Quant case studies, worked step by step

Cases
100
Traced to a firm
43
Topics
11
Hard
30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 20 · filtered from 100Clear filters
  1. 004A fund holds n stocks equally weighted, each with 30% volatility and pairwise correlation 0.25. What is portfolio volatility for n = 1, 10 and 50, and in the limit, and what does that mean for adding more names?Portfolio constructionWarm upPortfolio constructionRisk quant
  2. 007A fund holds Rs 40 crore of a 2-year government bond (duration 1.9), Rs 35 crore of a 5-year (4.4) and Rs 25 crore of a 10-year (7.6). Compute portfolio duration and DV01, show two ways to raise duration to 5.5, and the P&L of a 50 bp fall in yields.Fixed income and creditWarm upPIMCOLos Angeles · 2026
  3. 015A fund holds Rs 50 crore of stocks with a portfolio beta of 1.3 and wants to be market neutral with index futures. How much notional should it short, and what risk remains?Portfolio constructionWarm upSystematic hedge fundsPortfolio construction
  4. 020A Rs 500 crore equity fund has daily volatility of 1.1%. Compute the one-day 99% VaR, the ten-day VaR by the square-root-of-time rule and the monthly VaR, then explain how daily autocorrelation of 0.2 breaks the scaling.Risk measurement and limitsWarm upAQR Capital ManagementGreenwich · 2022
  5. 022A one-day tick file has 2% of rows at price zero, 5% duplicated timestamps and one print of 8,120 between prints of 812. Identify each error, fix it, and show how each would distort daily realised volatility.Signal research and data tasksWarm upHudson River TradingAnonymous interview candidate in · 2024
  6. 028The offers are 5,000 shares at 100.10, 8,000 at 100.20 and 12,000 at 100.35 around a mid of 100.00. You must buy 20,000 shares now. What is your average price and your impact against mid?Execution and market microstructureWarm upMizuhoHong Kong · 2024
  7. 030A 20-year bond has duration 13 and convexity 220. Estimate its price change for yield moves of plus and minus 150 basis points with duration alone and with convexity, and say which error hurts someone who is short the bond.Fixed income and creditWarm upFixed income quantRisk quant
  8. 035An ETF trades at Rs 101.2 while its indicative NAV is Rs 100.0. A creation unit is 50,000 units, creating costs 0.3% and trading the basket costs 0.2%. Is creation arbitrage profitable, and what closes the premium?Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  9. 037In a market on the sum of two dice you sell 3 to interviewer A at 7.5, buy 2 from B at 6.5, sell 4 to A at 7.2 and buy 4 from B at 7.0, at Rs 100 a point. Where is your position, and what is your P and L if it settles at 8?Market-making gamesWarm upOptiverAmsterdam · 2023
  10. 042A manager runs a 3% tracking-error budget with equal active positions in five stocks, each with 30% idiosyncratic volatility and uncorrelated. How large can each active weight be?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds

Company names and figures are illustrative.