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 1–3 of 3 · filtered from 100Clear filters
  1. 017Sethra Macro Fund expects the gap between 10-year and 2-year government yields to widen from 20 to 80 basis points. The 2-year has a DV01 of Rs 1.9 lakh and the 10-year Rs 7.5 lakh per Rs 100 crore of notional. How do you size a DV01-neutral steepener, and what do you make if you are right?Global macro tradesCoreGlobal macro funds
  2. 030Pelagia imports oil worth 4% of GDP and runs a current account deficit of 2% of GDP. Oil prices rise 30%. What happens to the deficit, the currency and the rates market, and what trade would you put on?Global macro tradesCoreGlobal macro funds
  3. 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

Company names and figures are illustrative.