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 21–30 of 100
  1. 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
  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. 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
  4. 024In a risk interview, pitch a pharma stock risk first: 45% of revenue from US generics, one plant under regulatory observation, a downside of minus 35% at 30% probability and an upside of plus 40% at 70%. What is the expected return, and how large a position does it justify?Stock pitch and thesis defenceCoreFranklin TempletonSan Mateo · 2017
  5. 025A packaging company's loan has a net leverage covenant of 3.5 times. EBITDA is Rs 80 crore and net debt Rs 240 crore. If EBITDA falls 15%, is the covenant breached, and what equity cure would fix it?Fixed income, credit and LDICorePrivate creditFixed income
  6. 026A client can buy a 10-year government bond at 7.1% or an inflation-indexed bond at a 2.4% real yield. What inflation rate makes them equal, and which does better on Rs 50 lakh if inflation averages 4% or 6%?Fixed income, credit and LDIWarm upFixed incomeWealth management
  7. 027A two-wheeler maker's electric share of volume rises from 5% to 25% in four years at an 8% margin, against 13% on petrol models. Does the shift raise or lower the company's value if the market pays a higher multiple for electric earnings?Stock pitch and thesis defenceCoreWellington ManagementHong Kong · 2022
  8. 028A risk parity fund holds equities with 18% volatility and bonds with 5%, uncorrelated. What weights equalise their risk, what volatility results, and how much leverage reaches a 10% target?Portfolio construction and optimisationWarm upMulti-assetSystematic investing
  9. 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
  10. 030Three unlabelled companies: X has an 85% gross margin and spends 20% of revenue on research; Y has a 22% gross margin and 90 days of inventory; Z has a 55% EBITDA margin, depreciation at 20% of revenue and heavy interest. Which industries are they in?Company analysis and valuationWarm upT. Rowe PriceBaltimore · 2022

Company names and figures are illustrative.