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. 011A long-only equity manager wants an ESG thesis. Excluding three sectors that make up 14% of the benchmark creates how much tracking error, and how does that compare with a best-in-class tilt targeting 1%? Recommend one.Portfolio construction and optimisationCoreNeuberger BermanNew York · 2025
  2. 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
  3. 041Formulate and solve a three-asset mean-variance problem with a budget constraint, no shorting and a 50% position limit, with and without the limit, and explain where the capped weight goes.Portfolio construction and optimisationHardBlackRockNew York · 2025
  4. 053A stock in a Rs 2,000 crore flexi cap fund has rallied from 8% to 12% of the fund, above its 10% single-stock limit. How much must be sold to bring it to 9.5%, what does the sale cost, and what must the fund confirm about the rule?Portfolio construction and optimisationWarm upIndian asset managementMutual funds
  5. 066Market weights of 70% large caps and 30% mid caps imply mid caps beat large caps by 1% a year. An analyst's view says 3%, held with the same confidence as the market prior. What blended spread results, and which way do the weights move?Portfolio construction and optimisationHardQuantitative asset managementMulti-asset
  6. 082A welfare board puts 70% in an index core and 30% in active satellites. What are the portfolio's expected net alpha and tracking error, and what must the satellites earn to justify themselves?Portfolio construction and optimisationCoreInstitutional asset managementFund selection
  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

Company names and figures are illustrative.