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 41–50 of 50 · filtered from 100Clear filters
  1. 083A volatility spike pushes a fund's value at risk from 1.6% to 2.4% against a 2% limit. Do you cut every position proportionally or cut the largest contributor?Risk management and limit breachesCoreRisk managementHedge funds
  2. 087A systematic fund has a momentum loading of 0.4, and the momentum factor loses 25% in a month. What does the fund lose from that exposure, and what would hedging it have cost?Factor investing and quantCoreSystematic investingFactor investing
  3. 090A hospital group holds a Rs 400 crore surplus in bank deposits. It needs Rs 150 crore in 18 months and the rest is long-term. What would you recommend, and what are the risks and benefits?Client mandates and IPSCoreInstitutional asset managementMulti-asset
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  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.