Internal Assessment Class Test

MBA Third Semester (2018-20) Batch

Subject: Security Analysis and Portfolio Management
Date: 06.11.2019 Time Allotted : 45 Mins Full Marks:20
_________________________________________________________________
(Answer any Two Questions)

Name: __________________________________ VU Roll No: ________________

1. Write short notes on: (2.5 X 4)

a) Alpha
b) Beta
c) Systematic Risk
d) Unsystematic Risk

2. (a) A portfolio consists 3 securities 1,2 ,3 . The proportions of these securities are : w 1
= .5, w2 = .3, and w3 = .2. The standard deviations of returns of these securities in
percentage terms are s.d 1=10, s.d 2=15, s.d 3=20. The co relation co efficient among
the securities are : p12 = 0.3, p13 =0.5 and p23 = 0.6. What is the risk of the portfolio?
(b) Explain Sharpe Ratio and Treynor Ratio
(6+2+2)

3. Security X has an expected rate of return of 5% and standard deviation of returns of

4%. Security Y has an expected return of 8%, and standard deviation of returns of
10%. Compute the expected return and risk for correlation r = -1, 0, +1 for the
following level of investment in Security X: 100%, 75%, 50%, 25% and 0%.
(10)