1b. 5c d. 3a. 3a.c. Options forwards and futures 4. 2c. Capital market instruments a.67 . 1d. Derivative instruments b. 3d. 3e. R4 = . Risk -return analysis d. 5f b. Match the following 1. 4c b. Identify mispriced assets e. 2e. Commercial Banks.5% and 8. Calculate the expected return and the standard deviation of the stock. 4c d. Bonds 3. Financial Intermediaries d. 4c c. 1b. 1b. Money market instruments c. 2d. Timing & Diversification b. 4f. Asset allocation decision c.

3e. Strong form of market efficient 2.4a b.3b. 1c.3b. 1b.4d c.57 d. Imports > Exports c. Leading indicator 3. Match the following 1. 1b. Breadth of the market 66.Decline line 2.3b.2a.4c b.5% and 8.2d. Data Points 4.3b. Weak form of market efficient 3. Exports > Imports d. Advance . Lagging indicators 4.57 c. 12. Defensive stock a.2c.4a d. Reflect past price. 12. 1c. Predict the near term activity of economy e.2a. Market Psychology d.2d. Match The Following 1.4a c. Stock price behave randomly a.3e.5% and 8. 1d. Fill in the blanks 1. Zero NPV d. Public. Tend to follow economic performance a. volume b. Short interest ratio 3.87 64. Semi strong form of market efficiency 4. Price reflect all available information c.3d. Technical Indicator c. 1b. current account surplus 2.b.4a d. 1c.4a 65.5% and 8. Repetitive nature of price movements a. Sentiment Indicator b.4d a.2a.2e.2e. private . Pharmaceutical sector b.3d. 10. 1d.

e.3a. 4d d.33. Utility function . Heuristic driven d. Representativeness 2. 1d. convex b. 2e.05 years 69. 3e.4c c. 1c. Frame dependent c. Investor's behaviour a.2a.3a. 3. 3. 1c. 27 b. 24 d. 4d 67. 3e. What is the bond's duration? a.4b b.2a. .2d. 1036. 1c. Match the following 1.33. 4c b. 25 . 3e. Mr. 1a. Utility function -loss 3. 15 9 3 Security Y 16 10 4 .99 years d. 3.3d.3d. All public available information a. 3a.4c a. 4b c.33. 1b.89 years b. which represents 12% YTM.90 years c. 2a.2d. 1d.4b d.gain 4. Calculate the covariance between security X and security Y Mark condition Probabity Possible Return in % Security X Boom Moderate Recession a. 2a. 1c. concave 68. If interest is paid annually. 2b. 23 c. Anupam plan to buy 13% 5 year bond that sell for Rs. . 4.

70. Two-period horizon c.4e 71. For a given level of standard of the deviation. Subset of attainable set a. Homogeneous expectations b.4b b.3b. Portfolio selection .4b d.2d. 1c. Optimal Portfolio c.3e. all are unrealistic b.2a. Not linear e. There is known as a. a. all are realistic c.3e. Investors are considered to be a homogeneous group. 1c. 1c. Time period Horizon c. the risk of portfolio is a.4e c. Proportion of the risk free asset & tangency portfolio d. Due to scarcity of resources 2. Investors need to determine the portfolio risky of asset their portfolio & the next step is to leverage or deleverage the tangency portfolio. Match the following 1. Through the risk free asset & the tangency portfolio is the same for all investors . All the assumptions of CAPM are clearly unrealistic. One-period horizon b.2d. They have the same a. irrelevant c. What matters is . Linear b. select the one which has . 1c. According to Markowitz. False. Efficient Set d. Availability of information d.2a. Three-period horizon d. Four-period horizon b.-highest expected return -3. a. Some of the assumption are unrealistic d. True. a. All economic decisions involve trade off 4.3b.

and Z with the following betas and standard deviation of random error term. and Z with the following betas and standard deviation of random error term. Y . Consider 3 securities X . Y . .90 σϵ = 4. Portfolio construction c. .90 σϵ = 4.b. a.25 σϵ = 5.01001 b.015202 b.01009 c. .25% The standard deviation of market return is 9 % what is the total risk of Y a.25 σϵ = 5. .015302 b.015206 c.05% Y : β = 0.00 σϵ = 5. .95% Z : β = 1. Portfolio evaluation d.00909 d. Y .90 σϵ = 4.95% Z : β = 1. . X : β = 1.95% Z : β = 1. Consider 3 securities X .05% Y : β = 0.015306 d. X : β = 1. .05% Y : β = 0.25% The standard deviation of market return is 9 % what is the total risk of Z .25 σϵ = 5. Portfolio revision 72. Consider 3 securities X .00 σϵ = 5.00901 c. X : β = 1.25% The standard deviation of market return is 9 % What is the total risk of X a. and Z with the following betas and standard deviation of random error term. .00 σϵ = 5.

.002750 d.Y. X : β = 1. Y . 2c. .. . what is the variance and the standard deviation of the security? a.25 σϵ = 5.007252 & 7.0101 d. . and Z with the following betas and standard deviation of random error term.0004 and 0.002550 b. Match the following: 1.007750 73.007252 & 8. the factor sensitivities of a security to the two factors bi1 and bi2 are 2. The CAPM 2.14% b. 1d.0025. .005099 & 7. . Diversification a. if the variance of the factors σF12 and σF22 are 0. In a two factor model. .2 and -1. GDRs a.0005 respectively the variance of the random error term σϵi2 is equal to 0.5 respectively and the covariance between the two factors is 0. Risk of an asset consist of systematic and .2d. .25% The standard deviation of market return is 9 % What is the total unique risk ofX.0090 d.05% Y : β = 0.Consider 3 securities X . Depository Receipt b. Systematic Risk 3. ………… ………………………………………unsystematic risk 4. 1c.95% Z : β = 1. is due to market wide influence.00007. .4b b.Z a.4a d. 3a.41% c. . .3b.52% d.01086 b.90 σϵ = 4. .005099 & 7.41% 74.002450 c. . Risk Management Tool c.00 σϵ = 5.01068 c.a.

2c. No term loan shall be granted to a mutual fund scheme 2. State true or false 1. 3a. 1T. 4a d.4T c.3b.2F. 1T.3F.2F. 1F.2T.c. 1c.4T .2F. 1F.4T b.3T. A mutual fund scheme shall not invest more than 20% percent of its NAV in debt instruments 3. A mutual fund scheme shall not make any investment in any unlisted security of an associate or group companies 4. 1d.3F.3T. 2d. A cheme may invest in ADRs/GDRs of Indian companies listed on overseas stock exchange upto a limit prescribed by the exchange a.4T d.4b 75.

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