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 1–10 of 50 · filtered from 100Clear filters
  1. 004A low volatility index has a beta of 0.7. In a year the market returns 25% with cash at 6%, what does CAPM expect from it, and why do low volatility investors accept that?Factor investing and quantWarm upFactor investingSystematic investing
  2. 006A portfolio manager runs ten accounts in one strategy and advertises the best three, which averaged 24%. All ten averaged 13% against a 14% benchmark. What should a fair composite show, and why?Performance evaluation and manager selectionWarm upPerformance analysisIndian wealth management
  3. 008A Rs 1,000 crore balanced fund holds domestic equity, unhedged US equity, corporate bonds and gilts. Apply a crisis scenario with equities down 55%, spreads up 400 basis points, gilt yields down 150 and the rupee down 20%. What is the loss, and what actually hedged?Risk management and limit breachesCoreRisk managementMulti-asset
  4. 015A Rs 1,500 crore credit fund holds 9% in bonds of one issuer, which is downgraded from AA to BB and falls 25%. What happens to NAV, why do early redeemers gain at the expense of those who stay, and how does side-pocketing work?Fixed income, credit and LDICoreFixed incomeMutual funds
  5. 016A Rs 2,000 crore pension fund holds 50% listed equity, 35% bonds and 15% private assets, with Rs 180 crore of unfunded commitments. Equities fall 30% and private assets are marked down 10%. What is the new private weight, can it meet its capital calls, and what should it do?Strategic and tactical allocationHardPension and endowment investingPrivate markets
  6. 020A retiree of 60 has Rs 3 crore, spends Rs 15 lakh a year rising with 6% inflation, and expects his portfolio to earn 9%. How many years does the money last, and what starting spending would last 30 years?Client mandates and IPSCoreRetirement and pensionsWealth management
  7. 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
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.