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 16 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 046A small cap fund has Rs 3,000 crore in 60 stocks averaging Rs 6 crore of daily volume. If a quarter of the fund is redeemed in a month and it trades 20% of daily volume, how many days does a pro rata sale take, and who bears the cost if it sells the liquid names first?Risk management and limit breachesHardRisk managementMutual funds
  6. 047A star manager has beaten the benchmark by 4% a year for seven years with 6.7% tracking error. After adjusting for size and momentum, alpha is 1.3% with 6.5% residual risk. Is it skill, and do you keep, cut or replace the fund?Performance evaluation and manager selectionHardFund selectionFactor investing
  7. 064A gilt fund expects the 2s10s curve to steepen. Size a DV01-neutral steepener that buys Rs 100 crore of 2-year bonds (duration 1.87) against 10-year bonds (duration 7.0), and work out the P&L if the 2-year falls 20 basis points and the 10-year rises 20.Fixed income, credit and LDIHardFixed income
  8. 066Market weights of 70% large caps and 30% mid caps imply mid caps beat large caps by 1% a year. An analyst's view says 3%, held with the same confidence as the market prior. What blended spread results, and which way do the weights move?Portfolio construction and optimisationHardQuantitative asset managementMulti-asset
  9. 073The central bank hikes 100 basis points when 25 was expected. Two-year yields rise 80 basis points, ten-year yields 30, the currency 3% and equities fall 6%. How would a macro fund have expressed the view in advance, and how would it size the trade on Rs 500 crore at an 8% volatility target?Macro and multi-asset scenariosHardMacroHedge funds
  10. 075An institution weighs a private credit fund yielding 13% gross, with 1.5% annual losses, a 1.5% fee and 10% carry over an 8% hurdle, locked for five years, against listed high yield at 9.5% with 1.2% losses and 0.6% fees. Compare net returns and say whether the illiquidity premium is being paid.Fixed income, credit and LDIHardPrivate creditInstitutional asset management

Company names and figures are illustrative.