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. 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
  2. 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

Company names and figures are illustrative.