sem 2, 2010 past exam

sem 2, 2010 past exam - 04128538 Monash University Semester...

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Unformatted text preview: 04128538 Monash University Semester Two Examination 2010 Faculty of Business and Economics Department of Accounting and Finance EXAM CODES: AFF3121 TITLE OF PAPER: INVESTMENTS AND PORTFOLIO MANAGEMENT EXAM DURATION: READING TIME: THIS PAPER IS FOR STUDENTS STUDYING AT: (office use only tick where applicable) AUTHORISED MATERIALS CALCULATORS YES YES NO OPEN BOOK YES NO SPECIFICALLY PERMITTED ITEMS if yes, items permitted are: YES NO six (6) seven (7) one (1) . one (1) ALL PLEASE CHECK THE PAPER BEFORE COMMENCING. THIS IS A FINAL PAPER. THIS EXAMINATION PAPER MUST BE INSERTED INTO THE ANSWER BOOK AT THE COMPLETION OF THE PAPER. NO EXAMINATION PAPERS SHOULD BE REMOVED FROM THE EXAMINATION ROOM. OTHERWISE A FAIL MAY BE RECORDED AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question One Managed Fund or Asset Average Return (%) Standard Deviation of Average Return (%) Beta R2 . (10 + 5 = 15 marks) (5 marks) (Total 15 + 5 = 20 marks) Show workings for your calculations. AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Two (8 marks) (12 marks) (Total = 8 + 12 = 20 marks) Question Three (4 + 2 + 4 + 4 = 14 marks) (6 marks) (Total = 14 + 6 = 20 marks) Show workings for your calculations. AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Four (5 marks) (5 marks) (2 marks) (8 marks) (Total = 5 + 5 + 2 + 8 = 20 marks) Show workings for your calculations. Question Five (9 marks) (2 + 5 = 7 marks) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Five (cont d) (4 marks) (Total = 9 + 7 + 4 = 20 marks) Question Six (2 marks) (6 marks) (2 marks) (Total = 10 marks) (2 marks) (6 marks) (2 marks) (Total = 2 + 6 + 2 + 2 + 6 + 2 = 20 marks) Show workings for your calculations. TOTAL AVAILABLE: 120 MARKS END OF EXAMINATION AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT AFF3121  INVESTMENTS AND PORTFOLIO MANAGEMENT: LIST OF FORMULAE (1 k)n Future value: Present value: 1/(1 ** Return (R): R ln (Pt ) k) t n Portfolio beta: ln (Pt -1 ) Macaulay Duration: wi port i i1 Modified Duration (MD): Capital market line (CML): = **Annual effective return: R = (1 + rt)n  1 Holding period return (HPR) or total return (TR): Income Price Change Purchase Price HPR 2 M Covi,M Asset Beta: E(RM ) RF RF p Security market line (SML): E( R j ) RM RF RF 2 M j f ... i2 2 f ei in n Dividend discount model: PV Expected (risky) return: f i1 1 Dmod X Ym ** Convexity of bonds: 1 2 j Ri E(Ri ) Inflation adjusted (= real) total return: P P (Covi , M ) Arbitrage pricing model: t Using Modified Duration: bond price change approximation: M Capital asset pricing model (CAPM): Annualised HPR or TR (AHPR = ATR): Return relative (RR): ( E(Rp ) ** t d 2P di 2 1 T 1 t ( t 1 ) C (t) P(1 y) t 1 n i 2 t1 CF t 1i t2 t or** t Using Convexity: bond price change calculation: D 0 (1 g ) D1 or kg kg ½ x Price x Convexityx ( in Yield)² Internal Growth Rate: **Cost of carry model for futures: Earnings capitalisation model or perpetuity: P/E multiplier: **Binomial option valuation: Call rd ur C Cu Cd / r ud ud 1 Nominal Risk - Free Interest Rate) (1 Risk premium) - 1 Foreign investment returns: Arithmetic mean (AM): X X /n Geometric mean (G): t Pc Free cash flow: Cumulative Wealth Index (CWI): n 2 2 (Rt RA ) / n 1 **Net tangible asset backing (NTAB): **Coefficient of variation (CV): Ps [ N ( d 1 )] d2 ROE: pr i Rj ERj Expected portfolio return: n e Portfolio risk (variance n security case): 2 pt i1 wi2 2 i n P ij i1i j j 1 Covariance (Cov): Net Income Common Equity Net Income Net Sales Net Sales Total Assets n wi w j AB Correlation coefficient: AB )t = A X /( e ) Total Assets Common Equity C -n 1 - (1 i) i par (1 i)n Pc Approximate yield to call **: C B AYC AB AB A rt Bond valuation (for easy calculation**): 2n Ct / 2 Par P or ** t (1 Y / 2) 2n t 1 (1 Y / 2) Wi ( Ri ) i1 n 2 **Put call parity: valuation of put Covariance of returns of two assets: E ( R port ) [ N ( d 2 )] d1 [ (t )1 / 2 ] RA Cov ij E R i E R i rt X [e ln( Ps / X ) (r 0.5 (t )1 / 2 d1 n Variance: CV Black Scholes option valuation: call CFt t 1 (1 k ) n Vj n n r 1 rf Basic valuation model: B Yield to maturity: t Pc 2 rt Ps Pc Jensen s Alpha measure: aj [Rjt RFR] t j [Rmt RFR] t Sharpe measure: S ( R portfolio RFR ) portfolio Treynor measure: T ( R portfolio RFR ) portfolio Pm nc Pm ** Risk adjusted performance (RAP) measure: RFR mkt port M2 measure: M2 = RF + ( ** Not from Jones X R port M / p) RFR x [Rp  RF] AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT = .7673 (Shaded Figure) = .7157 (Shaded Figure) ...
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This note was uploaded on 07/19/2011 for the course BUS 3121 taught by Professor Wicky during the One '11 term at Monash.

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