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. 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. 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
  3. 048The Sethu 50 index has implied volatility of 15%, while its members' average implied volatility is 25%. What average correlation does that imply, and how would you trade a view that realised correlation will be lower?Volatility, options and convertiblesHardVolatility and relative value funds
  4. 063Ferrin Vol Fund sells one-month at-the-money index straddles every month at 16% implied volatility, while realised volatility averages 12%. Roughly what does it earn in a normal month, and what happens in a month when the index moves 12%?Volatility, options and convertiblesCoreVolatility and relative value funds
  5. 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
  6. 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.