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 1–10 of 19 · filtered from 100Clear filters
  1. 015Zenaris Consumer reports quarterly revenue of Rs 1,260 crore, up 20%. Distributor checks show their stock rose from 30 to 45 days of end sales, with end sales running at Rs 12 crore a day. How much of the quarter is channel filling, and what is the underlying growth?Earnings, models and KPIsHardLong-short equity fundsMulti-manager platforms
  2. 016An investor compares the Colvane Platform, which charges pass-through expenses of 6% plus a 20% performance fee, with a fund charging 2 and 20. At gross returns of 10%, 18% and 25%, which is cheaper?Fund economics, NAV and LP decisionsHardFund of funds and allocators
  3. 019Hillsan Credit Opportunities Fund reports annualised volatility of 4% with first-order autocorrelation of 0.5 in its monthly returns, because it marks illiquid loans to model. What is its likely true volatility, and what does that do to its Sharpe ratio?Manager evaluation and attributionHardFund of funds and allocatorsMulti-manager platforms
  4. 021Kovil Realty's promoters own 55% and have pledged 70% of that stake. Lenders call for more collateral if the stock falls 30% and start selling at a 40% fall. The free float is 45% and daily volume is 0.3% of shares. Build the short thesis and the risk to it.Short sellingHardLong-short equity funds
  5. 024The Morlen momentum strategy was tuned over 200 combinations of look-back and holding period. The best has a backtest Sharpe ratio of 1.8 over five years. How much of that should you believe, and what test would you run before allocating?Systematic research and dataHardQuant and systematic funds
  6. 025Ambrel General Insurance writes Rs 8,000 crore of premium at a combined ratio of 104%, holds invested assets of Rs 10,000 crore earning 7%, has Rs 4,000 crore of equity and a 25% tax rate. The stock trades at 2.5x book. What ROE does it earn, what does the price imply, and what would change your view?Long pitches and valuationHardLong-short equity fundsMulti-manager platforms
  7. 039Ovrin Chemicals' bonds trade at a 600 basis point spread, which with 40% recovery implies about a 10% annual chance of default. Its equity trades at 8x EBITDA, which looks healthy. One market is wrong. Set out the assumptions, build the capital structure trade and say how you size the two legs.Credit, distressed and capital structureHardCredit and distressed funds
  8. 043In the Republic of Kelmar inflation is 7% and the policy rate 6%. You expect the central bank to hike by 150 basis points over six months, while two-year swaps price only 50. Build the trade: which way you position, how you size it with a DV01 of Rs 1.9 lakh per Rs 100 crore, and what you make if you are right.Global macro tradesHardGlobal macro funds
  9. 045Oruvel Capital has five ideas with expected alphas of 6%, 8%, 4%, 10% and 5% and volatilities of 25%, 40%, 20%, 50% and 30%. Size each in proportion to alpha divided by variance, with a cap of 8% of NAV. What is the ranking and where does the cap bind?Portfolio construction and sizingHardMulti-manager platformsLong-short equity funds
  10. 046Trevon Capital runs a long-short book at 400% gross on Rs 100 crore of equity, with a prime broker requiring equity of at least 25% of gross. Longs and shorts are equal. How far can longs fall with shorts flat before a margin call, and what happens if longs fall while shorts rise?Risk limits and drawdownsHardMulti-manager platforms

Company names and figures are illustrative.