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 31–40 of 100
  1. 031Three assets return 6%, 9% and 12% with volatilities of 8%, 15% and 25%. Long only, at most 50% in any one, target volatility 12%. Write the optimisation problem and find approximate weights.Portfolio constructionHardBlackRockNew York · 2025
  2. 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
  3. 033Given twenty days of desk P and L that include one very large loss, compute the 95% historical VaR, the normal VaR and the expected shortfall, and say which the risk committee should see.Risk measurement and limitsCoreBlackRockNew York · 2026
  4. 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
  5. 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
  6. 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
  7. 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
  8. 038You are short 1,000 calls struck at 500 on a stock at 500.2, thirty minutes before expiry, hedged with 500 shares. What is your exposure after uncertain exercise, and would you close the position?Options and volatility tradingCoreOptions market makingRisk quant
  9. 039A market maker's quotes update 200 microseconds after the index future moves. Faster traders pick off 30% of its stale quotes over 50 moves a day, each costing 3 ticks of 5 paise on 500 shares. What does latency cost a year, and is a Rs 2 crore co-location upgrade worth it?Execution and market microstructureHardExecution and microstructureOptions market making
  10. 040Daily card-spend data covers 8% of transactions for 60 listed retailers and arrives with a 3-day lag; results come out 45 days after quarter end. How long is the information window, and how precise can the estimate be?Signal research and data tasksCoreQuant researchSystematic hedge funds

Company names and figures are illustrative.