Portfolio Management case studies, worked step by step

Cases
100
Traced to a firm
50
Topics
13
Hard
30
Topic
All topicsStock pitch and thesis defence11Fixed income, credit and LDI11Strategic and tactical allocation7Factor investing and quant6Company analysis and valuation7Performance evaluation and manager selection7Client mandates and IPS8Risk management and limit breaches8Rebalancing, implementation and costs7Real assets and private markets8Portfolio construction and optimisation7Macro and multi-asset scenarios7Asset management business and products6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 21 · filtered from 100Clear filters
  1. 008A Rs 1,000 crore balanced fund holds domestic equity, unhedged US equity, corporate bonds and gilts. Apply a crisis scenario with equities down 55%, spreads up 400 basis points, gilt yields down 150 and the rupee down 20%. What is the loss, and what actually hedged?Risk management and limit breachesCoreRisk managementMulti-asset
  2. 015A Rs 1,500 crore credit fund holds 9% in bonds of one issuer, which is downgraded from AA to BB and falls 25%. What happens to NAV, why do early redeemers gain at the expense of those who stay, and how does side-pocketing work?Fixed income, credit and LDICoreFixed incomeMutual funds
  3. 020A retiree of 60 has Rs 3 crore, spends Rs 15 lakh a year rising with 6% inflation, and expects his portfolio to earn 9%. How many years does the money last, and what starting spending would last 30 years?Client mandates and IPSCoreRetirement and pensionsWealth management
  4. 025A packaging company's loan has a net leverage covenant of 3.5 times. EBITDA is Rs 80 crore and net debt Rs 240 crore. If EBITDA falls 15%, is the covenant breached, and what equity cure would fix it?Fixed income, credit and LDICorePrivate creditFixed income
  5. 033A family office can buy 10% out-of-the-money one-year puts on its Rs 1,000 crore equity book for 2% a year. In a 30% fall the puts pay back 20%. How often must such falls occur for the puts to pay for themselves, and how does this compare with holding 10% less equity?Risk management and limit breachesCoreRisk managementWealth management
  6. 034Choose one of three large-cap funds from five years of data: returns of 14.2%, 13.1% and 15.0% against a benchmark's 12.5%, tracking errors of 3%, 1.5% and 7%, and fees of 1.6%, 0.9% and 2.1%. Which manager would you pick?Performance evaluation and manager selectionCoreFund selectionMutual funds
  7. 037A provident fund is moving Rs 1,500 crore from a terminated manager to a new one. Holdings overlap 60%, the rest costs 25 basis points each way, and a cash move leaves the money out of the market for five days at 18% volatility. Compare an in-kind and a cash transition.Rebalancing, implementation and costsCoreInstitutional asset managementPortfolio implementation
  8. 044The rupee falls 8%. A global allocation fund has Rs 1,000 crore: 25% unhedged US equity, 20% domestic IT exporters whose earnings rise 6% for an 8% fall, 15% oil-importing sectors that fall 5%, and 40% domestic bonds. Estimate the net effect.Macro and multi-asset scenariosCoreGlobal investingMulti-asset
  9. 060A multi-asset fund faces four regimes, growth up or down and inflation up or down, with asset returns and a probability for each. Build risk-balanced weights and compare them with betting everything on the most likely regime.Macro and multi-asset scenariosCoreMacroMulti-asset
  10. 062A value fund has beaten its benchmark by 3% a year, but its rolling value loading has fallen from 0.45 to minus 0.10 while its momentum loading rose from zero to 0.40. Is it still a value fund, what drove the returns, and what do you do?Factor investing and quantCoreFactor investingFund selection

Company names and figures are illustrative.