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 11–20 of 57 · filtered from 100Clear filters
  1. 019A signal's slope is 0.12 with an OLS standard error of 0.05, a t of 2.4, but the heteroskedasticity-robust standard error is 0.08. Recompute significance, say which to trust, and explain why the errors grow in volatile months.Regression and model reviewCoreQuant researchSystematic hedge funds
  2. 021Two bank stocks have 0.92 daily return correlation but their price ratio drifted from 1.0 to 1.6 over three years; a second pair has 0.55 correlation but a stationary spread with an ADF p-value of 0.01. Which pair do you trade?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant research
  3. 023An options book shows delta 2,000 shares, gamma 300 shares per rupee, vega Rs 2 lakh per vol point and theta minus Rs 1.5 lakh a day. The stock rises Rs 4 and implied volatility rises 1 point; reported P&L is Rs 1 lakh. Attribute the P&L and size the unexplained residual.Options and volatility tradingCoreOptions market makingRisk quant
  4. 025Build a risk-parity mix of equities (volatility 18%), bonds (6%) and gold (15%) ignoring correlations: the inverse-volatility weights, the portfolio volatility at zero correlation, and the leverage needed to reach 10% volatility.Portfolio constructionCorePortfolio constructionSystematic hedge funds
  5. 027A desk holds a variance swap struck at 25 volatility on Rs 1 crore vega notional. What does it pay if realised volatility is 35 or 15, and why is a delta-hedged straddle not the same trade?Options and volatility tradingHardOptions market makingQuant research
  6. 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
  7. 032A strategy has a Sharpe ratio of 1.0 at 12% volatility and a worst drawdown of 8% in two years live. What drawdown should investors expect over ten years, and is a 20% fall in year three evidence it is broken?Strategy evaluation and backtestsCoreSystematic hedge fundsRisk quant
  8. 034A strategy has expected excess return of 8% and volatility of 16% a year. What is the full-Kelly leverage, what growth do full and half Kelly give, and what gross exposure would you run on Rs 200 crore?Position sizing and bankrollCoreSystematic hedge fundsQuant trading
  9. 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
  10. 036A stock's 36-month rolling beta has ranged from 0.7 to 1.5 and its 12-month rolling beta from 0.3 to 2.1. How much of that is estimation noise, how would you test for genuine change, and which window would you use?Regression and model reviewCoreQuant researchRisk quant

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