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 1–6 of 6 · filtered from 100Clear filters
  1. 009A Nesavu Capital pod has three ideas with volatilities of 20%, 35% and 50%. The PM wants each to contribute the same risk, assuming low correlation between them. How should capital be split, and how does that differ from equal weights?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds
  2. 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
  3. 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
  4. 059Vetrin Partners starts a quarter with Rs 100 crore long and Rs 100 crore short on Rs 100 crore of capital. Longs rise 20% and shorts rise 30%. What are the new gross and net exposures, and what must the PM do to get back to target?Portfolio construction and sizingWarm upMulti-manager platformsLong-short equity funds
  5. 071A pod holds three longs of 4% of NAV each, Kalinda Paints, Rasvi Tyres and Orbel Chemicals, all helped by falling crude, with pairwise correlation of 0.8 and 30% volatility each. How many independent bets is that really, and what is the combined risk?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds
  6. 084Tamsin Equity's book has a momentum factor exposure of 0.4. A momentum reversal of minus 15% hits the factor in a week. What does the book lose, and how would you hedge the exposure without selling your best ideas?Portfolio construction and sizingCoreMulti-manager platformsLong-short equity funds

Company names and figures are illustrative.