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 91–100 of 100
  1. 091A multi-manager programme blends three large cap managers equally, each with 5% tracking error and a 1.5% fee. What is the combined tracking error if their active returns correlate 0.8, and if they correlate minus 0.2? Is it worth its fees against a 0.2% index fund?Performance evaluation and manager selectionCoreMulti-manager allocationFund selection
  2. 092A fund must sell a Rs 900 crore stake in a stock that trades Rs 45 crore a day. Compare selling in the market over 20 to 60 days with a block deal at a 4% discount.Rebalancing, implementation and costsHardPortfolio implementationHedge funds
  3. 093An asset manager earns 1.0% on active assets and 0.1% on passive. Five points of assets move from active to passive every year while total assets grow 12%. Project revenue for five years and say what the firm should do.Asset management business and productsHardAsset managementInstitutional asset management
  4. 094A provident fund trust must allocate Rs 800 crore across six funds to earn 9.5% a year with no more than a 12% loss in a bad year at 95% confidence. Find an allocation that meets both targets, then test it.Strategic and tactical allocationHardMSCIRemote · 2013
  5. 095An optimiser sees two stocks with expected returns of 13% and 13.5%, both at 25% volatility, and a sample correlation of 0.95 from 36 months of data. Show how extreme the weights become, then shrink the correlation to 0.6.Portfolio construction and optimisationHardQuantitative asset managementSystematic investing
  6. 096A bank treasury held Rs 1,500 crore of government bonds with a modified duration of 8 and lost about Rs 180 crore when yields rose 150 basis points. Its PV01 limit was Rs 50 lakh against an actual Rs 1.2 crore. Work out the loss and explain what failed.Risk management and limit breachesHardSchrodersNew York · 2020
  7. 097A pension scheme has liabilities of Rs 1,200 crore with a duration of 14 and assets of Rs 1,000 crore with a duration of 5. What happens to the deficit if rates fall 100 basis points, and how much DV01 must be added to hedge half the liability rate risk?Fixed income, credit and LDIHardPension and endowment investingFixed income
  8. 098A Rs 400 crore solar project company has 70% bank debt. The sponsor can put in its Rs 120 crore as equity or as a shareholder loan at 12%, with tax at 25%. Compare the sponsor's return and cash timing, and say why shareholder loans are used and what limits apply.Real assets and private marketsCoreNuveenLondon · 2024
  9. 099The 10-year minus 3-month yield gap turns to minus 40 basis points. In 6 of 8 past inversions a recession followed within 18 months; equities rose 12% on average over the 11 months after inversion, then fell 25%. Should a multi-asset fund de-risk now or wait? Compare the expected outcomes.Macro and multi-asset scenariosHardMacroMulti-asset
  10. 100Build a short case on a consumer durables maker whose revenue rose 25% while receivables rose 70%, with operating cash flow at 30% of EBITDA, 40% of promoter shares pledged, 55 times earnings and a 3% annual cost to borrow the stock. Size it and set the stop.Stock pitch and thesis defenceHardHedge fundsFundamental asset management

Company names and figures are illustrative.