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 1–9 of 9 · 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. 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
  4. 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
  5. 058A long-short pair uses stock A (beta 1.2, size exposure 0.5) and stock B (beta 0.8, size exposure -0.3) on Rs 10 crore of gross exposure. Find market-neutral weights, then show what it costs to neutralise size as well with an index future.Portfolio constructionHardPortfolio constructionSystematic hedge funds
  6. 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
  7. 079Dhruvika's Rs 1,000 crore portfolio is 60% equity and 40% bonds. Equities rise 30% and bonds are flat. How far has it drifted, what trade restores it and what does that cost at 10 bps, and should the fund rebalance on a calendar or a threshold?Portfolio constructionCorePortfolio constructionSystematic hedge funds
  8. 090Sthiram's two assets have expected returns of 8% and 8.5%, volatilities of 15% and 16%, and correlation 0.9. Show how a half-point change in one expected return swings the mean-variance weights, and propose a fix.Portfolio constructionHardPortfolio constructionQuant research
  9. 100Vindhavan's two assets have equilibrium expected returns of 6% and 7%. A manager believes A will beat B by 3% and holds that view with 50% confidence. In a simple two-asset Black-Litterman setting, how do the blended expected returns move, and what happens to the weights?Portfolio constructionCorePortfolio constructionQuant research

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