sem 1, 2010 past exam

sem 1, 2010 past exam - 04128537 Monash University Semester...

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Unformatted text preview: 04128537 Monash University Semester One 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) eleven (11) 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 (7 + 7 = 14 marks) (6 marks) (Total 14 + 6 = 20 marks) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Two Year (t) (1) End of Year Price (P) (2) Calendar Year Dividends (D) (4 marks) Strategy A Strategy B average (annual average) annual (5 marks) (2 marks) (2 marks) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Two (cont d) (3 + 4 = 7 marks) (Total 4 + 5 + 2 + 2 + 7= 20 marks) Show workings for your calculations. Question Three annual (4 + 4 = 8 marks) Share 31 December 2003 Price Shares Outstanding a 31 December 2004 Price Shares Outstanding Share split two for one during the year. (4 + 3 + 5 = 12 marks) (Total 8 + 12 = 20 marks) Show workings for your calculations. AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Four (10 marks) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Four (cont d) (5 marks) (5 marks) (Total 10 + 5 + 5 = 20 marks) Show workings for your calculations. Question Five (9 marks) (4 + 4 + 3 = 11 marks) (Total 9 + 11 = 20 marks) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Six (3 + 4 = 7 marks) Variable Actual Value Expected Value Stock s Factor Sensitivity (4 marks) Portfolio Name SCS LCS TBL ITB S&P/ASX200 Index Risk free asset  13 Week Treasury Notes Average Return (%) Standard Deviation (%) Beta (based on S&P/ASX200) AFF3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question Six (cont d) (6 marks) (3 marks) (Total 7 + 4 + 6 + 3 = 20 marks) (Total = 120 marks) Show workings for your calculations. 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 ) n Portfolio beta: k) t Yield to maturity: i i1 Macaulay Duration Capital market line (CML): ln (Pt -1 ) E(Rp ) = **Annual effective return: R = (1 + rt)n  1 Holding period return (HPR) or total return (TR): Income Price Change Purchase Price HPR wi port p Security market line (SML): E( R j ) RM RF RF M Modified Duration: (Covi , M ) 2 M Capital asset pricing model (CAPM): j j Arbitrage pricing model: Annualised HPR or TR (AHPR = ATR): Return relative (RR): ( E(RM ) RF RF Ri E(Ri ) f i1 1 i2 f2 ... in fn ei 1 2 PV D 0 (1 g ) D1 or kg kg ** Internal Growth Rate: Expected (risky) return: Foreign investment returns: Earnings capitalisation model or perpetuity: Arithmetic mean (AM): X X /n Basic valuation model: n Vj t1 Geometric mean (G): CF t (1 k ) t Free cash flow: n n n n (Rt RA ) / n 1 pr i Rj ERj Expected portfolio return: n W i ( Ri ) Portfolio variance: wi2 2 i n wi w j P AB Correlation coefficient: AB A B Total Assets Common Equity AB 2 M C i)-n 1 - (1 i (1 par i) n Approximate yield to call **: AB A Covi,M t t2 t rt X [e [ N ( d 2 )] ln( Ps / X ) (r 0.5 (t )1 / 2 2 )t d1 [ (t )1 / 2 ] = rt ij i1i j j 1 Covariance (Cov): Asset Beta: Net Income Common Equity Net Income Net Sales Net Sales Total Assets Bond valuation (for easy calculation**): 2n Ct / 2 Par P or ** t (1 Y / 2) 2n t 1 (1 Y / 2) i1 i1 t1 **Put call parity: valuation of put ROE: Covariance of returns of two assets: 2 pt 2 e RA n CF t 1i n i Ps [ N ( d 1 )] d2 **Coefficient of variation (CV) n 1 or** Black Scholes option valuation: call d1 **Net tangible asset backing (NTAB): 2 E ( R port ) t ( t 1 ) C (t) P(1 y) t r 1 rf Pc Cumulative Wealth Index (CWI): Cov ij E R i E R i 1 1 **Binomial option valuation: Call rd ur C Cu Cd / r ud ud P/E multiplier: CV d 2P di 2 T **Cost of carry model for futures: 1 Nominal Risk - Free Interest Rate) (1 Risk premium) - 1 Variance: t Dividend discount model: t Inflation adjusted (= real) total return: 2 Using Modified Duration: bond price change approximation: P Dmod X Y m P ** Convexity of bonds: B AYC Pc Ct Pc 2 X /(e 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 ** Risk adjusted performance Pm (RAP) nc measure: Pm RFR ** Not from Jones mkt port X R port RFR OFFICE USE ONLY 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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