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. 009A Nesavu Capital pod has three ideas with volatilities of 20%, 35% and 50%. The PM wants each to contribute the same risk, assuming low correlation between them. How should capital be split, and how does that differ from equal weights?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds
  2. 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
  3. 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

Company names and figures are illustrative.