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 1–2 of 2 · filtered from 100Clear filters
  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. 096A bank treasury held Rs 1,500 crore of government bonds with a modified duration of 8 and lost about Rs 180 crore when yields rose 150 basis points. Its PV01 limit was Rs 50 lakh against an actual Rs 1.2 crore. Work out the loss and explain what failed.Risk management and limit breachesHardSchrodersNew York · 2020

Company names and figures are illustrative.