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 61–69 of 69 · filtered from 100Clear filters
  1. 088Talwin Vol Fund is long a variance swap struck at 20% volatility with a vega notional of Rs 1 crore. Realised volatility comes in at 30%. What does it make, and why is the payoff larger than on a volatility swap?Volatility, options and convertiblesCoreVolatility and relative value funds
  2. 089Durvel Steel cuts its guidance for EBITDA per tonne from Rs 12,000 to Rs 10,500 on volumes of 15 mt. The stock falls 8% on a market cap of Rs 40,000 crore. The sector trades at 6x EV/EBITDA. Was the fall an overreaction if the cut lasts one year, or if it is permanent?Earnings, models and KPIsHardLong-short equity fundsMulti-manager platforms
  3. 090Tolvan Cement bids for Ondari Cement at a fixed ratio of 0.8 Tolvan shares while Tolvan trades between Rs 450 and Rs 550, with the value fixed at Rs 360 or Rs 440 outside that range. Map Ondari's deal value against Tolvan's price and say how the hedge changes across the range.Event-driven and merger arbitrageCoreEvent-driven fundsMulti-manager platforms
  4. 091The Cendra Absolute Return Fund manages Rs 2,000 crore. Investors ask to redeem 30%, but a 20% quarterly gate applies. 60% of the book can be sold in five days and the rest takes a month. How do you meet the redemptions, and what does the gate protect?Fund economics, NAV and LP decisionsCoreFund of funds and allocators
  5. 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
  6. 093Dinsha Jewellers grows revenue 20% a year from Rs 5,000 crore at an 8% EBIT margin, but holds 200 days of inventory, so each rupee of new revenue ties up working capital. Is the growth creating value? Compare the ROIC on incremental capital with a 12% cost of capital and a 25% tax rate, measuring inventory days on revenue.Long pitches and valuationCoreLong-short equity fundsMulti-manager platforms
  7. 096Birkan Capital's book is 20% net long Indian banks and 10% net short IT services. Run a stress scenario in which the rupee falls 8% and rates rise 100 basis points, using bank sensitivities of minus 1.5% per 10 basis points and IT sensitivities of plus 0.8% per 1% rupee fall. What does the book lose and which hedge helps most?Risk limits and drawdownsHardMulti-manager platforms
  8. 097The Qadira value backtest uses book value from annual reports dated to the fiscal year-end, although reports appear about 60 days later. The backtest earns 11% a year. What bias is this, how does it inflate returns, and how do you fix it?Systematic research and dataCoreQuant and systematic funds
  9. 098Prysmic Solar's convertible bond trades at 105 with a conversion ratio of 10 shares per 100 face, the stock at Rs 9, and a delta of 0.6. How many shares do you short per bond to hedge, and what do you make or lose if the stock moves 10% either way?Volatility, options and convertiblesHardVolatility and relative value funds

Company names and figures are illustrative.