NMIMS Global Access
School for Continuing Education (NGA-SCE)
Course: Capital Market and Portfolio Management
Internal Assignment Applicable for April 2020 Examination
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 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 riskfree return to be 7%.
a. Compute the Jensen index for each of the funds and interpret the results. (5 Marks)
b. Compute the Treynor index for each of the funds and interpret the results. (5 Marks)
University: NMIMS