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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 087A systematic fund has a momentum loading of 0.4, and the momentum factor loses 25% in a month. What does the fund lose from that exposure, and what would hedging it have cost?Factor investing and quantCoreSystematic investingFactor investing

Company names and figures are illustrative.