NMIMS APRIL 2020 ASSIGNMENT - CAPITAL MARKET AND PORTFOLIO MANAGEMENT

CAPITAL MARKET AND PORTFOLIO MANAGEMENT

1. The following data shows the return of Alpha Ltd and the Market:

TABLE GIVEN BELOW

Year

Return Alpha%

Return Market %

1

12

18

2

16

17

3

17

19

4

14

18

5

10

15

Calculate the Beta of Alpha Ltd and interpret. Explain the implications of different values of Beta. 10 Marks

2. Calculate the standard deviation and return of portfolio consisting of 60% of Security A and 40% of Security B. Assume correlation coefficient between stock A and stock B is 0.55. Interpret the benefit of portfolio over individual stock investment in case of security A and B.

Year

Security A return%

Security B return%

2015

20

15

2016

22

12

2017

18

11

2018

15

10

2019

11

10 Marks

3. Observed Return and Beta of SBI Bluechip Fund and Franklin India Equity Fund for the year 2019 are as follows:

Observed Return

Beta

SBI Bluechip Fund

18%

0.9

Franklin India Equity Fund

20%

1.1

Assume standard deviation of the market to be 8%, Return on Sensex 15% and the risk-free return to be 7%.

a. Compute the Jensen index for each of the funds and interpret the results.

b. Compute the Treynor index for each of the funds and interpret the results.