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 1–8 of 8 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 033A family office can buy 10% out-of-the-money one-year puts on its Rs 1,000 crore equity book for 2% a year. In a 30% fall the puts pay back 20%. How often must such falls occur for the puts to pay for themselves, and how does this compare with holding 10% less equity?Risk management and limit breachesCoreRisk managementWealth management
  4. 046A small cap fund has Rs 3,000 crore in 60 stocks averaging Rs 6 crore of daily volume. If a quarter of the fund is redeemed in a month and it trades 20% of daily volume, how many days does a pro rata sale take, and who bears the cost if it sells the liquid names first?Risk management and limit breachesHardRisk managementMutual funds
  5. 054A portfolio manager runs Rs 500 crore with a soft stop at minus 5%, where risk is halved, and a hard stop at minus 10%. The book is down 7%. What return recovers the loss, and how does halving risk change the time it takes?Risk management and limit breachesWarm upRisk managementHedge funds
  6. 067A long-short fund runs 150% long and 50% short on Rs 400 crore of NAV. Its shorts are squeezed up 40% while its longs fall 5%. What does NAV lose, and what does that say about gross exposure?Risk management and limit breachesCoreHedge fundsRisk management
  7. 083A volatility spike pushes a fund's value at risk from 1.6% to 2.4% against a 2% limit. Do you cut every position proportionally or cut the largest contributor?Risk management and limit breachesCoreRisk managementHedge funds
  8. 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.