Final PN-14 SFM Quiz 5

1. An investor writes a three-month put on the stock of an oil company at an exercise price of Rs.275 per share at a premium of Rs.34. If the expiration date price is Rs.280, calculate the gain/loss of put writer.

2. Downgrade Risk     

3.                                       is the risk of change in the inflation rates changes the purchasing power.

4. Responses to risk generally fall into which of the following categories?

5.                                                  is the risk of uncertain movements and adverse fluctuations in the financial market variables like security prices, commodity prices, interest rates and exchange rates.

6. There are                 -primary types of credit risk:

7. Responses to risk includes –

8. Which of the following is not a part of Credit Risk?

9. Which of the following is not a part of Market Risk?

10. Which of the following is not a part of Financial Risk?

11. Risk management is the process which includes –

12. The efficient market hypothesis suggests that investors should

13. A run in the stock price is       

14. If markets are efficient, the security price provides

15. In the strong form of efficient market      -

16. In a weakly efficient market, the stock price reflects

17. Which of the following statement defines an efficient market?

18. Sharpe measure is best applicable when

19. Which of the following is the more appropriate measure of portfolio performance if you have only one mutual fund in your investment portfolio?

20. Sharpe’s measure of the portfolio performance is based on

21. A portfolio manager realized an average annual return of 15%. The beta of the portfolio is 1.2 and the standard

deviation of return is 25%. The average annual return for the market index was 11% and the standard deviation of the market returns is 20%. The risk-free rate is 4%. Calculate the Sharpe ratio for the portfolio.

22. A portfolio manager realized an average annual return of 12%. The beta of the portfolio is 1.1 and the standard deviation of returns is 30%. The average annual return for the market index is 10% and the standard deviation

of the market returns is 25%. The rf is 5%. Calculate Jensen’s

alpha for the portfolio.

23. The portfolio’s risk premium is 12% and the standard deviation of market and the portfolio are 4 and 3, respectively. The fund’s beta value is 1.5. The Treynor index is     

24. The sum of an asset’s systematic variance and its non-systematic variance of returns is equal to the asset’s:

25. Which of the following is a valid comparison between the APT and CAPM?