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December 21, 2011
Que. 1 _________ measures the extra return earned on a scheme on a risk adjusted beta. (a) Alpha (b) Beta (c) Theta (d) Gamma Que. 2 _____________ refers to the annual recurring costs as a percentage of the net assets of the scheme. (a) Rate of Return (b) Expense ratio (c) Gross dividend yield (d) Standard deviation Que. 3 The market price of a ______________ scheme tends to be lower than its NAV. (a) Diversified (b) Open ended (c) Close ended (d) Balanced Que.4 A mutual fund scheme can not make any investment in the listed securities of group companies of the sponsor in excess of _________ of the net asset. (a) 30% (b) 15% (c) 25 % (d) 10% Que. 5 ______________ fund try to seek out fundamentally sound companies whose shares are currently under priced in the market. (a) Balanced (b) Growth (c) Value (d) Gilt Que.6 Nifty 50 is a stock index of NSE consists of ______ sectors of the economy (a) 22 (b) 23 (c) 24 (d) 25 Que. 7 ____________ is a hybrid of a close ended index fund and an open ended index fund. (a) Exchange traded fund (b) Hedge fund (c) Gold index fund (d) None of the above
Security Analysis & Portfolio Management 1 MF0010
such as Latin America. Anil Dhirubhai Ambani Group ( ADAG ) is _____ of the mutual fund.10 Bottom up approach is also known as ________ (a) EIC analysis (b) CIE analysis (c) Bottom up approach (d) ICT analysis Que. Europe or Asia. (a) Negotiable certificates of deposits (b) Commercial paper (c) Call money (d) treasury bill Que. 14 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 movement Que. bond risk premium and the term structure of interest rate.9 Which of the following statement is not true (a) Capital market is a market in equity and long term debts (b) Money market provide investors a place for parking surplus funds for long term duration (c) An auction market is one in which investors trade directly with each other (d) A primary market is one in which a borrower issues new securities in exchange for cash from an investor Que.8 ______________ is short term unsecured promissory note issued by a company to raise short term cash.Que. industrial production. (a) Regional (b) Country (c) ADR (d) Domestic Que. (a) Custodian (b) AMC (c) Trustee (d) Sponsor Que. 13 A ______________ fund is a mutual fund that confines itself to investments in securities from a specified geographical area. 12 When investments made in the country by foreigners is more than the investment in foreign countries made by local players it is known as ____________ (a) Capital account deficit (b) Current account deficit (c) current account surplus (d) capital account surplus Que. Security Analysis & Portfolio Management 2 MF0010 . 11 In Reliance mutual fund.15 ____________ model predicts a security’s return based on unexpected changes in economic factors such as inflation.
(a) (b) (c) (d) CAPM Sharpe Markowitz APT Que. (a) Downtrend (b) Uptrend (c) Previous trend (d) Resistance Que. 22 Which version of the EMT states that past price information is not useful to find out today’s stock price? (a) Strong form (b) Semi strong form (c) Weak form (d) None of these Security Analysis & Portfolio Management 3 MF0010 . 16 After experiencing a gain. 17 ____________ is characterized by higher tops and higher bottoms. 21 According to ___________ theory any new information is revealed about a firm. people are willing to take more risk. (a) CAPM (b) EMH (c) APT (d) Random Walk Theory Que. This refers to ___________ . market anomalies are a consequence of ______________ (a) investors' errors in information processing (b) investors' errors in decision making (c) both A and B (d) none of the above Que. (a) Herd instinct (b) Snake bite effect (c) overconfidence (d) House money effect Que. 18 Inverse head and shoulder is a chart pattern that gives a single of reversal of _________. 19 According to technical analysis. 20 RSI means ___________ (a) Relative stochastic indicator (b) Relative stock indicator (c) Relative stock index (d) Relative strength index Que. it will be incorporated into share price rapidly and rationally. (a) Uptrend (b) Downtrend (c) Sideways trend (d) Horizontal trend Que.
return requirements and taxes (d) investment horizon. (a) underpriced or overpriced securities (b) financial intermediaries (c) commissions or other transaction costs (d) taxes Que. 29 In an efficient financial market. regulatory constraints and taxes (b) investment horizon. (c) No profit no loss because you don’t owned the stock (d) None of the above.90 per share. liquidity requirements and risk tolerance Que. (c) Liquidity risk is the possibility that borrowers repay the debt ahead of schedule. (a) risk tolerance. Que. Which of the following statement is true ? (a) You have profit of Rs. 26 To immunize a bond portfolio against interest rate risk the investor invests in a bond portfolio whose _________ is equal to his investment horizon. there would not be any ________________. 25 _________is the rate earned by an investor who purchases a bond and holds it till its maturity. 24 You sold short ABC stock at Rs.Que. (d) Diversification reduces risk by spreading the portfolio across many investment Que. 30 According to __________ model investors should select portfolios and not individual securities. (a) YTM (b) CTM (c) DTH (d) ATM Que.70.20 per share (b) You have loss of Rs. 23 Common types of constraints which individual investors should consider in order to establish an investment policy include ____________. liquidity requirements and taxes (c) risk tolerance.27 Which of the following is not true regarding the risk of portfolio.20 per share. the interactive risk will be _________. (a) Risk is associated with the uncertainty of an investment’s performance. (a) drops out (b) more (c) small (d) negative Que. (b) The measure of risk emphasizes the extent of variability and volatility. The current market price of the stock is Rs. (a) Markowitz (b) Single index model (c) CAPM Security Analysis & Portfolio Management 4 MF0010 . 28 If two securities have low correlation. (a) YTM (b) duration (c) Modified duration (d) maturity Que.
(c) Inflation risk. (b) Exchange rate risk. (a) Markowitz (b) Sharpe (c) Tobin (d) Treyner Que. 31 ___________was first to prove that imperfect correlation between securities in the portfolio is the key reason why diversification reduces portfolio risk. (a) SML (b) CML (c) CAPM (d) IML Que. 37 ___________ risk can be measured using beta of the security. 35 The concept of leverage in Markowitz model was developed by __________ . 34 The __________ line plots absolute returns versus risk that begins at the point of the risk free asset and extends to its point of tangency with the efficient frontier for risky assets. (a) APT (b) CAPM (c) EMT (d) RWT Que. 36 ____________ model decomposes a portfolio risk into systematic and unsystematic risk. (a) Inflation (b) Prepayment (c) Credit (d) Liquidity Que. 38 APT theory was given by ________ (a) Willium Sharpe Security Analysis & Portfolio Management 5 MF0010 . (a) Markowitz (b) Sharpe (c) Tobin (d) Treyner Que. 33 Which of the following risks does a Indian company face as a direct consequence of operating in a global environment? (a) Political risk.(d) EMH Que. (d) Both A & B Que. (a) Unsystematic (b) Systematic (c) Specific (d) unique Que. 32 _________ risk is the possibility that a company that issues bonds is unable to make the contractual payment.
economic and social events (c) lack of liquidity (d) none of these Que. 39 In single factor model εi indicates __________ . (a) risk factor component (b) return (c) idiosyncratic return component (d) error Que.(b) Treyner (c) Linter (d) Stephen Ross Que. * Return can be described by a factor model * There are no arbitrage opportunities. 45 _______________ leads all investors to invest in the tangency portfolio ( M portfolio ) which is the ideal investment decision. 40 The prospects theory was propounded by _________ . Security Analysis & Portfolio Management 6 MF0010 . (a) 0. (a) Regional fund (b) Contra fund (c) Single country fund (d) MSCI Que. (a) Changes in currency exchange rates (b) political. 44 Following are assumptions of ____________ model. (a) CAPM (b) EMH (c) APT (d) Random walk theory Que.0075 (d) 0. 43 If the factor sensitivities of two securities are 3 and 5 respectively.B (2 marks each) Que.0005 then calculate the covariance between the two securities. (a) James Tobin (b) Fama (c) Miller (d) Kahneman & Tversky Section .41 Which of the following is not one of the risk involved in international investing.0025 (b) 0. * There are large numbers of securities that permit the formation of portfolios that diversify the firm specific risk of individual stocks.0023 (c) 0.0095 Que.42 _______________ fund is a mutual fund that restricts its investment to the assets of one country and is able to allocate its funds only within the range of investment opportunities that are available in the specified country. and if the variance of factor is 0.
58%. the interactive risk drops out. Rf = 3% and risk premium = 8% (a) 33% (b) 13% (c) 23% (d) 24% Que.0024. weak (c) public.0856 (c) --0. the interactive risk will be high (b) If two securities are uncorrelated. then the market cannot be _____ form efficient. (a) public. (c) If two securities are positively correlated. Que.856 Security Analysis & Portfolio Management 7 MF0010 . and theoretically is the same portfolio for all investors (c) a combination of the risk-free asset and the optimal risky portfolio. interactive risk would be negative and would reduce total risk.(a) (b) (c) (d) CML SML LML PML Que. (d) Total risk of portfolio depends on risk of security A and security B only. and is dependent on each investor's risk aversion Que. semi-strong Que.25. 49 Which of the following is not true? (a) Preference share pays regular dividend and is favoured by investors who want income foremost from their stocks. (a) also called the optimal risky portfolio (b) a combination of the risk-free asset and the minimum variance portfolio.46% and the standard deviation of the rate of return for Stock B is 10. and theoretically is the same portfolio for all investors (d) a combination of the risk-free asset and the optimal risky portfolio.02886 (d) –0. semi-strong (b) private. The covariance of the returns on Stock A and Stock B is –0. (b) A zero coupon bond’s duration is equal to its maturity. Que. 47 The complete portfolio is ____________. 46 Calculate expected return on an asset whose beta = 1. weak (d) private. 48 If you can use _____ information to earn abnormal returns consistently. (d) A technical analyst uses various indicators to predict the stock prices in very short time period. (c) To immune a bond portfolio against interest rate risk the investor invests in a bond portfolio whose YTM is equal to his investment horizon.6556 (b) –0. What is the correlation coefficient between the returns on Stock A and Stock B? (a) –0. 51 The standard deviation of the rate of return for Stock A is 3. 50 Which of the following is true ? (a) If two securities have low correlation.
000 in Tisco and Rs. 58 Which of the following statements is correct? (a) To test the strong form of EMH autocorrelation tests and filter rule are used.40.10. (a) 8. but the dividends are expected to increase by 10% annually. 59 The fundamental test between fundamental and technical analysis is in which does the better job of ____________ (a) consistently predicting security prices and returns (b) producing elegant theoretical models Security Analysis & Portfolio Management 8 MF0010 .000 in RNRL. (b) To test the semi strong form of EMH event studies are used. Que. 56 Financial intermediaries which pool and manage the money of many investors are called ___________ .980. 57 Suppose that weather predictions published in a periodical could be used successfully to predict future prices of certain securities. (d) According to strong form of the EMH technical analysis is useless Que. Pays Rs. The returns from RIL = 10 % . 53 A bond which gives the bondholder the option to exchange the bond for common stock prior to maturity is a ______________. Tisco = 20 % and RNRL = --10 %.250 (b) Rs. (a) financial engineers (b) investment bankers (c) investment companies (d) credit unions Que. (a) Callable bond (b) floating rate bond (c) putable bond (d) convertible bond Que.20% (d) 11.50. This would provide evidence against the: (a) weak form of the EMT (b) semi-strong form of the EMT.42% Que.400 (d) None of these Que. What is the overall return from this portfolio ? (a) 22% (b) 15% (c) 13% (d) None of these Que. 55 What is the current yield of a bond having 10% coupon rate and price is Rs. What should the stock sell for today ? (a) Rs. 52 An investor invests Rs.000 in RIL.5 dividend at t=1 and the discount rate is 12%. (c) strong form of the EMT (d) This finding does not provide evidence against any form of the EMT. Rs.42% (b) 9.230 (c) Rs.Que. (c) According to weak form of the EMH fundamental analysis is useless. 54 Nirma Ltd.42% (c) 10.
Evaluate the performance of portfolio 5. Construct a portfolio (a) 12345 (b) 34512 (c) 31524 (d) 12453 Que.(c) making use of modern and up-to-date empirical techniques (d) winning the practitioners. 65 Which of the following statements is true? (I. 1. there are no mispriced assets Security Analysis & Portfolio Management 9 MF0010 . 61 Correct the order of investment process. 60 Which of the following is a characteristic of the consolidation stage of the industry life cycle? (a) Emergence of industry leaders (b) Slow growth (c) Many competitors (d) New technology Section . Set investment policy 4. 62 _________ are agreements involving the sale of securities by one party to another with a promise to repurchase the securities at a specified date and time (a) Commercial paper (b) Call option (c) Treasury bills (d) Repurchase agreements Que. 64 Which of the following is not a case where moving-average analysis indicated a buy recommendation? (a) the moving-average line becomes more horizontal and the price rises up through the line (b) a temporary price rise through a downward sloping moving-average line (c) a temporary price drop through an upward sloping moving-average line (d) a price remaining above the moving-average line drops and then rebounds Que. 63 Which is not true about the fundamental analysis (a) Fundamental analysis is a security valuation method that uses financial and economic analysis to evaluate businesses (b) Fundamental analysis is used to determine the fair or intrinsic value of securities (c) Fundamental analysis is based on the assumption that in the long run the market price of a security can differ from its intrinsic value.) In a strong form efficient market. that is selling their services to investors Que. (d) The end goal of fundamental analysis is to produce a fair value of security Que. Perform security analysis 2. Revise the portfolio 3.C (4 marks each) Que.
all information is equally available to all investors.0097 Que. 69 Which of the following is not one of the assumptions of CAPM? (a) Investors are risk averse and they have same holding period.(II) In a strong form efficient market. (d) Information is not freely and instantly available to all investors. (c) There are no transaction cost and no taxes to be paid.00% (c)3. For stock – A β = 1.5% (d)4. 66 A security analyst has following data of probability distribution of the possible return on Infosys. 68 The value of beta does not depend on ___________ (a) Numbers of observations used (b) Specific time period used (c) Market index used (d) Return on stock Que. (a) 10% (b) 11% (c) 12% (d) 13% Que.2 and –0.8 & σ ε = 4. (a) I only (b) Neither I or II (c) Both I and II (d) II only Que.9%.4 10% 0.06% For stock – B β = 0. 70 If GDP grows by 2.76% σ m = 8 % ( Standard deviation of market return ) (a) 0.5% Que.0021 (c) 0.5 14% 0. then find the expected return according to the factor model.00036 (b) 0. Que. (b) Markets are assumed to be perfectly competitive. Find the standard deviation of the stock. 71 Match the following.0079 (d) 0.7 respectively.1 20% (a)3.8%. and ai = 5. inflation by 3% and factor sensitivities of the security to GDP and inflation are 2.2 & σ ε = 6. Index (1) FTSE (2) DAX (3) CAC (4) BOVESPA Security Analysis & Portfolio Management Country (a) German (b) France (c) Brazil (d) Germany 10 MF0010 . Probability Return 0. 67 Calculate the variance of a portfolio consisting of 2 stocks A & B in equal proportion.00% (b)4.
98. The company had declared a dividend @ 40 % for the year 2006-2007. YTM is 12%.19% (d) None of these Que. 2-c. The market price of a share as on 1.128.4. 75 Mr.1036.2006 was Rs.05 years Que. X wants to buy 13%.92% (b) 29.3. 4-d 1-e. 73 Mr. Que. 4-c 1-a. The interest rate offered by the company is 9% & the bond has a maturity period of 20 years. 5 year bond that sell for Rs.100.72 Which of the following statements is true about derivative securities? (a) Derivatives are frequently used to hedge risks. 74 A company issues a bond with a face value Rs.2007 was Rs. 4-c (e) England Que. What is YTM? (a) 12. (c) Since the buyers of derivatives use these securities to hedge risks.10 each of TVS ltd. 2-a. What is duration of the bond ? (a) 3. 2-a.104 and on 31. 2-b.99 years (c) 3.(a) (b) (c) (d) 1-a. (d) All of the above statements about derivatives are true. (b) The term "derivatives" stems from the fact that related securities derive their value from options and futures contracts. 3-e. only sellers of derivatives take speculative positions in the underlying assets. It is currently trading at Rs.95% (b) 10. 3-b.90 years (d) 4.78 per share. In 2005 at Rs.89 years (b) 3.92% Security Analysis & Portfolio Management 11 MF0010 .92% (c) 21.92% (d) 26. (a) 36. 3-c. The annual return on the investment for the year 2006-2007 is ________.95% (c) 9. 4-e 1-e.X had purchased 100 shares of Rs. 3-b.
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