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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?