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 1–5 of 5 · filtered from 100Clear filters
  1. 007Pellora Long-Short Fund returned 9% in a year when the market returned 15%. Its average beta was 0.4 and cash earned 6%. Did it underperform?Manager evaluation and attributionWarm upFund of funds and allocatorsMulti-manager platforms
  2. 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
  3. 057Ambeth Fund and Corlane Fund both returned 12% last year. Ambeth had 8% volatility and a beta of 0.2; Corlane had 15% volatility and a beta of 0.9. The market returned 10% and cash 6%. Which manager showed more skill?Manager evaluation and attributionWarm upFund of funds and allocatorsMulti-manager platforms
  4. 069The Rivanta pod beat its benchmark by 2%. It overweighted banks (30% against 20%) and underweighted IT (10% against 25%), with its own stock returns in each sector given. Split the excess return into allocation and selection effects.Manager evaluation and attributionHardFund of funds and allocatorsMulti-manager platforms
  5. 082An analyst at Tavish Capital made 40 trades: 18 winners averaging Rs 1.8 crore and 22 losers averaging Rs 1.0 crore. What is the hit rate, the expectancy per trade, and what would you tell the analyst?Manager evaluation and attributionWarm upFund of funds and allocatorsMulti-manager platforms

Company names and figures are illustrative.