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 11–20 of 50 · filtered from 100Clear filters
  1. 029A long-short fund is long Rs 100 crore of stocks with a beta of 1.3 and shorts a basket with a beta of 0.9. How large must the short be for beta neutrality, and what net money exposure results?Factor investing and quantWarm upHedge fundsQuantitative asset management
  2. 031A family trust holds 10% of Rs 50 crore in gold. If real yields rise 1 point and gold falls an assumed 12% per point, what does the trust lose, and what role should gold play?Macro and multi-asset scenariosWarm upMulti-assetWealth management
  3. 033A family office can buy 10% out-of-the-money one-year puts on its Rs 1,000 crore equity book for 2% a year. In a 30% fall the puts pay back 20%. How often must such falls occur for the puts to pay for themselves, and how does this compare with holding 10% less equity?Risk management and limit breachesCoreRisk managementWealth management
  4. 034Choose one of three large-cap funds from five years of data: returns of 14.2%, 13.1% and 15.0% against a benchmark's 12.5%, tracking errors of 3%, 1.5% and 7%, and fees of 1.6%, 0.9% and 2.1%. Which manager would you pick?Performance evaluation and manager selectionCoreFund selectionMutual funds
  5. 037A provident fund is moving Rs 1,500 crore from a terminated manager to a new one. Holdings overlap 60%, the rest costs 25 basis points each way, and a cash move leaves the money out of the market for five days at 18% volatility. Compare an in-kind and a cash transition.Rebalancing, implementation and costsCoreInstitutional asset managementPortfolio implementation
  6. 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
  7. 044The rupee falls 8%. A global allocation fund has Rs 1,000 crore: 25% unhedged US equity, 20% domestic IT exporters whose earnings rise 6% for an 8% fall, 15% oil-importing sectors that fall 5%, and 40% domestic bonds. Estimate the net effect.Macro and multi-asset scenariosCoreGlobal investingMulti-asset
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.