1. A portfolio includes seven stocks and the information related to these stocks are given in the table below: (20 marks) Securities Share price, Dec 31, 2010 Share price, Dec 31, 2011 Number of shares outstanding Number of shares publicly traded

A 12 14 10,000,000 10,000,000 B 15 18 14,000,000 14,000,000 C 20 23 50,000,000 30,000,000 D 25 22 30,000,000 25,000,000 E 40 42 80,000,000 60,000,000 F 16 18 32,000,000 22,000,000 G 10 07 15,000,000 12,000,000 Calculate the price-only return on the index of the portfolio when the index is (i) price weighted, (ii) value-weighted, (iii) float-weighted, and (iv) equal-weighted.

2.Critically discuss the two-basic approaches to stock investing; growth stock versus value stocks. (15 marks)

3.Explain the principal benefit of a market-neutral long-short portfolio. What risks are inherent in such a portfolio that a long-only equity portfolio lacks? (15 marks)

4. Karen Johnson is responsible for the U.S. equity portion of her companys pension plan. She is thinking about trying to boost the overall alpha in U.S. equities by using an enhanced index fund to replace her core index fund holding. A. The U.S. equity portion of the pension plan currently consists of three managers (one index, one value and one growth) and is expected to produce a target annual alpha of 2.4 percent with a tracking risk (error) of 2.75percent. By replacing the index manager with an enhanced indexer, the target alpha changes to 2.8 percent with a tracking risk (error) of 2.9 percent. Does this change represent an improvement? Why? (Chapter 12 &13) (15marks)

5. Simpsons, who manages a domestic equities portfolio of Swedish shares, has had fairly volatile returns for the last five years. Nevertheless, Simpsons claims that his returns over the long-run are good. Another Swedish equity manager, Matison, has had fewer volatile returns. Their records are as follows. (15marks) Year Simpsons Matison 1 27.5% 5.7% 2 -18.9% 4.9% 3 14.6% 7.8% 4 -32.4% -6.7% 5 12.3 5.3% A. Calculate the annualised rates of return for Simpsons and Matison. B. State which manager achieved a higher return over the five-year period.

6. A. Consider the following information regarding the performance of a money manager in March 2018. The table presents the actual return of each sector of the managers portfolio in the fraction of portfolio allocated to each sector, the benchmark sector allocations and the returns of the sector indices. (20 marks) Actual return (%) Actual weight Benchmark weight Index return (%) Equity 2.50 0.40 0.50 3.00 Bonds 2.00 0.50 0.40 1.80 Cash 0.60 0.10 0.10 0.70 Using the above information, perform calculations to answer the following questions: (i). Has the manager under- or over-performed? B. The following portfolios are being considered for investment. During the period under consideration, Risk free rate of return = 0.07 (Chapter 12 &13) Portfolio Return Beta i P 0.15 1.0 0.05 Q 0.20 1.5 0.10 R 0.10 0.6 0.03 S 0.17 1.1 0.06 Market 0.13 1.0 0.04 i. Compute the Sharpe measure for each portfolio and the market portfolio. ii. ii. Compute the Treynor measure for each portfolio and the market portfolio. iii. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings.