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 11–20 of 69 · filtered from 100Clear filters
  1. 013The Ushar Capital-Protected Note returns 100% of capital after three years plus 60% of any index gain. Three-year rates are 7% and a three-year at-the-money call costs 18% of notional. Decompose the note and say whether 60% participation is fair.Volatility, options and convertiblesCoreVolatility and relative value funds
  2. 014Kestava Retail bonds trade at a 450 basis point spread with leverage of 5x; Rodhan Ports bonds trade at 300 basis points with leverage of 3x. Which bond pays more per turn of leverage, and what else would you check before calling one cheap?Credit, distressed and capital structureCoreCredit and distressed funds
  3. 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
  4. 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
  5. 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
  6. 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
  7. 020Dhoran Capital is long Rs 100 crore of stocks with a beta of 1.0 and short Rs 80 crore of an index basket. In a sell-off the index falls 10%, but the longs fall 14%. What does the book lose, what did the beta model predict, and what failed?Risk limits and drawdownsCoreMulti-manager platforms
  8. 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
  9. 023Voltrail Charging wants to justify a valuation of Rs 3,000 crore. Size its market: 20 lakh electric cars in its region, 30% of charging done at public stations, 2,000 kWh charged per car a year and a margin of Rs 4 per kWh. What EBITDA pool exists, and what share must Voltrail win?Long pitches and valuationCoreLong-short equity fundsMulti-manager platforms
  10. 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

Company names and figures are illustrative.