Andre F. Perold
George Gund Professor of Finance and Banking, Emeritus
André Perold is a Founder, Managing Partner, and Chief Investment Officer of HighVista Strategies, a Boston-based endowment management firm. HighVista employs an approach based on broad diversification and risk management across global asset classes and alternative investments. Perold is also the George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School, where he had a distinguished career over more than three decades before assuming his current role at HighVista in mid-2011. He had previously served as Chairman of HighVista’s Investment Committee while he was still at Harvard.
Perold is the author and co-author of numerous articles, cases, and two books, all relating to investment management, capital markets, and the financial system. At Harvard Business School, he developed popular courses in Investment Management and Capital Markets, including a recent course focused on investing in real assets. Perold has received numerous awards for teaching excellence, and he was voted the School’s most outstanding professor in a Business Week student survey. He also served in senior roles at Harvard Business School, including as a Senior Associate Dean and Chair of the Finance Faculty.
In addition to his work at Harvard and HighVista, Perold has served as a director, trustee and advisory board member of a variety of not-for-profit and other organizations. He is presently a director of The Vanguard Group and Rand Merchant Bank, and is an Overseer of the Museum of Fine Arts Boston. He also serves on a number of advisory boards, including the Advisory Council of the Financial Analysts Journal. Perold received his Bachelor's degree from the University of the Witwatersrand, Johannesburg, and his Masters and Ph.D. degrees from Stanford University.
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Manual
| 1996
Teacher's Manual for Cases in Financial Engineering: Applied Studies of Financial Innovation
Scott P. Mason, Robert C. Merton, André Perold and Peter Tufano
Keywords: Finance;
Innovation and Invention;
Cases;
Citation: Mason, Scott P., Robert C. Merton, André Perold, and Peter Tufano. Teacher's Manual for Cases in Financial Engineering: Applied Studies of Financial Innovation. Prentice Hall, 1996.
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Book
| 1995
The Global Financial System: A Functional Perspective
D. B. Crane, K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri and P. Tufano
Keywords: corporate finance;
Imperfect markets;
behavioral finance;
Asset Pricing;
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Book
| 1995
Cases in Financial Engineering: Applied Studies of Financial Innovation
Scott P. Mason, Robert C. Merton, André Perold and Peter Tufano
Keywords: Finance;
Innovation and Invention;
Cases;
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Editorial
| Journal of Portfolio Management
|
Risk Is a Choice Rather Than a Fate
Andre F. Perold
Keywords: Risk and Uncertainty;
Decision Choices and Conditions;
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Article
| Financial Analysts Journal
|
Fundamentally Flawed Indexing
Andre F. Perold
A new theory of finance is being advanced as providing definitive proof that holding stocks in proportion to their market capitalizations is an inferior investment strategy. The claim is that capitalization weighting necessarily invests more in overvalued stocks and less in undervalued stocks. Dubbed the "noisy market hypothesis," the theory is being used to advocate investments in non-cap-weighted (sometimes called "fundamental") funds and indices. Unfortunately, there is a fundamental flaw in the logic. The "theory" is seeking to position an active management strategy in a passive management framework. And it asserts rather than derives the inferiority of capitalization weighting. The assertion, moreover, is false. Bottom line? Capitalization weighting does not impose an inherent performance drag. This article lays out what the noisy market hypothesis is claiming and then explain why the conclusion it reaches about the inferiority of capitalization weighting is incorrect.
Keywords: Investment;
Capital Markets;
Financial Strategy;
Stocks;
Financial Management;
Valuation;
Citation: Perold, Andre F. " Fundamentally Flawed Indexing." Financial Analysts Journal 63, no. 6 (November–December 2007). (Winner of Graham and Dodd Best Perspectives Award For excellence in financial writing.)
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Article
| Journal of Applied Corporate Finance
|
Capital Allocation in Financial Firms
André Perold
Keywords: Resource Allocation;
Capital;
Finance;
Business Ventures;
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Article
| Journal of Economic Perspectives
|
The Capital Asset Pricing Model
André Perold
Keywords: Capital;
Assets;
Price;
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Article
| Journal of Futures Markets
|
New Trading Practices and Short-Run Market Efficiency
Kenneth A. Froot and André Perold
Keywords: institutional investing;
market efficiency;
behavioral finance;
equities;
stock market;
indexing;
Financial Markets;
Asset Pricing;
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Article
| Shōken [Securities]
|
The Changing Character of Stock Market Liquidity
André Perold and James F. Gammill
Keywords: Stocks;
Markets;
Financial Liquidity;
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Article
| Continental Bank Journal of Applied Corporate Finance
|
Theory of Risk Capital in Financial Firms
Robert C. Merton and André Perold
Keywords: Theory;
Risk and Uncertainty;
Capital;
Business Ventures;
Financial Services Industry;
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Article
| Journal of Economic Dynamics & Control
|
Theory of Constant Proportion Portfolio Insurance
André Perold and Fischer Black
Keywords: Theory;
Insurance;
Investment;
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Article
| Continental Bank Journal of Applied Corporate Finance
|
Shareholder Trading Practices and Corporate Investment Horizons
Kenneth A. Froot, André Perold and J. Stein
Keywords: institutional investing;
market efficiency;
behavioral finance;
equities;
stock market;
indexing;
Financial Markets;
Asset Pricing;
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Article
| Financial Analysts Journal
|
The Right Amount of Assets under Management
André Perold and Robert S. Salomon Jr.
Keywords: Assets;
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Article
| Market Volatility and Investor Confidence: Report to the Board of Directors of the New York Stock Exchange, Inc.
|
New Trading Practices and the Short-run Predictability of the S&P 500
André Perold, Kenneth A. Froot and James F. Gammill Jr.
Keywords: Financial Markets;
asset pricing;
institutional investing;
market efficiency;
behavioral finance;
equities;
stock market;
indexing;
Citation: Perold, André, Kenneth A. Froot, and James F. Gammill Jr. "New Trading Practices and the Short-run Predictability of the S&P 500." Market Volatility and Investor Confidence: Report to the Board of Directors of the New York Stock Exchange, Inc. (June 7, 1990): G1: 1–27.
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Article
| Tōshi kōgaku [Investment technology]
|
The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making
André Perold and Jay O. Light
Keywords: Wealth;
Investment;
Decision Making;
Citation: Perold, André, and Jay O. Light. "The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making." Tōshi kōgaku [Investment technology] 2 (1990): 63–96.
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Article
| Journal of Portfolio Management
|
The Changing Character of Stock Market Liquidity
André Perold and James F. Gammill
Keywords: Stocks;
Markets;
Financial Liquidity;
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Article
| Financial Analysts Journal
|
The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards
André Perold and Evan C. Schulman
Keywords: Currency;
Investment;
Performance;
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Journal Article
| Journal of Portfolio Management
|
The Implementation Shortfall: Paper vs. Reality
André Perold
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Article
| Financial Analysts Journal
|
Dynamic Strategies for Asset Allocation
André Perold and William F. Sharpe
Keywords: Strategy;
Assets;
Resource Allocation;
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Article
| Management Science
|
Large-Scale Portfolio Optimization
André Perold
Keywords: Financial Instruments;
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Article
| Journal of Optimization Theory and Applications
|
Optimality Conditions and Strong Duality in Abstract and Continuous Time Linear Programming
André Perold and R. Meidan
Keywords: Mathematical Methods;
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Article
| SIAM Journal on Control and Optimization
|
Some Properties of a Class of Continuous Linear Programs
André Perold, E. J. Anderson and P. Nash
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Journal Article
| Journal of Finance
|
Portfolio Analysis with Factors and Scenarios
André Perold and Harry M. Markowitz
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Article
| SIAM Journal on Control and Optimization
|
Extreme Points and Basic Feasible Solutions in Continuous Time Linear Programming
André Perold
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Journal Article
| Mathematical Programming
|
A Degeneracy Exploiting LU Factorization for the Simplex Method
André Perold
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Journal Article
| Mathematical Programming
|
A Generalization of the Frank-Wolfe Theorem
André Perold
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Article
| Discrete Mathematics
|
Combinatorial Designs Related to the Strong Perfect Graph Conjecture
André Perold, V. Chvatal, R. L. Graham and S. Whitesides
Keywords: Design;
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Article
| Mathematical Programming
|
An Alternative Model for a Global Analysis of Quadratic Programs in a Finite Number of Steps
André Perold
Keywords: Global Range;
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Article
| Sparse Matrix Proceedings
|
A Basis Factorization Method for Block Triangular Linear Programs
André Perold and G. B. Dantzig
Keywords: Programs;
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Article
| Utilitas mathematica
|
On the Joint Distribution of Left- and Right-sided Outliner Statistics
André Perold and D. M. Hawkins
Keywords: Mathematical Methods;
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Chapter
| The Financing of Property and Causality Risk
| 1998
Comments on 'Index Hedge Performance: Insurer Market Penetration and Basis Risk' by John A. Major
André Perold
Keywords: Insurance;
Risk and Uncertainty;
Insurance Industry;
Citation: Perold, André. "Comments on 'Index Hedge Performance: Insurer Market Penetration and Basis Risk' by John A. Major." In The Financing of Property and Causality Risk, edited by Kenneth A. Froot. University of Chicago Press, 1998.
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Chapter
| The Global Financial System: A Functional Perspective
| 1995
The Payment System and Derivative Instruments
André Perold
Keywords: Financial Instruments;
Financial Markets;
Citation: Perold, André. "The Payment System and Derivative Instruments." In The Global Financial System: A Functional Perspective, by D. B. Crane, K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. Boston: Harvard Business School Press, 1995.
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Chapter
| Financial Services: Perspectives and Challenges
| 1993
Management of Risk Capital in Financial Firms
Robert C. Merton and André Perold
Keywords: Risk Management;
Capital;
Financial Institutions;
Financial Services Industry;
Citation: Merton, Robert C., and André Perold. " Management of Risk Capital in Financial Firms." In Financial Services: Perspectives and Challenges, edited by Samuel L. Hayes III, 215–245. Boston, MA: Harvard Business School Press, 1993.
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Chapter
| The Currency Hedging Debate
| 1990
The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards
André Perold and Evan C. Schulman
Keywords: Currency Exchange Rate;
International Finance;
Investment;
Performance;
Citation: Perold, André, and Evan C. Schulman. "The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards." In The Currency Hedging Debate, edited by Lee R. Tomas III, 15–24. IFR Publishing, 1990.
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Chapter
| Wall Street and Regulation
| 1987
The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making
André Perold and Jay O. Light
Keywords: Decision Making;
Trends;
Investment;
Wealth;
Citation: Perold, André, and Jay O. Light. "The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making." In Wall Street and Regulation, edited by Samuel L. Hayes III, 97–126. Boston: Harvard Business School Press, 1987.
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Chapter
| Large Scale Linear Programming
| 1981
A Degeneracy Exploiting LU Factorization for the Simplex Method
André Perold
Keywords: Mathematical Methods;
Citation: Perold, André. "A Degeneracy Exploiting LU Factorization for the Simplex Method." In Large Scale Linear Programming, edited by G. B. Dantzig, M. A. H. Dempster, and Markku Kallio. Laxenburg, Austria: International Institute for Applied Systems Analysis (IIASA), 1981.
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Chapter
| Large Scale Linear Programming
| 1981
Exploiting Degeneracy in the Simplex Method
André Perold
Keywords: Mathematical Methods;
System;
Citation: Perold, André. "Exploiting Degeneracy in the Simplex Method." In Large Scale Linear Programming, edited by G. B. Dantzig, M. A. H. Dempster, and Markku Kallio. Laxenburg, Austria: International Institute for Applied Systems Analysis (IIASA), 1981.
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Chapter
| Sparse Matricies and Their Uses
| 1981
Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems
André Perold and Harry M. Markowitz
Keywords: Investment Portfolio;
Mathematical Methods;
Citation: Perold, André, and Harry M. Markowitz. "Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems." In Sparse Matricies and Their Uses, edited by I. S. Duff. Academic Press, 1981.
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Working Paper
| HBS Working Paper Series
| 1998
Capital Allocation in Financial Firms
André Perold
Citation: Perold, André. "Capital Allocation in Financial Firms." Harvard Business School Working Paper, No. 98–072, June 1998.
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Working Paper
| HBS Working Paper Series
| 1996
The Determinants of Optimal Currency Hedging
Kenneth Froot and André Perold
Keywords: currency;
Hedging;
asset pricing;
transaction costs;
Exchange rates;
international finance;
International Markets;
Citation: Froot, Kenneth, and André Perold. "The Determinants of Optimal Currency Hedging." Harvard Business School Working Paper, No. 97–011, October 1996.
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Working Paper
| HBS Working Paper Series
| 1996
The Cost of International Equity Trading
André Perold and Erik R. Sirri
Citation: Perold, André, and Erik R. Sirri. "The Cost of International Equity Trading." Harvard Business School Working Paper, No. 97–012, October 1996.
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Working Paper
| HBS Working Paper Series
| 1996
Debt Overhang and Financial Slack
André Perold and Kuljot Singh
Citation: Perold, André, and Kuljot Singh. "Debt Overhang and Financial Slack." Harvard Business School Working Paper, No. 97–010, October 1996.
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Case
| HBS Case Collection
|
2012
(Revised from original 2012 version)
RMS: Investing in Chinese Timberland
Andre F. Perold
The protagonist is considering acquiring a timber property located in rural China, a region where almost no timberland investment has taken place. The question is how to value the property, including understanding the appropriate risk-adjusted return.
Keywords: China;
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Case
| HBS Case Collection
|
2011
(Revised from original 2010 version)
Gone Rural
Andre F. Perold
Gone Rural employs 750 women in rural communities across Swaziland to produce handwoven baskets and other hand-crafted items. The women are mostly grandmothers caring for children orphaned as a result of the country's high AIDS-related death rate. The company has a strong social mission to improve the economic situation of these women and wants to grow rapidly. It has been very successful designing, making, and selling its products in the high-end global market place. It now needs to raise significant external capital to build new facilities. This may be the first time in its 18-year history that the company brings in external profit-minded stakeholders.
Keywords: Social Enterprise;
Financial Management;
Working Capital;
Cost of Capital;
Capital Structure;
Corporate Social Responsibility and Impact;
Forecasting and Prediction;
Swaziland;
Citation: Perold, Andre F. " Gone Rural." Harvard Business School Case 211-016, March 2011. (Revised from original September 2010 version.)
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Case
| HBS Case Collection
|
2012
(Revised from original 2010 version)
Harvard Management Company (2010)
Andre F. Perold and Erik Stafford
In February 2010, Jane Mendillo, CEO of Harvard Management Company, was reflecting on the list of issues facing Harvard University's endowment in preparation for the upcoming board meeting. The recent financial crisis had vividly highlighted several key issues including the adequacy of short-term liquidity, the effectiveness of portfolio risk management, and the balance of internal and external managers.
Keywords: Financial Crisis;
Higher Education;
Asset Management;
Financial Liquidity;
Investment Portfolio;
Risk Management;
Education Industry;
Financial Services Industry;
Massachusetts;
Citation: Perold, Andre F., and Erik Stafford. " Harvard Management Company (2010)." Harvard Business School Case 211-004, May 2012. (Revised from original September 2010 version.)
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Case
| HBS Case Collection
|
2012
(Revised from original 2010 version)
Dollarama Inc.
Andre F. Perold
Dollarama is the leading operator of dollar stores in Canada. The firm performed extraordinarily well after a leveraged buyout in 2004 and recently executed a highly successful IPO. The company sources its goods primarily from Asia. It has strong brand recognition and competitive advantages in operations, purchasing, and merchandising. In the face of margin pressures, Dollarama recently took the risky decision to move from the single one-dollar price point to multiple price points. The additional price points offer some flexibility, but customers' appetite for purchasing products priced above one dollar has yet to be fully determined. Dollarama is on a fast growth track but remains chiefly concerned about its vulnerability to supply disruptions and to increases in merchandise costs from higher input prices. The firm appears quite overvalued based on a multiples analysis but considerably undervalued based on a discounted cash flow analysis.
Keywords: Price;
Growth and Development Strategy;
Product Positioning;
Supply Chain;
Competitive Advantage;
Valuation;
Consumer Products Industry;
Retail Industry;
Canada;
Citation: Perold, Andre F. " Dollarama Inc." Harvard Business School Case 210-041, May 2012. (Revised from original February 2010 version.)
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Teaching Note
| HBS Case Collection
|
2010
Rosetree Mortgage Opportunity Fund (TN)
Victoria Ivashina and Andre F. Perold
Teaching Note for [209088].
Keywords: Financial Crisis;
Crisis Management;
Capital;
Mortgages;
Mergers and Acquisitions;
Valuation;
Borrowing and Debt;
Cash Flow;
Bids and Bidding;
Financing and Loans;
Restructuring;
Financial Markets;
United States;
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Case
| HBS Case Collection
|
2010
(Revised from original 2009 version)
The University of Notre Dame Endowment
Andre F. Perold and Paul Michael Buser
The Endowment Model of Investing, which was based on creating high risk-adjusted performance through diversification, a long time horizon, top-notch outside managers, and illiquid investments, had served Notre Dame and other large universities well over the past several decades. Scott Malpass, Notre Dame's Chief Investment Officer, was confident that this was a successful way to invest if implemented effectively, but he also saw the top university endowments experience 25% to 35% declines in portfolio value during the second half of 2008 that eviscerated the investment gains from the past several years. Notre Dame had weathered the crisis relatively well, but there were several key questions Malpass had to address. Should Notre Dame continue to make illiquid investments in the context of rising unfunded commitments relative to liquid funds? Was compensation adequate for the illiquidity of these types of investments? In relation to manager selection, how could the Notre Dame investment team continue to find the best managers to create alpha? To what extent would the performance of managers during the crisis be predictive of future performance in other portions of the economic cycle? How would the long-established industry terms of contract between clients and managers change going forward? Was there an opportunity for clients to negotiate better terms? These issues all needed to be addressed in the context of protecting the University's operating budget and supporting the mission of the institution.
Keywords: Financial Crisis;
Higher Education;
Asset Management;
Private Equity;
Financial Liquidity;
Investment;
Risk Management;
Performance Evaluation;
Education Industry;
Financial Services Industry;
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Background Note
| HBS Case Collection
|
2009
(Revised from original 2008 version)
The Carbon Market
Andre F. Perold, Forest L. Reinhardt and Mikell Hyman
The carbon market has emerged in response to concerns about global climate change. This note characterizes the market in 2008, describing each segment and how it operates.
Keywords: Non-Renewable Energy;
Market Transactions;
Environmental Sustainability;
Weather and Climate Change;
Citation: Perold, Andre F., Forest L. Reinhardt, and Mikell Hyman. " The Carbon Market." Harvard Business School Background Note 209-064, October 2009. (Revised from original September 2008 version.)
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Case
| HBS Case Collection
|
2009
(Revised from original 2007 version)
Allston: Brand vs. Architecture
Andre F. Perold, Arthur I Segel and Christopher M. Gordon
Harvard President Lawrence Summers had presided over the final interviews of world-renowned architects being considered for the science complex planned for Harvard's expanded campus in Allston. The selection process had absorbed nine months in 2005 and amplified the long-standing debate about Harvard architecture. How will the proposed new complex be received be faculty, students, alumni, neighbors, and the public?
Keywords: Decision Choices and Conditions;
Brands and Branding;
Design;
Urban Development;
Management Teams;
Construction Industry;
Boston;
Citation: Perold, Andre F., Arthur I Segel, and Christopher M. Gordon. " Allston: Brand vs. Architecture." Harvard Business School Case 208-079, March 2009. (Revised from original November 2007 version.)
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Case
| HBS Case Collection
|
2009
(Revised from original 2008 version)
Rosetree Mortgage Opportunity Fund
Victoria Ivashina and Andre F. Perold
In December 2008, in the midst of the worst financial crisis since the Great Depression, Rosetree Capital Management was evaluating the purchase of a pool of U.S. residential mortgages. The firm had formed an investment vehicle to acquire troubled residential mortgages from banks and other motivated sellers. The idea was to purchase mortgage loans at a discount and to work with individual borrowers to restructure their debts. Performing mortgages could then potentially be resold in the secondary market. The case provides cash flow projections in various economic scenarios that are revealing of the economics of troubled mortgages and home foreclosure. Rosetree needed to decide whether and how much to bid for the loans.
Keywords: Financial Crisis;
Borrowing and Debt;
Mortgages;
Investment;
Housing;
Valuation;
United States;
Citation: Ivashina, Victoria, and Andre F. Perold. " Rosetree Mortgage Opportunity Fund." Harvard Business School Case 209-088, March 2009. (Revised from original December 2008 version.)
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Case
| HBS Case Collection
|
2008
(Revised from original 2008 version)
Leveraged Loans 2007
Andre F. Perold and Erik Stafford
The leveraged loan market was in a crisis during the summer of 2007, following many years of low realized volatility (less than 4% per annum), an index of leveraged loans had fallen over 5% in the month of July. A sudden drop in capital market prices for an asset class can be caused by news affecting fundamental values; or by a widespread liquidity shock. The implication of a shock to fundamental value is that the price drop is permanent, whereas if the underlying cause of the price drop is caused by a liquidity event, the situation may represent a profitable investment opportunity. Investors must assess the likely cause of the recent price drops in the leveraged loan market and determine an appropriate investment strategy.
Keywords: History;
Financial Liquidity;
Investment;
Financial Crisis;
Market Transactions;
Disruption;
Decision Choices and Conditions;
Competitive Strategy;
Capital Markets;
Crisis Management;
Commercial Banking;
Banking Industry;
Financial Services Industry;
Citation: Perold, Andre F., and Erik Stafford. " Leveraged Loans 2007." Harvard Business School Case 208-145, December 2008. (Revised from original April 2008 version.)
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Case
| HBS Case Collection
|
2008
(Revised from original 2008 version)
International Carbon Finance and EcoSecurities
Andre F. Perold, Forest L. Reinhardt and Mikell Hyman
In late 2007, EcoSecurities had to decide whether to undertake a new Clean Development Mechanism (CDM) project in China. EcoSecurities was an aggregator of carbon credits and also invested directly in projects that produced carbon credits. Governments and firms required to cut their greenhouse gas emissions under the Kyoto Protocol could use carbon credits to fulfill part of their compliance obligations. As demand for UN-issued carbon credits rose, the UN approval process had become increasingly burdensome. The Ventilation Air Methane Project was an opportunity to break into a new sector with large potential, and the economics and risks of the project needed to be assessed.
Keywords: Non-Renewable Energy;
Cost Management;
Investment Return;
Business and Government Relations;
Risk and Uncertainty;
Investment;
Cash Flow;
Valuation;
Pollution and Pollutants;
Environmental Sustainability;
Financial Services Industry;
China;
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Case
| HBS Case Collection
|
2008
(Revised from original 2006 version)
The Howland Long-Term Opportunity Fund
Andre F. Perold and David S. Scharfstein
Melissa Howland, founder of an investment firm, must choose between two competing investments, which differ in size, maturity, and rate of return.
Keywords: Decision Choices and Conditions;
Financial Instruments;
Investment Return;
Investment Funds;
Value;
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Case
| HBS Case Collection
|
2008
(Revised from original 2006 version)
Ben Walter
Andre F. Perold and David S. Scharfstein
Ben Walter is thinking of purchasing Butler Lumber and needs to decide how he would run the business and how much to pay for it.
Keywords: Mergers and Acquisitions;
Decision Choices and Conditions;
Investment;
Valuation;
Citation: Perold, Andre F., and David S. Scharfstein. " Ben Walter." Harvard Business School Case 207-070, April 2008. (Revised from original October 2006 version.)
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Teaching Note
| HBS Case Collection
|
2008
Leveraged Loans 2007 (TN)
Andre F. Perold and Erik Stafford
Teaching Note for 208-145.
Keywords: Banking Industry;
Financial Services Industry;
Citation: Perold, Andre F., and Erik Stafford. " Leveraged Loans 2007 (TN)." Harvard Business School Teaching Note 208-146, April 2008.
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Case
| HBS Case Collection
|
2008
(Revised from original 2006 version)
2006 Hurricane Risk
Andre F. Perold and Erik Stafford
In May 2006, a resident of Key West, Florida had to decide whether to renew his policy to insure against hurricane damage. The policy would cost $13,000 for one year, $5,000 more than what he paid in 2005. At the same time, a wealthy California resident was contemplating an opportunity to buy a "cat note" that offered a high yield, but with a chance of losing the full investment if severe hurricanes struck the coastline of the United States.
Keywords: Capital Markets;
Cost;
Insurance;
Price;
Risk Management;
California;
Key West;
Citation: Perold, Andre F., and Erik Stafford. " 2006 Hurricane Risk." Harvard Business School Case 207-075, March 2008. (Revised from original October 2006 version.)
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Teaching Note
| HBS Case Collection
|
2008
2006 Hurricane Risk (TN)
André Perold and Erik Stafford
Teaching Note for [207075].
Keywords: Decision Choices and Conditions;
Loss;
Investment;
Insurance;
Natural Disasters;
California;
Citation: Perold, André, and Erik Stafford. " 2006 Hurricane Risk (TN)." Harvard Business School Teaching Note 208-140, March 2008.
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Background Note
| HBS Case Collection
|
2008
Measuring Investment Performance
Andre F. Perold and Kenneth A. Froot
Examines various approaches to measuring investment performance. The approaches include the use of risk exposure and the Sharpe and Information Ratios. Applies the approaches to a variety of mutual funds to demonstrate the effect of using different metrics to measure fund performance.
Keywords: Financial Management;
Investment;
Management Analysis, Tools, and Techniques;
Measurement and Metrics;
Performance;
Risk and Uncertainty;
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Case
| HBS Case Collection
|
2007
(Revised from original 2006 version)
The Vanderbilt University Endowment (2006)
Andre F. Perold and William T. Spitz
As with many modern-day large pools of capital, the Vanderbilt University endowment is significantly invested in alternative assets such as hedge funds, private equity, real estate, and natural resources. The endowment's investment committee chair is attempting to understand the complexity of the portfolio and the risks that might be present. How should the risks of these sophisticated strategies be measured? And, in particular, what risks is the endowment exposed to by virtue of the many types of leverage inherent in alternative investment strategies. Finally, did the institution have sufficient resources to manage such a portfolio, and was the investment committee providing sufficient oversight.
Keywords: Higher Education;
Asset Management;
Financial Management;
Financial Strategy;
Investment Portfolio;
Risk Management;
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Case
| HBS Case Collection
|
2007
AXA MONY
Lucy White and Andre F. Perold
AXA's friendly bid for MONY is contested by activist hedge funds suspicious of management's generous change in control contracts. Votes trade after the record date. AXA financed the bid using an unusual conditionally convertible bond which may have affected incentives to trade and vote MONY shares.
Keywords: Bonds;
Ethics;
Bids and Bidding;
Citation: White, Lucy, and Andre F. Perold. " AXA MONY." Harvard Business School Case 208-062, November 2007.
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Case
| HBS Case Collection
|
2007
(Revised from original 2002 version)
Grantham, Mayo, Van Otterloo & Co., 2001
Joshua Musher and Andre F. Perold
Asset manager GMO underperforms the market during the 1996-2000 stock market bubble because of the focus on absolute risk. After suffering significant client withdrawals, performance again shines when the bubble collapses. Did they win the battle only to lose the war? This case reviews the quantitative investment process developed by the firm to manage assets and the philosophy behind the models and the firm. Now that performance has recovered, the partners contemplate why so much business was lost. Should they temper further bets to retain more business, or does the fiduciary duty to the client necessarily entail the risk that some clients will leave?
Keywords: Customers;
Asset Management;
Stocks;
Investment;
Price Bubble;
Mathematical Methods;
Risk and Uncertainty;
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Case
| HBS Case Collection
|
2007
(Revised from original 2006 version)
Grosvenor Group Limited
Andre F. Perold, Arthur I Segel, Oliver Corlette and Soyoun Song
A global real estate investment firm is trying to decide whether to enter into a property-derivative transaction to help it effect a change in asset allocation. The market for real estate derivatives is beginning to grow quite rapidly and the firm is trying to understand how to use these instruments in managing its business.
Keywords: Asset Management;
Financial Instruments;
Financial Markets;
Business or Company Management;
Property;
Financial Services Industry;
Real Estate Industry;
Citation: Perold, Andre F., Arthur I Segel, Oliver Corlette, and Soyoun Song. " Grosvenor Group Limited." Harvard Business School Case 207-064, October 2007. (Revised from original October 2006 version.)
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Case
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2012
(Revised from original 2006 version)
Kerr-McGee
Robin Greenwood and Andre F. Perold
Activist investors Carl Icahn and Barry Rosenstein acquire a stake in Oklahoma-based company Kerr-McGee. They demand two board seats and ask the company to make several operational and financial changes, including the repurchase of equity and divestiture of their chemicals business. The case protagonist, Luke Corbett, CEO, opposes these changes,
Keywords: Restructuring;
Chemicals;
Equity;
Investment;
Governance Controls;
Managerial Roles;
Chemical Industry;
Energy Industry;
United States;
Citation: Greenwood, Robin, and Andre F. Perold. " Kerr-McGee." Harvard Business School Case 207-020, July 2012. (Revised from original November 2006 version.)
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Background Note
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2007
(Revised from original version)
Introduction to Portfolio Theory
Andre F. Perold
Introductory note describing the basic building blocks of Markowitz's mean-variance portfolio theory.
Keywords: Theory;
Investment Portfolio;
Citation: Perold, Andre F. " Introduction to Portfolio Theory." Harvard Business School Background Note 185-066, February 2007. (Revised from original October 1984 version.)
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Background Note
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2007
(Revised from original 1998 version)
Measuring Mutual Fund Performance
Andre F. Perold and Markus Mullarkey
Examines various approaches to measuring mutual fund performance. The approaches include the use of risk exposure and the Sharpe Ratio, as well as the Morningstar star system for rating mutual funds. Applies the approaches to a variety of mutual funds to demonstrate the effect of using different metrics to measure fund performance.
Keywords: Investment Funds;
Performance;
Citation: Perold, Andre F., and Markus Mullarkey. " Measuring Mutual Fund Performance." Harvard Business School Background Note 298-139, February 2007. (Revised from original May 1998 version.)
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Case
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2007
(Revised from original 1998 version)
Morningstar, Inc.
Andre F. Perold and Markus Mullarkey
Morningstar, Inc., a publisher of information for mutual fund investors, is considering alternative strategies for broadening its subscriber base and increasing its revenues. Potential strategies include tailoring information for the defined contribution pension fund marketplace, and licensing Morningstar's performance ratings to fund complexes. This case provides a setting in which to discuss the U.S. mutual fund industry, with particular focus on mutual fund performance measurement and the information needs of consumers of mutual funds.
Keywords: Investment Funds;
Asset Management;
Revenue;
Financial Strategy;
Publishing Industry;
Financial Services Industry;
United States;
Citation: Perold, Andre F., and Markus Mullarkey. " Morningstar, Inc." Harvard Business School Case 298-140, February 2007. (Revised from original May 1998 version.)
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Case
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2006
(Revised from original 2003 version)
Maverick Capital
Andre F. Perold, Chris McIsaac and Marc Ricks
Maverick Capital, a $7 billion hedge fund, faced a number of long-term strategic questions, particularly the issue of growth. With all of its assets invested with one strategy, Maverick was already managing more capital in a dedicated approach than any hedge fund in the world. How much growth could Maverick sustain? If Maverick should grow, how should it do so, and how would this choice affect Maverick's investment approach? Should Maverick take bigger positions in companies? Should it add more stocks to the portfolio? Was it time to reconsider Maverick's net long exposure to the market?
Keywords: Assets;
Capital;
Stocks;
Financial Strategy;
Investment Funds;
Investment Portfolio;
Growth and Development Strategy;
Citation: Perold, Andre F., Chris McIsaac, and Marc Ricks. " Maverick Capital." Harvard Business School Case 204-013, October 2006. (Revised from original December 2003 version.)
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Case
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2006
Stedman Place: Buy or Rent?
Andre F. Perold and David S. Scharfstein
A couple has to decide whether to continue renting a townhouse or buy the one next door. Allows for a discussion of net present value, internal rate of return, and the costs and benefits of homeownership.
Keywords: Cost vs Benefits;
Decisions;
Asset Pricing;
Investment Return;
Housing;
Family Ownership;
Renting or Rental;
Valuation;
Citation: Perold, Andre F., and David S. Scharfstein. " Stedman Place: Buy or Rent?" Harvard Business School Case 207-063, September 2006.
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Case
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2006
(Revised from original version)
Global Equity Markets: The Case of Royal Dutch and Shell
Kenneth A. Froot and Andre F. Perold
Royal Dutch and Shell common stocks are securities with linked cash flow, so that the ratio of their stock prices should be fixed. In fact, the ratio is highly variable, moving with the markets where the securities are intensively traded. Royal Dutch trades more actively in the Netherlands and U.S. markets, whereas Shell trades more actively in the United States. The result is that the Royal Dutch/Shell relative price moves positively with the Netherlands and U.S. markets and negatively with the U.K. market. The ability to arbitrage these disparities and their causes are major case focal points.
Keywords: international equity markets;
international cost of capital;
cross-border valuation;
International Finance;
Equity;
Cost of Capital;
Valuation;
Cash Flow;
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Case
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2004
(Revised from original 1999 version)
Long-Term Capital Management, L.P. (D)
Andre F. Perold
Supplements the (C) case.
Keywords: Financial Services Industry;
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Case
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2004
(Revised from original 2003 version)
AT&T Canada (A)
Andre F. Perold and Kwame C. Van Leeuwen
AT&T Canada (ATTC) is a merger arbitrage situation where AT&T Corp. has a contractual commitment to purchase the shares of ATTC at an escalating formula price. However, ATTC's business is performing poorly, and its bonds are trading at significant discounts to par. Subject to AT&T Corp. honoring its obligation, the shares of ATTC appear to be attractively priced. The case presents the situation from the perspective of a value investor who is trying to decide what positions to take in ATTC's shares and its bonds.
Citation: Perold, Andre F., and Kwame C. Van Leeuwen. " AT&T Canada (A)." Harvard Business School Case 204-087, October 2004. (Revised from original October 2003 version.)
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Case
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2004
(Revised from original 2004 version)
Man Group plc
Andre F. Perold and Herve Duteil
In 2004, Man Group was the world's largest packager and distributor of investment vehicles tied to hedge funds. The firm had an equity market capitalization of $10 billion and funds under management of $38 billion. Man's offerings spanned a wide range of risk/reward profiles packaged in the form of diversified funds of hedge funds, funds that focused on specific hedge fund styles, and funds that invested in a single hedge fund manager. The company also created structured products that consisted of funds of hedge funds combined with principal protection and leverage. An essential part of the strategy was to grow and maintain a global distribution network. Believers considered Man Group to be at the vanguard of a revolution in the investment management industry, while skeptics thought the hedge fund space had become overcrowded and that it would be hard for Man to scale its business and obtain good investment returns for clients.
Keywords: Capital Markets;
Investment;
Investment Return;
Investment Funds;
Global Strategy;
Distribution;
Product Development;
Financial Services Industry;
Citation: Perold, Andre F., and Herve Duteil. " Man Group plc." Harvard Business School Case 205-007, July 2004. (Revised from original July 2004 version.)
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Case
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2004
(Revised from original 2003 version)
AT&T Canada (B)
Andre F. Perold and Kwame C. Van Leeuwen
Supplements the (A) case.
Keywords: Telecommunications Industry;
Citation: Perold, Andre F., and Kwame C. Van Leeuwen. " AT&T Canada (B)." Harvard Business School Case 204-088, June 2004. (Revised from original October 2003 version.)
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Case
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2004
(Revised from original 2003 version)
AT&T Canada (C)
Andre F. Perold and Kwame C. Van Leeuwen
Supplements the (A) case.
Keywords: Telecommunications Industry;
Citation: Perold, Andre F., and Kwame C. Van Leeuwen. " AT&T Canada (C)." Harvard Business School Case 204-089, June 2004. (Revised from original October 2003 version.)
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Case
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2004
(Revised from original 2003 version)
AT&T Canada (D)
Andre F. Perold and Kwame C. Van Leeuwen
Supplements the (A) case.
Keywords: Telecommunications Industry;
Citation: Perold, Andre F., and Kwame C. Van Leeuwen. " AT&T Canada (D)." Harvard Business School Case 204-090, June 2004. (Revised from original October 2003 version.)
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Teaching Note
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2004
(Revised from original 1996 version)
Arley Merchandise Corporation TN
William E. Fruhan Jr. and Andre F. Perold
Teaching Note for (9-287-063).
Keywords: Apparel and Accessories Industry;
Service Industry;
Citation: Fruhan, William E., Jr., and Andre F. Perold. " Arley Merchandise Corporation TN." Harvard Business School Teaching Note 296-070, January 2004. (Revised from original February 1996 version.)
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Teaching Note
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2004
Ford Motor Company's Value Enhancement Plan (A) (TN)
Andre F. Perold and Peter Tufano
Teaching Note to (9-201-079).
Keywords: Auto Industry;
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Case
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2003
(Revised from original 2002 version)
Unilever Superannuation Fund vs. Merrill Lynch, The
Andre F. Perold and Joshua Musher
In 2001, the Unilever Superannuation Fund sued Merrill Lynch for damages of 130 million British pounds. Over the period 1977 to 1998, the Unilever Fund had significantly underperformed the benchmark, and its trustees contended that the poor returns resulted from negligence by the fund manager, Mercury Asset Management (which Merrill Lynch had subsequently purchased). In response, Merrill/Mercury argued that although they may have made some poor judgments, they had not been negligent, and abnormal market circumstances had been the cause of the underperformance. The court case was expected to have ramifications for the entire pensions industry.
Keywords: Investment;
Lawsuits and Litigation;
Performance Evaluation;
Agreements and Arrangements;
Customer Relationship Management;
Risk and Uncertainty;
Asset Management;
Risk Management;
Legal Liability;
Financial Services Industry;
United Kingdom;
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Case
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2003
(Revised from original 1984 version)
At the T. Rowe Price Trading Desk (A)
Andre F. Perold
Describes the events surrounding the sale of a particular large block of a thinly traded stock. Brings the situation to the point at which the seller has received an offer, and must now decide what to do.
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Supplement
| HBS Case Collection
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2003
(Revised from original 1984 version)
At the T. Rowe Price Trading Desk (B)
Andre F. Perold
Supplements the (A) case.
Keywords: Financial Services Industry;
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Case
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2002
Ford Motor Company's Value Enhancement Plan (B)
Andre F. Perold and Joshua Musher
Supplements the (A) case.
Keywords: Auto Industry;
Citation: Perold, Andre F., and Joshua Musher. "Ford Motor Company's Value Enhancement Plan (B)." Harvard Business School Case 202-103, April 2002.
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Case
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2002
(Revised from original 2001 version)
Ford Motor Company's Value Enhancement Plan
Andre F. Perold
In April 2000, Ford Motor Co. announced a shareholder Value Enhancement Plan (VEP) to significantly recapitalize the firm's ownership structure. Ford had accumulated $23 billion in cash reserves and under the VEP would return as much as $10 billion of this cash to shareholders. In exchange for each share currently held, the plan would give stockholders one new share plus the choice of receiving $20 in either cash or additional new Ford common shares. Shareholders electing to receive cash would be taxed on these distributions at capital gain rates. Among other things, the plan provided a means for the Ford family to obtain liquidity without having to dilute their 40% voting interest (even though they own only 5% of the shares outstanding). Students must wrestle with the following questions: Why was Ford proposing this transaction instead of a traditional share repurchase or a cash dividend? How did the interests of the Ford family factor into this decision, and what did the transaction imply about the future involvement of the family in the company? Why was Ford distributing such a significant amount of cash at this particular point in time? Did the distribution signal a change in the company's appetite for making acquisitions or future capital expenditures? If shareholders collectively elected to receive less than $10 billion in cash, how would Ford distribute the remaining cash?
Keywords: Restructuring;
Forecasting and Prediction;
Capital Structure;
Cash;
Financial Liquidity;
Policy;
Business and Shareholder Relations;
Value;
Auto Industry;
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Case
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2002
(Revised from original 2001 version)
Nasdaq Stock Market, Inc., The
Andre F. Perold and Austin K Scee
NASDAQ's mission "to facilitate capital formation" is threatened by the emergence of Electronic Communication Networks, which are not as heavily regulated by the SEC. This case reviews the development of NASDAQ and its evolution from a loose network of broker-dealers through to its proposed SuperMontage. SuperMontage is a centralized order book, where multiple parties can place orders (both buy and sell) for the stocks they wish to trade and where entire supply and demand curves can be displayed. To understand the context, students will learn about the structure of the capital markets and why it concerns regulators and investors.
Keywords: Capital Markets;
Stocks;
Financial Markets;
Governing Rules, Regulations, and Reforms;
Innovation Strategy;
Performance Efficiency;
Perspective;
Citation: Perold, Andre F., and Austin K Scee. " Nasdaq Stock Market, Inc., The." Harvard Business School Case 202-008, March 2002. (Revised from original July 2001 version.)
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Case
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2001
(Revised from original 2001 version)
Merrill Lynch HOLDRS
Andre F. Perold and Simon E. Brown
Exchange-traded funds (ETFs) and HOLDRS (Holding Company Depositary Receipts) represent recent and highly successful capital market innovations. HOLDRS closely approximates a buy-and-hold strategy, and Merrill Lynch believes the product has significantly lower taxes and other costs than ETFs. The firm is considering broadening the market for HOLDRS by introducing a new 50-stock basket, "Market 2000+ HOLDRS," that would hold 50 of the world's top-capitalized stocks.
Keywords: Capital Markets;
Cost;
Stocks;
Financial Strategy;
Investment Funds;
Taxation;
Innovation and Invention;
Product;
Success;
Expansion;
Citation: Perold, Andre F., and Simon E. Brown. " Merrill Lynch HOLDRS." Harvard Business School Case 201-059, November 2001. (Revised from original March 2001 version.)
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Case
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2001
(Revised from original 2000 version)
Putnam Investments
Andre F. Perold and Harlan P. Carere
Keywords: Financial Services Industry;
Citation: Perold, Andre F., and Harlan P. Carere. " Putnam Investments." Harvard Business School Case 201-013, October 2001. (Revised from original December 2000 version.)
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Case
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2000
(Revised from original 1999 version)
W. R. Hambrecht & Co: OpenIPO
Andre F. Perold and Gunjan D. Bhow
OpenIPO is a new mechanism for pricing and distributing initial public offerings. The system, which is based on a Dutch auction, represents an attempt by the investment bank W.R. Hambrecht + Co. to change the manner in which IPOs are underwritten. The case provides a setting in which to discuss the existing set of institutional arrangements relating to the underwriting of IPOs, including the well-known phenomenon of the initial-day spike in price. Also provides a vehicle for discussing the informational efficiency of stock prices and the role of intermediaries and markets in providing investors with company-specific information. Can be used to talk about the issues raised by electronic trading and the distribution of securities over the Internet to relatively uninformed individuals.
Keywords: Investment Banking;
Debt Securities;
Stocks;
Initial Public Offering;
Price;
Information;
Auctions;
Agreements and Arrangements;
Distribution;
Internet;
Netherlands;
Citation: Perold, Andre F., and Gunjan D. Bhow. " W. R. Hambrecht & Co: OpenIPO." Harvard Business School Case 200-019, January 2000. (Revised from original October 1999 version.)
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Case
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1999
(Revised from original 1998 version)
Farallon Capital Management: Risk Arbitrage (A)
Andre F. Perold and Robert Howard
Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding certain investment strategies involving short selling, and for understanding merger arbitrage and its function in the capital markets.
Keywords: Mergers and Acquisitions;
Capital;
Capital Markets;
Investment;
Management;
Risk Management;
Strategy;
Financial Services Industry;
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Case
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1999
Long-Term Capital Management, L.P. (A)
Andre F. Perold
Long-Term Capital Management, L.P. (LTCM) was in the business of engaging in trading strategies to exploit market pricing discrepancies. Because the firm employed strategies designed to make money over long horizons--from six months to two years or more--it adopted a long--term financing structure designed to allow it to withstand short-term market fluctuations. In many of its trades, the firm was in effect a seller of liquidity. LTCM generally sought to hedge the risk--exposure components of its positions that were not expected to add incremental value to portfolio performance and to increase the value-added component of its risk exposures by borrowing to increase the size of its positions. The fund's positions were diversified across many markets. This case is set in September 1997, when, after three and a half years of high investment returns, LTCM's fund capital had grown to $6.7 billion. Because of the limitations imposed by available market liquidity, LTCM was considering whether it was a prudent and opportune moment to return capital to investors.
Keywords: Fluctuation;
Capital;
Financial Liquidity;
Financing and Loans;
Investment Funds;
Investment Portfolio;
Corporate Governance;
Governing Rules, Regulations, and Reforms;
Management;
Risk Management;
Marketing;
Motivation and Incentives;
Financial Services Industry;
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Case
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1999
Long-Term Capital Management, L.P. (C)
Andre F. Perold
Long-Term Capital Management, L.P. (LTCM) was in the business of engaging in trading strategies to exploit market pricing discrepancies. Because the firm employed strategies designed to make money over long horizons--from six months to two years or more--it adopted a long--term financing structure designed to allow it to withstand short-term market fluctuations. In many of its trades, the firm was in effect a seller of liquidity. LTCM generally sought to hedge the risk--exposure components of its positions that were not expected to add incremental value to portfolio performance and to increase the value-added component of its risk exposures by borrowing to increase the size of its positions. The fund's positions were diversified across many markets. This case is set in late August 1998. LTCM's fund was down nearly 40% since the beginning of 1998, with most of this loss having occurred in recent weeks. LTCM was evaluating the fund's liquidity and considering alternative courses of action. Possible choices included attempting a rapid reduction of many of the fund's positions and trying to raise additional capital.
Keywords: Fluctuation;
Capital;
Financial Liquidity;
Financing and Loans;
Investment Funds;
Investment Portfolio;
Corporate Governance;
Governing Rules, Regulations, and Reforms;
Management;
Risk Management;
Markets;
Motivation and Incentives;
Financial Services Industry;
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Case
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1999
(Revised from original 1996 version)
Risk of Stocks in the Long Run, The: The Barnstable College Endowment
Andre F. Perold
The manager of the Barnstable College Endowment is evaluating proposals to increase the endowment's exposure to stocks based on an analysis that shows stocks to be much safer over long holding periods.
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Case
| HBS Case Collection
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1999
Long-Term Capital Management, L.P. (B)
Andre F. Perold
Supplements the (A) case.
Keywords: Financial Services Industry;
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Case
| HBS Case Collection
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1999
(Revised from original 1998 version)
Merrill Lynch's Acquisition of Mercury Asset Management
Andre F. Perold, Imran Ahmed and Randolph B Altschuler
In the Spring of 1998, Merrill Lynch faced an array of challenges and opportunities related to its global asset management business. The firm had recently completed its $5.3 billion cash acquisition of U.K.-based Mercury Asset Management, a transaction that made it one of the world's largest asset-management organizations, with over $450 billion of assets under management. Merrill Lynch now would manage assets across the globe with a balanced mix of retail/institutional accounts, fixed income/equity assets, and domestic/international exposures.
Keywords: Acquisition;
Asset Management;
Currency;
Financial Strategy;
Global Strategy;
Brands and Branding;
Distribution;
Production;
Organizational Change and Adaptation;
Retirement;
Japan;
Europe;
United Kingdom;
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Case
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1999
(Revised from original 1998 version)
Integral Capital Partners
Andre F. Perold and Markus Mullarkey
Integral Capital Partners is a small firm with a very distinctive approach to investing in high-technology stocks. The firm invests privately in small start-ups as well as in publicly traded companies, and it develops important financial and advisory relationships with its investees. Integral is concerned about the high valuations in the technology sector and is considering a variety of options: to systematically engage in short-selling in order to hedge its positions, to purchase controlling stakes in troubled technology firms and execute turnaround strategies, and to reduce its funds under management and remain a small organization.
Keywords: Technology;
Value Creation;
Venture Capital;
Asset Management;
Partners and Partnerships;
Public Sector;
Private Sector;
Business Startups;
Corporate Finance;
Financial Services Industry;
Citation: Perold, Andre F., and Markus Mullarkey. " Integral Capital Partners." Harvard Business School Case 299-019, July 1999. (Revised from original September 1998 version.)
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Case
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1998
Farallon Capital Management: Risk Arbitrage (B)
Andre F. Perold and Robert Howard
Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding certain investment strategies involving short selling, and for understanding merger arbitrage and its function in the capital markets.
Keywords: Mergers and Acquisitions;
Capital Markets;
Investment;
Risk Management;
Strategy;
Financial Services Industry;
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Case
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1998
Farallon Capital Management: Risk Arbitrage (C)
Andre F. Perold and Robert Howard
Farallon Capital Management, an investment firm that specializes in risk arbitrage, has taken significant long and short positions in MCI Communications and British Telecommunications, respectively, in the belief that the proposed merger of these firms will be successfully completed. Raises the issues facing Farallon as positive and negative events relating to the merger unfold. Provides a rich institutional setting for understanding merger arbitrage and its function in capital markets.
Keywords: Capital Markets;
Equity;
Mergers and Acquisitions;
Financial Institutions;
Risk Management;
Investment Funds;
Financial Services Industry;
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Case
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1998
(Revised from original 1998 version)
BEA Associates: U.S. High Yield Group
Andre F. Perold and Alison J. Cohen
Keywords: Financial Services Industry;
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Case
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1998
Vanguard Group, Inc. (1998), The
Andre F. Perold
Since the beginning of 1997, Vanguard's assets under management have increased more than 60% from $240 billion to almost $400 billion, making it second in market share only to Fidelity. Vanguard views this success as another vindication of its low-cost strategy of no-load funds, small expense ratios, candid client communication, high-quality service, and predictable performance. But the organization also is mindful of the unprecedented changes occurring in the financial services industry. Financial institutions have been rapidly consolidating, with firms such as Citigroup, UBS, and Merrill Lynch each now holding customer and other assets in excess of a trillion dollars. And technology-especially the Internet-is dramatically altering the creation, pricing, and delivery of financial services. Vanguard has to carefully consider its future, and faces key decisions such as expanding its range of products and offering asset management services in other countries.
Keywords: Asset Management;
Cost Management;
Investment Funds;
Product;
Service Operations;
Performance Expectations;
Competition;
Consolidation;
Expansion;
Internet;
Financial Services Industry;
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Case
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1997
(Revised from original 1997 version)
numeric investors l.p.
Andre F. Perold and Brian J. Tierney
Numeric Investors manages equity portfolios with the use of a momentum model and a value model. The momentum model is based on earnings surprise and analysts' revisions of their earnings estimates. The firm offers long-short as well as long-only strategies, and its approach involves high portfolio turnover. Numeric has experienced rapid growth in assets under management, which has resulted in higher transaction costs. The firm has already closed many of its products to further investment, and needs to decide where to go next. The case provides a rich setting within which to discuss value investing, momentum investing, the efficiency of analysts' earnings estimates, stock market efficiency, long-short investing, transaction costs, the relationship between assets under management and performance, performance fees, and the business strategies of investment management firms.
Keywords: Asset Management;
Cost;
Equity;
Financial Strategy;
Investment;
Investment Portfolio;
Management;
Product Development;
Performance Efficiency;
Business Strategy;
Citation: Perold, Andre F., and Brian J. Tierney. " numeric investors l.p." Harvard Business School Case 298-012, August 1997. (Revised from original July 1997 version.)
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Case
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1996
Common Fund Hedge Fund Portfolio, The
Andre F. Perold and William T. Spitz
The Common Fund, a nonprofit consortium of educational institutions, is deciding whether to create a fund of hedge funds for its members, and if it does, which hedge fund managers to select.
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Case
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1996
(Revised from original 1996 version)
Private Equity Investment in Russia: Alliance Cellulose Limited
Andre F. Perold, James Gray and Roberto Mignone
Keywords: Private Equity;
Investment;
Russia;
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Teaching Note
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1996
(Revised from original 1995 version)
American Express TRS Charge-Card Receivables and Lehman Brothers and the Securitization of American Express Charge-Card Receivables TN
Andre F. Perold and Wai Lee
Teaching Note for (9-293-120) and (9-293-121).
Keywords: Credit Cards;
Accounting;
Financial Services Industry;
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Teaching Note
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1996
(Revised from original 1995 version)
Investment Linked to Commodity Futures, An TN
Andre F. Perold and Wai Lee
Teaching Note for (9-293-017).
Keywords: Futures and Commodity Futures;
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Teaching Note
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1996
(Revised from original 1995 version)
RJR Nabisco - 1990 TN
Andre F. Perold and Wai Lee
Teaching Note for (9-290-021).
Keywords: Food and Beverage Industry;
Agriculture and Agribusiness Industry;
Citation: Perold, Andre F., and Wai Lee. " RJR Nabisco - 1990 TN." Harvard Business School Teaching Note 295-165, May 1996. (Revised from original June 1995 version.)
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Teaching Note
| HBS Case Collection
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1996
(Revised from original version)
ARPPS: Adjustable Rate Perpetual Preferred Stock & MMP: Money Market Preferred Stock TN
Andre F. Perold and Wai Lee
Keywords: Stocks;
Citation: Perold, Andre F., and Wai Lee. "ARPPS: Adjustable Rate Perpetual Preferred Stock & MMP: Money Market Preferred Stock TN." Harvard Business School Teaching Note 296-069, May 1996. (Revised from original February 1996 version.)
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Teaching Note
| HBS Case Collection
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1996
(Revised from original 1996 version)
Fidelity Investments: Spartan Florida Municipal Fund (TN)
Andre F. Perold and Wai Lee
Keywords: City;
Investment Funds;
Florida;
Citation: Perold, Andre F., and Wai Lee. "Fidelity Investments: Spartan Florida Municipal Fund (TN)." Harvard Business School Teaching Note 296-071, May 1996. (Revised from original February 1996 version.)
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Teaching Note
| HBS Case Collection
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1996
(Revised from original 1995 version)
BEA Associates: Enhanced Equity Index Funds TN
Andre F. Perold and Wai Lee
Teaching Note for (9-293-024).
Keywords: Equity;
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Teaching Note
| HBS Case Collection
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1996
(Revised from original 1995 version)
B.F. Goodrich-Rabobank Interest Rate Swap, The TN
Andre F. Perold and Wai Lee
Teaching Note for (9-284-080).
Keywords: Credit Derivatives and Swaps;
Rubber Industry;
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Teaching Note
| HBS Case Collection
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1996
(Revised from original 1995 version)
State of Connecticut Municipal Swap TN
Andre F. Perold and Wai Lee
Teaching Note for (9-291-024).
Keywords: Credit Derivatives and Swaps;
Connecticut;
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Case
| HBS Case Collection
|
1995
First Commonwealth Corporation
Andre F. Perold
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Case
| HBS Case Collection
|
1995
Credit General, SA
Andre F. Perold
The head of a bank's asset and liability committee has to approve an unexpectedly large overnight currency exposure or require at great cost that the exposure be reduced.
Keywords: Risk Management;
Currency;
Financial Services Industry;
Banking Industry;
Citation: Perold, Andre F. " Credit General, SA." Harvard Business School Case 296-011, August 1995.
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Background Note
| HBS Case Collection
|
1995
(Revised from original version)
Options and Put-Call Parity
Andre F. Perold and Wai Lee
Illustrates the payoff structure of various positions involving put and call options and the use of put-call parity in understanding the relationships among various positions. Examines the cases of insured equity, interest rate caps and floors, callable and extendable debt, and corporate balance sheets.
Keywords: Stock Options;
Citation: Perold, Andre F., and Wai Lee. " Options and Put-Call Parity." Harvard Business School Background Note 295-129, August 1995. (Revised from original March 1995 version.)
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Case
| HBS Case Collection
|
1995
(Revised from original 1994 version)
Boston Company, The: Securities Lending
Andre F. Perold and Kuljot Singh
Keywords: Financial Services Industry;
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Case
| HBS Case Collection
|
1995
(Revised from original 1990 version)
RJR Nabisco--1990
Andre F. Perold
Describes the situation facing RJR Nabisco one year after the leveraged buyout by Kohlberg Kravis and Roberts. A vehicle for analyzing the financial restructuring of a highly leveraged, but operationally healthy, company.
Keywords: Leveraged Buyouts;
Restructuring;
Financial Strategy;
Problems and Challenges;
Citation: Perold, Andre F. " RJR Nabisco--1990." Harvard Business School Case 290-021, August 1995. (Revised from original June 1990 version.)
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Teaching Note
| HBS Case Collection
|
1995
ARPPS: Adjustable Rate Perpetual Preferred Stock and MMP: Money Market Preferred Stock TN
Andre F. Perold and Wai Lee
Keywords: Stocks;
Citation: Perold, Andre F., and Wai Lee. "ARPPS: Adjustable Rate Perpetual Preferred Stock and MMP: Money Market Preferred Stock TN." Harvard Business School Teaching Note 295-159, June 1995.
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Case
| HBS Case Collection
|
1995
(Revised from original version)
Note on Yield Conventions
Andre F. Perold and Wai Lee
Describes the principal conventions used to report yields on debt instruments.
Keywords: Investment Return;
Capital Markets;
Asset Management;
Reports;
Conferences;
Governing and Advisory Boards;
Citation: Perold, Andre F., and Wai Lee. " Note on Yield Conventions." Harvard Business School Case 295-101, June 1995. (Revised from original January 1995 version.)
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Case
| HBS Case Collection
|
1994
(Revised from original version)
State of Connecticut Municipal Swap
Andre F. Perold
The state of Connecticut wants to raise $325 million of long-term fixed-rate debt. One alternative is to do this synthetically--issue long-term variable rate debt and enter into an interest rate swap. The case is a vehicle for analyzing various floating rate structures and various kinds of swaps. Also raises issues relating to the default risk of swaps, as well as the term structure of the tax exempt and taxable debt markets.
Keywords: Borrowing and Debt;
Credit Derivatives and Swaps;
Interest Rates;
Taxation;
Management Analysis, Tools, and Techniques;
Risk and Uncertainty;
New England;
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Case
| HBS Case Collection
|
1994
(Revised from original 1993 version)
American Express TRS Charge-Card Receivables
Andre F. Perold and Kuljot Singh
American Express (TRS) Co. is considering a proposal to securitize a portion of their consumer charge-card receivables portfolio. In the past, they have relied exclusively on a captive finance subsidiary, Credco, to perform this function. The proposed securitization structure has been put forth by Lehman Brothers and relies heavily on the existing structure of credit-card receivables' securitizations. The growing asset-backed securities market presents TRS an opportunity to diversify its sources of funds--however, there are reasons to be cautious. Due to recent downgrades of American Express and Credco debt, the perceived financial weakness of credit-card receivable backed securities issuers, and the proposal's sophisticated securitization structure, TRS is concerned that 1) The market may perceive securitization as a sign of weakness; 2) The securitization may not be cost effective. Therefore, TRS has to decide whether or not to proceed with securitization at this time.
Keywords: Credit Cards;
Restructuring;
Borrowing and Debt;
Financial Management;
Financial Strategy;
Debt Securities;
Travel Industry;
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Case
| HBS Case Collection
|
1994
(Revised from original version)
Lehman Brothers and the Securitization of American Express Charge-Card Receivables
Andre F. Perold and Kuljot Singh
In early 1992, Lehman Brothers had received a mandate from its affiliate, American Express Travel Related Services (TRS) Co., to securitize a portion of its consumer charge-card receivables portfolio. It is now July 22, and Lehman and TRS have just returned from a "road show" that was undertaken to convince prospective investors of the merits of these new securities. Lehman must now price the securities. Because this is the first-ever securitization of charge-card receivables, there are no directly comparable benchmarks that can help in pricing. However, the securities share common features with credit-card receivables backed securities, which by now are well accepted. Another comparable is non-callable finance company debt. This deal is being watched closely by competing underwriters, investors, and senior management at TRS and Lehman. "Success" could catapult Lehman into becoming a major player in the asset-backed market whereas "failure" would be a major setback.
Keywords: Credit Cards;
Business Earnings;
Stocks;
Crisis Management;
Decision Choices and Conditions;
Risk and Uncertainty;
Private Ownership;
Asset Pricing;
Capital Markets;
Travel Industry;
Service Industry;
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Case
| HBS Case Collection
|
1994
(Revised from original 1992 version)
BEA Associates: Enhanced Equity Index Funds
Andre F. Perold
BEA's enhanced index fund product uses derivatives and cash market securities to find the most efficient way to "track an index." The considerations involve transaction costs, custodial fees, withholding taxes on dividends, and fees from securities lending. In this case, BEA is faced with the task of investing an off-shore portfolio so as to track the S&P 500. The choices include buying the underlying stocks, buying an S&P 500-index-linked note, buying futures or doing an S&P 500 swap, and investing in a variety of short-term fixed-income alternatives.
Keywords: Credit Derivatives and Swaps;
Investment Portfolio;
Management;
Investment Banking;
Competitive Advantage;
Cost Management;
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Case
| HBS Case Collection
|
1994
(Revised from original 1994 version)
Fidelity Investments: Spartan Florida Municipal Fund
Andre F. Perold and Sanjay Bhatnagar
Keywords: Investment Funds;
Financial Services Industry;
Florida;
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Case
| HBS Case Collection
|
1994
Bankers Trust: Global Investment Bank
Andre F. Perold and Kuljot Singh
In October 1992, Eugene Shanks, president of Bankers Trust New York Corp., and Brian Walsh, head of the Global Investment Bank (GIB) business unit, are considering a proposal for a large and complex financing involving the North Sea Oil Co. (NSOC). The financing structure involves the use of derivatives, exposing Bankers Trust New York Corp. to substantial oil price risk and credit risk. Its size of $700 million and lengthy duration makes managing and laying off these risks in the financial markets a matter of prime concern. The proposed deal has been brought together by GIB, which was formed recently by merging Bankers Trust's capital markets and corporate finance functions. If successful, this deal will be an important barometer of the value that can be created by combining these traditionally separate functions.
Keywords: Risk and Uncertainty;
Credit Derivatives and Swaps;
Risk Management;
Value Creation;
Business History;
Capital Markets;
Financing and Loans;
Financial Markets;
Corporate Finance;
Banking Industry;
Energy Industry;
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Background Note
| HBS Case Collection
|
1994
Note on Crude Oil and Crude Oil Derivatives Markets
Andre F. Perold, Wai Lee and Kuljot Singh
Briefly describes the crude oil markets and common derivatives contracts written on oil. The contracts are oil forward and futures contracts, and over-the-counter oil price swaps.
Keywords: Non-Renewable Energy;
Futures and Commodity Futures;
Credit Derivatives and Swaps;
Contracts;
Energy Industry;
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Case
| HBS Case Collection
|
1993
(Revised from original 1992 version)
Rochester Capital
Andre F. Perold and Kuljot Singh
Citation: Perold, Andre F., and Kuljot Singh. " Rochester Capital." Harvard Business School Case 293-083, May 1993. (Revised from original December 1992 version.)
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Case
| HBS Case Collection
|
1992
(Revised from original version)
Nikko Securities Co. Ltd.
Andre F. Perold
Keywords: Financial Services Industry;
Citation: Perold, Andre F. " Nikko Securities Co. Ltd." Harvard Business School Case 292-002, June 1992. (Revised from original August 1991 version.)
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Case
| HBS Case Collection
|
1991
(Revised from original version)
T. Rowe Price Associates, Inc.
Andre F. Perold
Keywords: Financial Services Industry;
Citation: Perold, Andre F. " T. Rowe Price Associates, Inc." Harvard Business School Case 291-006, July 1991. (Revised from original October 1990 version.)
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Case
| HBS Case Collection
|
1989
Penobscot Nation and Passamaquoddy Tribe
Andre F. Perold
Keywords: Civil Society or Community;
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Case
| HBS Case Collection
|
1988
Hatherly Foundation
Andre F. Perold
Citation: Perold, Andre F. " Hatherly Foundation." Harvard Business School Case 289-018, September 1988.
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Case
| HBS Case Collection
|
1988
(Revised from original version)
Batterymarch Financial Management (A)
Andre F. Perold
Keywords: Financial Services Industry;
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Case
| HBS Case Collection
|
1988
(Revised from original version)
Batterymarch Financial Management (B)
Andre F. Perold
Keywords: Financial Services Industry;
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Case
| HBS Case Collection
|
1987
(Revised from original version)
Merrill Lynch & Co., Inc.--1986
Andre F. Perold
Keywords: Financial Services Industry;
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Case
| HBS Case Collection
|
1987
Prudential Insurance Co. of America--1985
Andre F. Perold
Keywords: Insurance Industry;
United States;
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Case
| HBS Case Collection
|
1987
(Revised from original version)
Sanford C. Bernstein & Co., Inc.
Andre F. Perold
Keywords: Financial Management;
Investment Portfolio;
Management;
Financial Services Industry;
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Case
| HBS Case Collection
|
1987
(Revised from original version)
Wilshire Associates
Andre F. Perold
Citation: Perold, Andre F. " Wilshire Associates." Harvard Business School Case 286-003, June 1987. (Revised from original September 1985 version.)
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Case
| HBS Case Collection
|
1987
(Revised from original version)
J.P. Morgan Investment Management, Inc.
Andre F. Perold
Keywords: Investment Banking;
Banking Industry;
Financial Services Industry;
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Background Note
| HBS Case Collection
|
1987
Note on Accounting for Property and Casualty Insurance Companies
Andre F. Perold
Keywords: Accounting;
Insurance;
Insurance Industry;
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Case
| HBS Case Collection
|
1987
Progressive Corp.--1986
Andre F. Perold
Keywords: History;
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Case
| HBS Case Collection
|
1987
(Revised from original version)
Spear Securities, Inc.
Andre F. Perold
Keywords: Finance;
Financial Services Industry;
Citation: Perold, Andre F. " Spear Securities, Inc." Harvard Business School Case 286-049, February 1987. (Revised from original March 1986 version.)
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Case
| HBS Case Collection
|
1986
(Revised from original version)
Instinet Corp. (A)
Andre F. Perold
Citation: Perold, Andre F. " Instinet Corp. (A)." Harvard Business School Case 286-116, August 1986. (Revised from original April 1986 version.)
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Background Note
| HBS Case Collection
|
1986
Note on Equity Trading
Andre F. Perold
Keywords: Equity;
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Case
| HBS Case Collection
|
1986
IBM International Investment Management
Andre F. Perold
Keywords: Investment;
Management;
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Case
| HBS Case Collection
|
1986
(Revised from original version)
Instinet Corp. (B)
Andre F. Perold
Citation: Perold, Andre F. " Instinet Corp. (B)." Harvard Business School Case 286-120, July 1986. (Revised from original April 1986 version.)
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Case
| HBS Case Collection
|
1986
(Revised from original version)
GTE Corp. (B)
Andre F. Perold
Keywords: Telecommunications Industry;
Citation: Perold, Andre F. " GTE Corp. (B)." Harvard Business School Case 286-101, March 1986. (Revised from original February 1986 version.)
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Case
| HBS Case Collection
|
1985
Gemini II
Andre F. Perold
Citation: Perold, Andre F. " Gemini II." Harvard Business School Case 286-039, November 1985.
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Case
| HBS Case Collection
|
1985
(Revised from original version)
Lehman Management Co., Inc.
Andre F. Perold
Keywords: Investment Funds;
Management;
Financial Services Industry;
Citation: Perold, Andre F. " Lehman Management Co., Inc." Harvard Business School Case 284-027, October 1985. (Revised from original September 1983 version.)
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Case
| HBS Case Collection
|
1985
Furman, Selz, Mager, Dietz & Birney, Inc.
Andre F. Perold
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Case
| HBS Case Collection
|
1985
Citicorp Investment Management
Andre F. Perold
Keywords: Investment Funds;
Management;
Financial Services Industry;
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Background Note
| HBS Case Collection
|
1984
Black-Scholes Option Pricing Program for the HP 12C Calculator
Andre F. Perold
Contains a program that can be used on the HP12C pocket calculator to compute the Black-Scholes option price and the associated hedge ratio. The program must be given the following parameters: the exercise price, the risk-free rate, the time to expiration, and the price and volatility of the underlying stock.
Keywords: Stock Options;
Investment Funds;
Price;
Management;
Software;
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Background Note
| HBS Case Collection
|
1983
Note on Replicating Options with Position on Stock and Cash
Andre F. Perold
Keywords: Stocks;
Cash;
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Conference Presentation
|
01
Dec
1986
Contracts Markets, Cash Markets, and Arbitrage
André Perold and James F. Gammill Jr.
Keywords: Financial Markets;
Citation: Perold, André, and James F. Gammill Jr. "Contracts Markets, Cash Markets, and Arbitrage." Paper presented at the American Finance Association Annual Meeting, December 01, 1986.
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Conference Presentation
|
01
Dec
1985
Risk Sharing and Corporate Pension Policy
André Perold and Jay O. Light
Keywords: Compensation and Benefits;
Risk Management;
Citation: Perold, André, and Jay O. Light. "Risk Sharing and Corporate Pension Policy." Paper presented at the American Finance Association Annual Meeting, December 01, 1985.
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Other Paper
| 2007
Risk Stabilization in Asset Allocation
Andre F. Perold
Citation: Perold, Andre F. "Risk Stabilization in Asset Allocation."
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Other Unpublished Work
| 2003
Short Selling in Practice--Intermediating Uncertain Share Availability
Gene M D'Avolio and André Perold
Keywords: Stocks;
Risk and Uncertainty;
Citation: D'Avolio, Gene M., and André Perold. "Short Selling in Practice--Intermediating Uncertain Share Availability." October 2003.
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Other Unpublished Work
| 2003
Capital Market Intermediaries: Summary Observations on a Workshop Held at Harvard Business School
D. B. Crane, J. O. Light, K. G. Palepu and A. F. Perold
Keywords: Capital Markets;
Citation: Crane, D. B., J. O. Light, K. G. Palepu, and A. F. Perold. "Capital Market Intermediaries: Summary Observations on a Workshop Held at Harvard Business School." May 2003.
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Other Unpublished Work
| 2001
Is Enron a replay of LTCM?
André Perold
Keywords: History;
Business History;
Financial Institutions;
Financial Services Industry;
Citation: Perold, André. "Is Enron a replay of LTCM?" December 2001.
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Other Unpublished Work
| 2000
New Trading Practices and the Short-run Predictability of the S&P 500
André Perold
Keywords: Stocks;
Financial Markets;
Governing Rules, Regulations, and Reforms;
Capital Markets;
Volatility;
Market Timing;
Citation: Perold, André. "New Trading Practices and the Short-run Predictability of the S&P 500." Market Volatility and Investor Confidence, Report to the Board of Directors of the New York Stock Exchange, Inc. Series, June 2000.
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Other Unpublished Work
| 1986
Constant Proportion Portfolio Insurance
André Perold
Keywords: Investment Portfolio;
Strategy;
Citation: Perold, André. "Constant Proportion Portfolio Insurance." August 1986.
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