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 30 · filtered from 100Clear filters
  1. 010Buy an office building at a 7.5% cap rate on Rs 30 crore of income, with 2% costs, 4% growth, a 55% interest-only loan at 9% and an exit at an 8.0% cap rate after five years. What are the levered IRR and equity multiple, and which input moves the return most?Real assets and private marketsHardCarlyle GroupWashington · 2015
  2. 016A Rs 2,000 crore pension fund holds 50% listed equity, 35% bonds and 15% private assets, with Rs 180 crore of unfunded commitments. Equities fall 30% and private assets are marked down 10%. What is the new private weight, can it meet its capital calls, and what should it do?Strategic and tactical allocationHardPension and endowment investingPrivate markets
  3. 017From a universe of 12 stocks with book to price, market value and a month's return, build a value factor long the top third and short the bottom third, show that it is mostly a small cap bet, then rebuild it as a size-neutral two by three sort.Factor investing and quantHardAQR Capital ManagementNew York · 2021
  4. 019A private equity fund called Rs 30, 30 and 25 crore in years 0 to 2, distributed Rs 40, 60 and 70 crore in years 4 to 6, and holds Rs 20 crore of NAV at year 6. Compute TVPI, DPI, IRR and a public market equivalent, and judge the fund.Performance evaluation and manager selectionHardNeuberger BermanLondon · 2022
  5. 021A mid cap fund with Rs 600 crore of stocks hedged by selling Rs 330 crore of large cap index futures. Mid caps fell 18% while the large cap index fell 6%. Work out the loss, the hedge gain and the net result, and explain why the hedge failed.Risk management and limit breachesHardSchrodersNew York · 2021
  6. 022A small cap fund holds 40 stocks equally, with a median daily traded value of Rs 8 crore. Its rule is to be able to exit any holding in 10 days at 20% of volume. What is its capacity, and what should it do at Rs 800 crore?Rebalancing, implementation and costsHardPortfolio implementationIndian asset management
  7. 023A real estate debt sleeve holds EUR 600 million of loans on Northern European offices, Southern European retail and Gulf logistics. Stress interest rates up 100 basis points and cap rates up 75. Which loans breach a 70% loan to value or a 1.5 times interest cover covenant?Real assets and private marketsHardPIMCOMunich · 2024
  8. 041Formulate and solve a three-asset mean-variance problem with a budget constraint, no shorting and a 50% position limit, with and without the limit, and explain where the capped weight goes.Portfolio construction and optimisationHardBlackRockNew York · 2025
  9. 042A multi-factor fund combines a value sleeve and a momentum sleeve, each with an information ratio of 0.4, at equal risk. What is the combined information ratio if their active returns correlate minus 0.5, and if they correlate plus 0.3?Factor investing and quantHardFactor investingQuantitative asset management
  10. 045A client holds Rs 15 crore of her Rs 18 crore net worth in her employer's shares, a stock with 45% volatility. Compare her portfolio volatility and the chance of a 50% wealth loss before and after diversifying, and lay out a staged three-year selling plan.Client mandates and IPSHardWealth managementIndian wealth management

Company names and figures are illustrative.