Hedge Funds case studies, worked step by step

Cases
100
Traced to a firm
31
Topics
13
Hard
30
Topic
All topicsCredit, distressed and capital structure7Earnings, models and KPIs8Event-driven and merger arbitrage7Fund economics, NAV and LP decisions8Global macro trades7Long pitches and valuation14Manager evaluation and attribution7Pairs and relative value5Portfolio construction and sizing7Risk limits and drawdowns7Short selling6Systematic research and data11Volatility, options and convertibles6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 21–30 of 35 · filtered from 100Clear filters
  1. 053Ushvin Industries, worth Rs 10,000 crore, will spin off Ushvin Chemicals, with EBITDA of Rs 300 crore against peers at 12x. Index funds holding the parent must sell the new shares. How do you trade the spin-off?Event-driven and merger arbitrageCoreEvent-driven fundsMulti-manager platforms
  2. 060Ashvel Capital's 99% one-day VaR model was breached on 7 of the last 250 days, against 2.5 expected. How unlikely is that if the model is right, and what do you change?Risk limits and drawdownsCoreMulti-manager platforms
  3. 063Ferrin Vol Fund sells one-month at-the-money index straddles every month at 16% implied volatility, while realised volatility averages 12%. Roughly what does it earn in a normal month, and what happens in a month when the index moves 12%?Volatility, options and convertiblesCoreVolatility and relative value funds
  4. 071A pod holds three longs of 4% of NAV each, Kalinda Paints, Rasvi Tyres and Orbel Chemicals, all helped by falling crude, with pairwise correlation of 0.8 and 30% volatility each. How many independent bets is that really, and what is the combined risk?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds
  5. 076Brellin Textiles is restructuring with an enterprise value of Rs 900 crore, Rs 600 crore of secured debt and Rs 500 crore of unsecured bonds trading at 35. What does each class recover, which is the fulcrum, and what is the upside in the bonds?Credit, distressed and capital structureCoreCredit and distressed funds
  6. 084Tamsin Equity's book has a momentum factor exposure of 0.4. A momentum reversal of minus 15% hits the factor in a week. What does the book lose, and how would you hedge the exposure without selling your best ideas?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds
  7. 085Pallav Multi-Strategy Fund can buy a put spread costing 1.5% of NAV a year that pays 12% of NAV if the market falls 25%. You think such a crash happens once in eight years. Is the hedge worth buying?Risk limits and drawdownsCoreMulti-manager platforms
  8. 086Quickrin Finance, an online lender, earns a 48% yield on a Rs 5,000 crore loan book, with funding costs of 12%, credit costs of 10% and operating costs of 14%. A proposed rule would cap lending rates at 36%. What happens to its pre-tax ROA, and how would you frame the short?Short sellingCoreLong-short equity funds
  9. 087Open-ended: would monsoon rainfall help predict quarterly sales for Bhumora Agro and four other farm-input makers? You have 15 years of district rainfall and quarterly sales. How would you build and test the signal, and how many independent observations do you really have?Systematic research and dataCoreQuant and systematic funds
  10. 088Talwin Vol Fund is long a variance swap struck at 20% volatility with a vega notional of Rs 1 crore. Realised volatility comes in at 30%. What does it make, and why is the payoff larger than on a volatility swap?Volatility, options and convertiblesCoreVolatility and relative value funds

Company names and figures are illustrative.