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 21–30 of 69 · filtered from 100Clear filters
  1. 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
  2. 026Vishrant Finance's one-year commercial paper yields 11% while AAA paper of the same term yields 8%. With a 30% recovery in default, what default probability makes you indifferent between them, and how do you use that number?Credit, distressed and capital structureWarm upCredit and distressed funds
  3. 027Castrelle Fashion reports revenue growth of 18%. New stores add 12 points, same-store footfall is down 2% and the average bill is up 8%. Break the growth down and say what it tells you about demand.Earnings, models and KPIsWarm upLong-short equity fundsMulti-manager platforms
  4. 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
  5. 031Oskari Auto Components trades at Rs 420. Your one-week case gives a bear value of Rs 300 (30% chance), a base of Rs 480 (50%) and a bull of Rs 650 (20%). What is the probability-weighted value, what is the skew, and is this a long you size up or down?Long pitches and valuationWarm upLong-short equity fundsMulti-manager platforms
  6. 033Two private banks, Sarvodh and Nimbal, usually trade 1.2x apart on price to book, with a standard deviation of 0.2x. Today the gap is 1.6x and the spread's half-life is about 60 days. Analyse the trade: entry, sizing, stop and what you expect to make.Pairs and relative valueCoreLong-short equity fundsMulti-manager platforms
  7. 034Kithara Long-Short Fund runs Rs 105 crore of longs with an average beta of 1.1 and Rs 95 crore of shorts with an average beta of 1.3, on Rs 100 crore of capital. What are its gross, net and beta-adjusted net exposures, and what happens if the market falls 10%?Portfolio construction and sizingWarm upMulti-manager platformsLong-short equity funds
  8. 035A PM on the Hallorin Platform manages Rs 500 crore. At minus 5% for the year, capital is cut in half; at minus 7.5% the PM is stopped out. After the cut, what return must the PM earn on the smaller book to get back to flat, and how much more can be lost before the stop?Risk limits and drawdownsCoreMulti-manager platforms
  9. 036Telora Print Media trades at 6x earnings. Print revenue of Rs 1,000 crore falls 8% a year, 70% of costs are fixed and the EBIT margin is 15%. Show why the stock may be a value trap by projecting EBIT for three years.Short sellingCoreLong-short equity funds
  10. 038A family holds a large stake in Jharna Textiles at Rs 400. A one-year put at Rs 360 costs Rs 20, and a one-year call at Rs 460 can be sold for Rs 20. Compare protecting the stake with the put alone and with a zero-cost collar.Volatility, options and convertiblesWarm upVolatility and relative value funds

Company names and figures are illustrative.