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 41–50 of 50 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 090Tolvan Cement bids for Ondari Cement at a fixed ratio of 0.8 Tolvan shares while Tolvan trades between Rs 450 and Rs 550, with the value fixed at Rs 360 or Rs 440 outside that range. Map Ondari's deal value against Tolvan's price and say how the hedge changes across the range.Event-driven and merger arbitrageCoreEvent-driven fundsMulti-manager platforms
  7. 091The Cendra Absolute Return Fund manages Rs 2,000 crore. Investors ask to redeem 30%, but a 20% quarterly gate applies. 60% of the book can be sold in five days and the rest takes a month. How do you meet the redemptions, and what does the gate protect?Fund economics, NAV and LP decisionsCoreFund of funds and allocators
  8. 092Calderra's 10-year nominal bond yields 7.0% and its inflation-linked bond 2.5%. You expect inflation to average 5%. What is breakeven inflation, what trade expresses your view, and what do you make if inflation averages 5.5%?Global macro tradesCoreGlobal macro funds
  9. 093Dinsha Jewellers grows revenue 20% a year from Rs 5,000 crore at an 8% EBIT margin, but holds 200 days of inventory, so each rupee of new revenue ties up working capital. Is the growth creating value? Compare the ROIC on incremental capital with a 12% cost of capital and a 25% tax rate, measuring inventory days on revenue.Long pitches and valuationCoreLong-short equity fundsMulti-manager platforms
  10. 097The Qadira value backtest uses book value from annual reports dated to the fiscal year-end, although reports appear about 60 days later. The backtest earns 11% a year. What bias is this, how does it inflate returns, and how do you fix it?Systematic research and dataCoreQuant and systematic funds

Company names and figures are illustrative.