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 1–7 of 7 · filtered from 100Clear filters
  1. 012The central bank cuts rates by 50 basis points. A fund holds Rs 300 crore of bonds at duration 5, where yields fall 40 basis points, and Rs 500 crore of equities at 20 times earnings with 6% growth, where the cost of equity falls 25 basis points. Estimate the gain on each.Macro and multi-asset scenariosCorePIMCOLos Angeles · 2024
  2. 031A family trust holds 10% of Rs 50 crore in gold. If real yields rise 1 point and gold falls an assumed 12% per point, what does the trust lose, and what role should gold play?Macro and multi-asset scenariosWarm upMulti-assetWealth management
  3. 044The rupee falls 8%. A global allocation fund has Rs 1,000 crore: 25% unhedged US equity, 20% domestic IT exporters whose earnings rise 6% for an 8% fall, 15% oil-importing sectors that fall 5%, and 40% domestic bonds. Estimate the net effect.Macro and multi-asset scenariosCoreGlobal investingMulti-asset
  4. 060A multi-asset fund faces four regimes, growth up or down and inflation up or down, with asset returns and a probability for each. Build risk-balanced weights and compare them with betting everything on the most likely regime.Macro and multi-asset scenariosCoreMacroMulti-asset
  5. 073The central bank hikes 100 basis points when 25 was expected. Two-year yields rise 80 basis points, ten-year yields 30, the currency 3% and equities fall 6%. How would a macro fund have expressed the view in advance, and how would it size the trade on Rs 500 crore at an 8% volatility target?Macro and multi-asset scenariosHardMacroHedge funds
  6. 086Oil falls 40%. For a pegged oil exporter, trace the effect on the budget, the currency, interest rates and the yield curve, then position a foreign bond portfolio.Macro and multi-asset scenariosCoreState StreetBoston · 2020
  7. 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

Company names and figures are illustrative.