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 13 · 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. 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
  3. 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
  4. 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
  5. 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
  6. 059A Rs 100 crore book targets 10% annual volatility. The asset's volatility is 25% today against 15% last month. What gross exposure does the target imply now and then, and what happens if volatility spikes to 40%?Position sizing and bankrollWarm upSystematic hedge fundsRisk quant
  7. 068An analyst adds 12 macro variables to a 3-variable return model estimated on 120 months, and R-squared rises from 8% to 17%. Compute adjusted R-squared before and after and an F-test on the added block. Did the twelve add anything?Regression and model reviewWarm upQuant researchSystematic hedge funds
  8. 069An endowment can mix a risky portfolio with 8% expected excess return and 16% volatility with cash. It wants 10% volatility. What allocation does it hold, and what excess return should it expect?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds
  9. 072A stock will join a benchmark tracked by Rs 20,000 crore of passive money at a 0.8% weight, and it trades Rs 60 crore a day. Estimate the passive demand in days of volume and the likely price pressure around the effective date.Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  10. 082Kovidam Steel trades at Rs 1,000 and its 30-day future at Rs 1,012. Funding costs 7% a year and no dividend is due. What is the fair futures price, what is the arbitrage, and what does it earn a year?Statistical arbitrage and event tradesWarm upSystematic hedge fundsQuant trading

Company names and figures are illustrative.