NISM Series XXI-B case set 3

A ₹100 lakh portfolio contains ₹25 lakh of direct bank shares, ₹35 lakh in Fund A, ₹30 lakh in Fund B and ₹10 lakh cash. Fund A has 40% of its assets in banks and Fund B has 20%. The direct bank sleeve has beta 1.4, Fund A beta 1.2, Fund B beta 0.8 and cash beta zero, all measured against the same market. Assume these estimates and each fund’s sector weights remain fixed during the exercise. The client’s agreed mandate caps total bank exposure, including exposure through funds, at 35% of total portfolio value. The manager may sell direct bank shares into cash without fees or price movement. No other transaction is planned.

All amounts and contract terms in this case are hypothetical.