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 1–7 of 7 · filtered from 100Clear filters
  1. 010A Selvik Quant strategy earns gross alpha of 8% a year but turns over its book 20 times a year at 15 basis points a side. Halving turnover would cut gross alpha to 6%. Which version is better after costs?Risk limits and drawdownsWarm upMan GroupBoston · 2022
  2. 020Dhoran Capital is long Rs 100 crore of stocks with a beta of 1.0 and short Rs 80 crore of an index basket. In a sell-off the index falls 10%, but the longs fall 14%. What does the book lose, what did the beta model predict, and what failed?Risk limits and drawdownsCoreMulti-manager platforms
  3. 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
  4. 046Trevon Capital runs a long-short book at 400% gross on Rs 100 crore of equity, with a prime broker requiring equity of at least 25% of gross. Longs and shorts are equal. How far can longs fall with shorts flat before a margin call, and what happens if longs fall while shorts rise?Risk limits and drawdownsHardMulti-manager platforms
  5. 060Ashvel Capital's 99% one-day VaR model was breached on 7 of the last 250 days, against 2.5 expected. How unlikely is that if the model is right, and what do you change?Risk limits and drawdownsCoreMulti-manager platforms
  6. 085Pallav Multi-Strategy Fund can buy a put spread costing 1.5% of NAV a year that pays 12% of NAV if the market falls 25%. You think such a crash happens once in eight years. Is the hedge worth buying?Risk limits and drawdownsCoreMulti-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

Company names and figures are illustrative.