Directorate of Distance Education Q-7 The critical variable in the determination of the success of the active portfolio is ___.
A. Alpha/non-systematic risk B. Gamma/systematic risk
INTEGRAL UNIVERSITY – LUCKNOW C. Alpha/systematic risk D. Gamma/non-systematic risk Semester Examination – June 2018 SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT Q-8 If a portfolio manager consistently obtains a high Sharpe measure, the manager’s (Paper Code: MBA - 513) forecasting ability ___________. A. Is below average B. Is above average Course : MBA Semester : 3rd/4th B. Is average D. Does not exist Time Duration: 3 Hours Total Marks: 80 SECTION – A Q-9 The tracking error of an optimized portfolio can be expressed in terms of the ______ of the portfolio and thus reveal _________. Attempt All Ten (10) Questions. A. Relative return; benchmark risk B. beta; portfolio performance Each question is of Two (2) Marks. C. Beta; benchmark risk D. Total risk; portfolio performance Q-10 The Black-Litterman model is geared toward ________ while the Treynor-Black Q-1 Perfect timing ability is equivalent to having _________ on the market portfolio. model is geared toward _________. A. A futures contract B. A put option A. Security analysis; security analysis B. security analysis; asset allocation B. A commodities contract D. A call option C. Asset allocation; asset allocation D. None of these Q-2 To determine the optimal risky portfolio in the Treynor-Black Model, macroeconomic forecasts are used for the ___________ and composite forecasts are SECTION – B (SHORT ANSWERS) used for the _________. Attempt any Five (05) Questions. A. Passive index portfolio; active portfolio Each question is of Six (6) Marks. B. Active portfolio, passive index portfolio C. Expected return; standard deviation Q-1 What are the various forms of investment alternatives? Give a details account of any D. Expected return; beta coefficient five. Q-2 Describe the usefulness of market indices? How are they built? Q-3 Ideally, clients would like to invest with the portfolio manager who has Q-3 Who are stock brokers? What are their functions? A. A moderate personal risk aversion coefficient Q-4 What is listing? Why do companies get their shares listed on the stock exchange? B. A low personal risk aversion coefficient Q-5 Explain the structure and characteristics of stock exchanges in India. C. The highest Sharpe measure D. None of these Q-6 How would you assess the return of financial assets? Explain with illustrations. Q-4 A purely passive strategy Q-7 Distinguish between investment and speculation. A. Uses only index funds B. Uses only risk free assets C. Is best if there is “noise” in realized return SECTION – C (LONG ANSWERS) D. Is useless if abnormal returns are available Attempt any Three (03) Questions. Q-5 To improve future analyst forecasts using the statistical properties of past forecasts, a Each question is of Ten (10) Marks. regression model can be fitted to past forecasts. The intercept of the regression is a ________ coefficient, and the regression beta represents a _________ coefficient. Q-1 Define fundamental analysis. What is the importance of economic variables in such A. Bias, bias B. Bias, precision analysis? C. Precision, precision D. None of these Q-2 Discuss the assumptions and implications of earnings approach to equity valuation. Q-3 Discuss the term structure of the interest rate? How do theories explain the term Q-6 Active portfolio managers try to construct a risky portfolio with __________. structure of the interest rate? A. A higher Sharpe measure than a passive strategy Q-4 Why is the debt market an important segment of the capital market? Who are the B. A lower Sharpe measure than a passive strategy participants in the debt market? C. The same Sharpe measure as a passive strategy Q-5 Despite organisational and functional differences, primary and secondary markets are D. Very few securities closely interconnected.” Do you agree?