IBA, University of Dhaka

EMBA
F- 608; Portfolio Manageent an! Investent Analysis
Final "#i$ % &'ring (0)0
Id. #. .
*+,UP % A
Marks - )0 .ie - )0 in#tes
/ir0le the ost a''ro'riate ans1er for the follo1ing #lti'le-0hoi0e 2#estions
(1) Which of the following is correct concerning efficient portfolios?
a) They have zero risk. ) They have the highest e!pected ret"rn.
03 .hey have the highest risk4ret#rn tra!eoff5 d) They have the lowest risk.
(#) $eward%to%variaility ratio of a high%risk stock is &&&&&&& that of a low%risk stock.
a3 the sae as ) higher than
c) lower than d) none of the aove
(') (ccording to the syste)atic risk principle* which one of the following risks is rewarded?
a) +nsyste)atic risk ) Total risk
03 &ysteati0 risk d) Ind"stry risk
(,) If yo" elieve the econo)y is ao"t to recover fro) a recession yo" )ight change yo"r asset
allocation y selling &&&&&&& and "ying &&&&&&&.
a) growth stocks* long%ter) onds ) defensive stocks* long%ter) onds
03 !efensive sto0ks, short-ter 6on!s d) long%ter) onds* growth stocks
(-) The average pri)e rate charged y anks is &&&&&&&&&&.
a) a leading econo)ic indicator ) a coincidental econo)ic indicator
03 a lagging e0onoi0 in!i0ator d) none of the aove
(.) ( stock/s dividend is e!pected to grow at a constant rate of -0 a year. Which of the following
state)ents is(are) correct?
a) The e!pected ret"rn on the stock is -0 a year.
) The stock/s dividend yield is -0.
03 .he sto0k7s 'ri0e one year fro no1 is e8'e0te! to 6e 9: higher
d) 1tate)ents 2 and 3 are correct.
(4) The Te!took 5rod"ction 3o)pany has een hit hard d"e to increased co)petition. The
co)pany/s analysts predict that earnings (and therefore dividends) will decline at a rate of -0
ann"ally forever. (ss")e that the rate of ret"rn on the stock is 110 and the year%end dividend
is Tk #.66 per share. What will e the c"rrent price of the co)pany/s stock?
a) Tk. 1'.'' ) Tk. 1,.-6 c) 16.7' !3 .k5 )(590
(7) (ccording to the 8ensen approach* a portfolio will significantly o"tperfor) the )arket when
its alpha is &&&&&&&&&&.
a3 'ositive ) negative c) zero d) 9one of the aove.
(:) The 1harpe )eas"re and the Treynor )eas"re will provide si)ilar rankings in portfolio
perfor)ance if the portfolios &&&&&&&&&.
a) the sa)e e!pected ret"rns 63 are 1ell !iversifie!
c) the sa)e standard deviations d) the sa)e etas
(16) The ;
#
approach foc"ses &&&&&&&&&&& as a )eas"re of risk of the sec"rity.
a) the )arket risk ) the "nsyste)atic risk
03 the total risk d) the nondiversifiale risk