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 1–6 of 6 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 063An equity fund lagged its benchmark by 1.1 points. Given sector weights and returns for the fund and the benchmark, split the gap into allocation and selection by sector and tell the story.Performance evaluation and manager selectionCorePerformance analysisFundamental asset management
  5. 078An active large cap fund charges 1.8% and is expected to deliver 2.0% of gross alpha with 5% tracking error; an index fund charges 0.2%. What is the chance the active fund beats the index fund in one year, and over ten?Performance evaluation and manager selectionWarm upFund selectionMutual funds
  6. 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

Company names and figures are illustrative.