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, and a member of the Investment Committee of the Partners Healthcare.  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.

 

Books

  1. Teacher's Manual for Cases in Financial Engineering: Applied Studies of Financial Innovation

    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.
  2. The Global Financial System: A Functional Perspective

    Keywords: corporate finance; Imperfect markets; behavioral finance; Asset Pricing;

    Citation:

    Crane, D. B., K. A. Froot, Scott P. Mason, André Perold, R. C. Merton, Z. Bodie, E. R. Sirri, and P. Tufano. The Global Financial System: A Functional Perspective. Boston: Harvard Business School Press, 1995.
  3. Cases in Financial Engineering: Applied Studies of Financial Innovation

    Keywords: Finance; Innovation and Invention; Cases;

    Citation:

    Mason, Scott P., Robert C. Merton, André Perold, and Peter Tufano. Cases in Financial Engineering: Applied Studies of Financial Innovation. Englewood Cliffs: Prentice Hall, 1995.

Journal Articles

  1. Risk Is a Choice Rather Than a Fate

    Keywords: Risk and Uncertainty; Decision Choices and Conditions;

    Citation:

    Perold, Andre F. "Risk Is a Choice Rather Than a Fate." Journal of Portfolio Management 36, no. 1 (fall 2009). (Invited Editorial Comment.)
  2. Fundamentally Flawed Indexing

    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​

    .)
  3. Capital Allocation in Financial Firms

    Keywords: Resource Allocation; Capital; Finance; Business Ventures;

    Citation:

    Perold, André. "Capital Allocation in Financial Firms." Journal of Applied Corporate Finance 17, no. 3 (summer 2005).
  4. The Capital Asset Pricing Model

    Keywords: Capital; Assets; Price;

    Citation:

    Perold, André. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (summer 2004): 3–24.
  5. New Trading Practices and Short-Run Market Efficiency

    Keywords: institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Financial Markets; Asset Pricing;

    Citation:

    Froot, Kenneth A., and André Perold. "New Trading Practices and Short-Run Market Efficiency." Journal of Futures Markets 15, no. 7 (October 1995): 731–766. (Revised from NBER Working Paper No. 3498, October 1990.)
  6. The Changing Character of Stock Market Liquidity

    Keywords: Stocks; Markets; Financial Liquidity;

    Citation:

    Perold, André, and James F. Gammill. "The Changing Character of Stock Market Liquidity." Shōken [Securities] 45, no. 536 (November 1993): 67–74.
  7. Theory of Risk Capital in Financial Firms

    Keywords: Theory; Risk and Uncertainty; Capital; Business Ventures; Financial Services Industry;

    Citation:

    Merton, Robert C., and André Perold. "Theory of Risk Capital in Financial Firms." Continental Bank Journal of Applied Corporate Finance 6, no. 3 (fall 1993): 16–32.
  8. Theory of Constant Proportion Portfolio Insurance

    Keywords: Theory; Insurance; Investment;

    Citation:

    Perold, André, and Fischer Black. "Theory of Constant Proportion Portfolio Insurance." Journal of Economic Dynamics & Control 16, nos. 3-4 (July–October 1992): 403–426.
  9. Shareholder Trading Practices and Corporate Investment Horizons

    Keywords: institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Financial Markets; Asset Pricing;

    Citation:

    Froot, Kenneth A., André Perold, and J. Stein. "Shareholder Trading Practices and Corporate Investment Horizons." Continental Bank Journal of Applied Corporate Finance 5, no. 2 (summer 1992): 42–58.
  10. The Right Amount of Assets under Management

    Keywords: Assets;

    Citation:

    Perold, André, and Robert S. Salomon Jr. "The Right Amount of Assets under Management." Financial Analysts Journal 47, no. 2 (May–June 1991): 31–39.
  11. New Trading Practices and the Short-run Predictability of the S&P 500

    Keywords: Financial Markets; asset pricing; institutional investing; market efficiency; behavioral finance; equities; stock market; indexing; Asset Pricing; Financial Markets; Investment; Behavioral Finance;

    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.
  12. The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making

    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.
  13. The Changing Character of Stock Market Liquidity

    Keywords: Stocks; Markets; Financial Liquidity;

    Citation:

    Perold, André, and James F. Gammill. "The Changing Character of Stock Market Liquidity." Journal of Portfolio Management (spring 1989): 13–18.
  14. The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards

    Keywords: Currency; Investment; Performance;

    Citation:

    Perold, André, and Evan C. Schulman. "The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards." Financial Analysts Journal 44, no. 3 (May/June 1988).
  15. The Implementation Shortfall: Paper vs. Reality

    Citation:

    Perold, André. "The Implementation Shortfall: Paper vs. Reality." Journal of Portfolio Management 14, no. 3 (spring 1988): 4–9.
  16. Dynamic Strategies for Asset Allocation

    Keywords: Strategy; Assets; Resource Allocation;

    Citation:

    Perold, André, and William F. Sharpe. "Dynamic Strategies for Asset Allocation." Financial Analysts Journal 44, no. 1 (January–February 1988): 16–27.
  17. Large-Scale Portfolio Optimization

    Keywords: Financial Instruments;

    Citation:

    Perold, André. "Large-Scale Portfolio Optimization." Management Science 30, no. 10 (October 1984): 1143–1160.
  18. Optimality Conditions and Strong Duality in Abstract and Continuous Time Linear Programming

    Keywords: Mathematical Methods;

    Citation:

    Perold, André, and R. Meidan. "Optimality Conditions and Strong Duality in Abstract and Continuous Time Linear Programming." Journal of Optimization Theory and Applications 40, no. 1 (May 1983): 61–76.
  19. Some Properties of a Class of Continuous Linear Programs

    Citation:

    Perold, André, E. J. Anderson, and P. Nash. "Some Properties of a Class of Continuous Linear Programs." SIAM Journal on Control and Optimization 21, no. 5 (1983): 758–765.
  20. Portfolio Analysis with Factors and Scenarios

    Citation:

    Perold, André, and Harry M. Markowitz. "Portfolio Analysis with Factors and Scenarios." Journal of Finance 36, no. 4 (September 1981): 871–877.
  21. Extreme Points and Basic Feasible Solutions in Continuous Time Linear Programming

    Citation:

    Perold, André. "Extreme Points and Basic Feasible Solutions in Continuous Time Linear Programming." SIAM Journal on Control and Optimization 19, no. 1 (1981): 52–63.
  22. A Degeneracy Exploiting LU Factorization for the Simplex Method

    Citation:

    Perold, André. "A Degeneracy Exploiting LU Factorization for the Simplex Method." Mathematical Programming 19 (December 1980): 239–254.
  23. A Generalization of the Frank-Wolfe Theorem

    Citation:

    Perold, André. "A Generalization of the Frank-Wolfe Theorem." Mathematical Programming 18 (December 1980): 215–227.
  24. Combinatorial Designs Related to the Strong Perfect Graph Conjecture

    Keywords: Design;

    Citation:

    Perold, André, V. Chvatal, R. L. Graham, and S. Whitesides. "Combinatorial Designs Related to the Strong Perfect Graph Conjecture." Discrete Mathematics 26, no. 2 (1979): 83–92.
  25. An Alternative Model for a Global Analysis of Quadratic Programs in a Finite Number of Steps

    Keywords: Global Range;

    Citation:

    Perold, André. "An Alternative Model for a Global Analysis of Quadratic Programs in a Finite Number of Steps." Mathematical Programming 15 (December 1978): 105–109.
  26. A Basis Factorization Method for Block Triangular Linear Programs

    Keywords: Programs;

    Citation:

    Perold, André, and G. B. Dantzig. "A Basis Factorization Method for Block Triangular Linear Programs." Sparse Matrix Proceedings (1978).
  27. On the Joint Distribution of Left- and Right-sided Outliner Statistics

    Keywords: Mathematical Methods;

    Citation:

    Perold, André, and D. M. Hawkins. "On the Joint Distribution of Left- and Right-sided Outliner Statistics." Utilitas mathematica 12 (1977): 129–143.

Book Chapters

  1. Comments on 'Index Hedge Performance: Insurer Market Penetration and Basis Risk' by John A. Major

    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.
  2. The Payment System and Derivative Instruments

    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.
  3. Management of Risk Capital in Financial Firms

    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.
  4. The Free Lunch in Currency Hedging: Implications for Investment Policy and Performance Standards

    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.
  5. The Institutionalization of Wealth: Changing Patterns of Investment Decision-Making

    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.
  6. A Degeneracy Exploiting LU Factorization for the Simplex Method

    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.
  7. Exploiting Degeneracy in the Simplex Method

    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.
  8. Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems

    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.

Working Papers

  1. Capital Allocation in Financial Firms

    Citation:

    Perold, André. "Capital Allocation in Financial Firms." Harvard Business School Working Paper, No. 98-072, June 1998.
  2. The Determinants of Optimal Currency Hedging

    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.
  3. The Cost of International Equity Trading

    Citation:

    Perold, André, and Erik R. Sirri. "The Cost of International Equity Trading." Harvard Business School Working Paper, No. 97-012, October 1996.
  4. Debt Overhang and Financial Slack

    Citation:

    Perold, André, and Kuljot Singh. "Debt Overhang and Financial Slack." Harvard Business School Working Paper, No. 97-010, October 1996.

Cases and Teaching Materials

  1. Oceanbulk Maritime S.A.

    Citation:

    Perold, Andre F. "Oceanbulk Maritime S.A." Harvard Business School Case 914-403, July 2013. (Revised July 2013.)
  2. B. Zaitz & Sons Co. Farmland Investing

    In April 2013, Ben Zaitz was looking down at an expanse of agricultural land as his plane flew over the Midwest. He would soon arrive in northern Minnesota to meet with farmers regarding land he had recently purchased there. The vast tracts of row-crop acreage below were just another reminder of the astonishing agricultural development that had taken place in the last 5-7 years—not only in the United States but also in Eastern Europe, Africa, and Latin America. Ben wondered if agriculture was not fast becoming overheated, and whether he should not rethink his whole approach to farmland investing.

    Keywords: Plant-Based Agribusiness; Investment; Market Participation; Business Strategy; Financial Services Industry; Agriculture and Agribusiness Industry; Minnesota; Latin America; Africa; United States; Europe;

    Citation:

    Perold, Andre F. "B. Zaitz & Sons Co. Farmland Investing." Harvard Business School Case 914-404, July 2013.
  3. The Madera Ranch and Water Bank

    The protagonist is trying to decide whether to purchase and develop an aquifer lying beneath rural land near Fresno, California. The project could fill a void for local farmers as well as surrounding municipalities and a variety of other customers throughout California.

    Keywords: Investment; Assets; Decision Making; Agriculture and Agribusiness Industry; California;

    Citation:

    Perold, Andre F., and Geoffrey Bernstein. "The Madera Ranch and Water Bank." Harvard Business School Case 213-003, July 2012. (Revised July 2012.)
  4. RMS: Investing in Chinese Timberland

    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;

    Citation:

    Perold, Andre F. "RMS: Investing in Chinese Timberland ." Harvard Business School Case 213-002, July 2012. (Revised July 2012.)
  5. Gone Rural

    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, September 2010. (Revised March 2011.)
  6. Harvard Management Company (2010)

    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, September 2010. (Revised May 2012.)
  7. Dollarama Inc.

    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, February 2010. (Revised May 2012.)
  8. Rosetree Mortgage Opportunity Fund (TN)

    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;

    Citation:

    Ivashina, Victoria, and Andre F. Perold. "Rosetree Mortgage Opportunity Fund (TN)." Harvard Business School Teaching Note 210-065, March 2010.
  9. The University of Notre Dame Endowment

    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;

    Citation:

    Perold, Andre F., and Paul Michael Buser. "The University of Notre Dame Endowment." Harvard Business School Case 210-007, October 2009. (Revised January 2010.)
  10. The Carbon Market

    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, September 2008. (Revised October 2009.)
  11. Allston: Brand vs. Architecture

    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, November 2007. (Revised March 2009.)
  12. Rosetree Mortgage Opportunity Fund

    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, December 2008. (Revised March 2009.)
  13. Leveraged Loans 2007

    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, April 2008. (Revised December 2008.)
  14. International Carbon Finance and EcoSecurities

    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;

    Citation:

    Perold, Andre F., Forest L. Reinhardt, and Mikell Hyman. "International Carbon Finance and EcoSecurities." Harvard Business School Case 208-151, June 2008. (Revised October 2008.)
  15. The Howland Long-Term Opportunity Fund

    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;

    Citation:

    Perold, Andre F., and David S. Scharfstein. "The Howland Long-Term Opportunity Fund." Harvard Business School Case 207-066, September 2006. (Revised April 2008.)
  16. Ben Walter

    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, October 2006. (Revised April 2008.)
  17. Leveraged Loans 2007 (TN)

    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.
  18. 2006 Hurricane Risk

    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, October 2006. (Revised March 2008.)
  19. 2006 Hurricane Risk (TN)

    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.
  20. Measuring Investment Performance

    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;

    Citation:

    Perold, Andre F., and Kenneth A. Froot. "Measuring Investment Performance." Harvard Business School Background Note 208-110, January 2008.
  21. The Vanderbilt University Endowment (2006)

    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;

    Citation:

    Perold, Andre F., and William T. Spitz. "The Vanderbilt University Endowment (2006)." Harvard Business School Case 207-062, December 2006. (Revised December 2007.)
  22. AXA MONY

    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.
  23. Grantham, Mayo, Van Otterloo & Co., 2001

    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;

    Citation:

    Musher, Joshua, and Andre F. Perold. "Grantham, Mayo, Van Otterloo & Co., 2001." Harvard Business School Case 202-049, January 2002. (Revised October 2007.)
  24. Grosvenor Group Limited

    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 2006. (Revised October 2007.)
  25. Kerr-McGee

    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, November 2006. (Revised July 2013.)
  26. Introduction to Portfolio Theory

    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, October 1984. (Revised February 2007.)
  27. Measuring Mutual Fund Performance

    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, May 1998. (Revised February 2007.)
  28. Morningstar, Inc.

    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, May 1998. (Revised February 2007.)
  29. Maverick Capital

    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, December 2003. (Revised October 2006.)
  30. Stedman Place: Buy or Rent?

    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.
  31. Global Equity Markets: The Case of Royal Dutch and Shell

    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;

    Citation:

    Froot, Kenneth A., and Andre F. Perold. "Global Equity Markets: The Case of Royal Dutch and Shell." Harvard Business School Case 296-077, March 1996. (Revised April 2006.)
  32. Long-Term Capital Management, L.P. (D)

    Supplements the (C) case.

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (D)." Harvard Business School Case 200-010, October 1999. (Revised October 2004.)
  33. AT&T Canada (A)

    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.

    Keywords: Agreements and Arrangements; Valuation; Mergers and Acquisitions; Investment; Telecommunications Industry; Canada;

    Citation:

    Perold, Andre F., and Kwame C. Van Leeuwen. "AT&T Canada (A)." Harvard Business School Case 204-087, October 2003. (Revised October 2004.)
  34. Man Group plc

    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 July 2004.)
  35. AT&T Canada (B)

    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, October 2003. (Revised June 2004.)
  36. AT&T Canada (C)

    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, October 2003. (Revised June 2004.)
  37. AT&T Canada (D)

    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, October 2003. (Revised June 2004.)
  38. Arley Merchandise Corporation TN

    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, February 1996. (Revised January 2004.)
  39. Ford Motor Company's Value Enhancement Plan (A) (TN)

    Teaching Note to (9-201-079).

    Keywords: Auto Industry;

    Citation:

    Perold, Andre F., and Peter Tufano. "Ford Motor Company's Value Enhancement Plan (A) (TN)." Harvard Business School Teaching Note 204-116, January 2004.
  40. Unilever Superannuation Fund vs. Merrill Lynch, The

    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;

    Citation:

    Perold, Andre F., and Joshua Musher. "Unilever Superannuation Fund vs. Merrill Lynch, The." Harvard Business School Case 203-034, July 2002. (Revised August 2003.)
  41. At the T. Rowe Price Trading Desk (A)

    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.

    Citation:

    Perold, Andre F. "At the T. Rowe Price Trading Desk (A)." Harvard Business School Case 285-041, October 1984. (Revised July 2003.)
  42. At the T. Rowe Price Trading Desk (B)

    Supplements the (A) case.

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "At the T. Rowe Price Trading Desk (B)." Harvard Business School Supplement 285-042, October 1984. (Revised July 2003.)
  43. Ford Motor Company's Value Enhancement Plan (B)

    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.
  44. Ford Motor Company's Value Enhancement Plan

    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;

    Citation:

    Perold, Andre F. "Ford Motor Company's Value Enhancement Plan." Harvard Business School Case 201-079, January 2001. (Revised March 2002.)
  45. Nasdaq Stock Market, Inc., The

    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, July 2001. (Revised March 2002.)
  46. Merrill Lynch HOLDRS

    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, March 2001. (Revised November 2001.)
  47. Putnam Investments

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F., and Harlan P. Carere. "Putnam Investments." Harvard Business School Case 201-013, December 2000. (Revised October 2001.)
  48. W. R. Hambrecht & Co: OpenIPO

    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, October 1999. (Revised January 2000.)
  49. Farallon Capital Management: Risk Arbitrage (A)

    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;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (A)." Harvard Business School Case 299-020, October 1998. (Revised November 1999.)
  50. Long-Term Capital Management, L.P. (A)

    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;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (A)." Harvard Business School Case 200-007, November 1999.
  51. Long-Term Capital Management, L.P. (C)

    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;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (C)." Harvard Business School Case 200-009, November 1999.
  52. Risk of Stocks in the Long Run, The: The Barnstable College Endowment

    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.

    Citation:

    Perold, Andre F. "Risk of Stocks in the Long Run, The: The Barnstable College Endowment." Harvard Business School Case 296-073, April 1996. (Revised October 1999.)
  53. Long-Term Capital Management, L.P. (B)

    Supplements the (A) case.

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Long-Term Capital Management, L.P. (B)." Harvard Business School Case 200-008, October 1999.
  54. Merrill Lynch's Acquisition of Mercury Asset Management

    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;

    Citation:

    Perold, Andre F., Imran Ahmed, and Randolph B Altschuler. "Merrill Lynch's Acquisition of Mercury Asset Management." Harvard Business School Case 299-005, November 1998. (Revised July 1999.)
  55. Integral Capital Partners

    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, September 1998. (Revised July 1999.)
  56. Farallon Capital Management: Risk Arbitrage (B)

    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;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (B)." Harvard Business School Case 299-021, October 1998.
  57. Farallon Capital Management: Risk Arbitrage (C)

    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;

    Citation:

    Perold, Andre F., and Robert Howard. "Farallon Capital Management: Risk Arbitrage (C)." Harvard Business School Case 299-022, October 1998.
  58. BEA Associates: U.S. High Yield Group

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F., and Alison J. Cohen. "BEA Associates: U.S. High Yield Group." Harvard Business School Case 299-003, July 1998. (Revised September 1998.)
  59. Vanguard Group, Inc. (1998), The

    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;

    Citation:

    Perold, Andre F. "Vanguard Group, Inc. (1998), The." Harvard Business School Case 299-002, September 1998.
  60. numeric investors l.p.

    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, July 1997. (Revised August 1997.)
  61. Common Fund Hedge Fund Portfolio, The

    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.

    Keywords: Measurement and Metrics; Investment Funds;

    Citation:

    Perold, Andre F., and William T. Spitz. "Common Fund Hedge Fund Portfolio, The." Harvard Business School Case 297-014, December 1996.
  62. Private Equity Investment in Russia: Alliance Cellulose Limited

    Keywords: Private Equity; Investment; Russia;

    Citation:

    Perold, Andre F., James Gray, and Roberto Mignone. "Private Equity Investment in Russia: Alliance Cellulose Limited." Harvard Business School Case 297-005, September 1996. (Revised October 1996.)
  63. American Express TRS Charge-Card Receivables and Lehman Brothers and the Securitization of American Express Charge-Card Receivables TN

    Teaching Note for (9-293-120) and (9-293-121).

    Keywords: Credit Cards; Accounting; Financial Services Industry;

    Citation:

    Perold, Andre F., and Wai Lee. "American Express TRS Charge-Card Receivables and Lehman Brothers and the Securitization of American Express Charge-Card Receivables TN." Harvard Business School Teaching Note 295-158, June 1995. (Revised May 1996.)
  64. Investment Linked to Commodity Futures, An TN

    Teaching Note for (9-293-017).

    Keywords: Futures and Commodity Futures;

    Citation:

    Perold, Andre F., and Wai Lee. "Investment Linked to Commodity Futures, An TN." Harvard Business School Teaching Note 295-164, June 1995. (Revised May 1996.)
  65. RJR Nabisco - 1990 TN

    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, June 1995. (Revised May 1996.)
  66. ARPPS: Adjustable Rate Perpetual Preferred Stock & MMP: Money Market Preferred Stock TN

    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, February 1996. (Revised May 1996.)
  67. Fidelity Investments: Spartan Florida Municipal Fund (TN)

    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, February 1996. (Revised May 1996.)
  68. BEA Associates: Enhanced Equity Index Funds TN

    Teaching Note for (9-293-024).

    Keywords: Equity;

    Citation:

    Perold, Andre F., and Wai Lee. "BEA Associates: Enhanced Equity Index Funds TN." Harvard Business School Teaching Note 295-160, June 1995. (Revised May 1996.)
  69. B.F. Goodrich-Rabobank Interest Rate Swap, The TN

    Teaching Note for (9-284-080).

    Keywords: Credit Derivatives and Swaps; Rubber Industry;

    Citation:

    Perold, Andre F., and Wai Lee. "B.F. Goodrich-Rabobank Interest Rate Swap, The TN." Harvard Business School Teaching Note 295-161, June 1995. (Revised May 1996.)
  70. State of Connecticut Municipal Swap TN

    Teaching Note for (9-291-024).

    Keywords: Credit Derivatives and Swaps; Connecticut;

    Citation:

    Perold, Andre F., and Wai Lee. "State of Connecticut Municipal Swap TN." Harvard Business School Teaching Note 295-162, June 1995. (Revised May 1996.)
  71. First Commonwealth Corporation

    Citation:

    Perold, Andre F. "First Commonwealth Corporation." Harvard Business School Case 296-012, August 1995.
  72. Credit General, SA

    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.
  73. Options and Put-Call Parity

    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, March 1995. (Revised August 1995.)
  74. Boston Company, The: Securities Lending

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F., and Kuljot Singh. "Boston Company, The: Securities Lending." Harvard Business School Case 294-024, January 1994. (Revised August 1995.)
  75. RJR Nabisco--1990

    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, June 1990. (Revised August 1995.)
  76. ARPPS: Adjustable Rate Perpetual Preferred Stock and MMP: Money Market Preferred Stock TN

    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.
  77. Note on Yield Conventions

    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, January 1995. (Revised June 1995.)
  78. State of Connecticut Municipal Swap

    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;

    Citation:

    Perold, Andre F. "State of Connecticut Municipal Swap." Harvard Business School Case 291-024, May 1991. (Revised December 1994.)
  79. American Express TRS Charge-Card Receivables

    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;

    Citation:

    Perold, Andre F., and Kuljot Singh. "American Express TRS Charge-Card Receivables." Harvard Business School Case 293-120, April 1993. (Revised December 1994.)
  80. Lehman Brothers and the Securitization of American Express Charge-Card Receivables

    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: Risk and Uncertainty; Credit Cards; Financial Instruments; Stocks; Asset Pricing;

    Citation:

    Perold, Andre F., and Kuljot Singh. "Lehman Brothers and the Securitization of American Express Charge-Card Receivables." Harvard Business School Case 293-121, April 1993. (Revised December 1994.)
  81. BEA Associates: Enhanced Equity Index Funds

    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;

    Citation:

    Perold, Andre F. "BEA Associates: Enhanced Equity Index Funds." Harvard Business School Case 293-024, November 1992. (Revised December 1994.)
  82. Fidelity Investments: Spartan Florida Municipal Fund

    Keywords: Investment Funds; Financial Services Industry; Florida;

    Citation:

    Perold, Andre F., and Sanjay Bhatnagar. "Fidelity Investments: Spartan Florida Municipal Fund." Harvard Business School Case 294-116, May 1994. (Revised December 1994.)
  83. Bankers Trust: Global Investment Bank

    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;

    Citation:

    Perold, Andre F., and Kuljot Singh. "Bankers Trust: Global Investment Bank." Harvard Business School Case 295-010, October 1994.
  84. Note on Crude Oil and Crude Oil Derivatives Markets

    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;

    Citation:

    Perold, Andre F., Wai Lee, and Kuljot Singh. "Note on Crude Oil and Crude Oil Derivatives Markets." Harvard Business School Background Note 295-053, October 1994.
  85. Rochester Capital

    Citation:

    Perold, Andre F., and Kuljot Singh. "Rochester Capital." Harvard Business School Case 293-083, December 1992. (Revised May 1993.)
  86. Nikko Securities Co. Ltd.

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Nikko Securities Co. Ltd." Harvard Business School Case 292-002, August 1991. (Revised June 1992.)
  87. T. Rowe Price Associates, Inc.

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "T. Rowe Price Associates, Inc." Harvard Business School Case 291-006, October 1990. (Revised July 1991.)
  88. Penobscot Nation and Passamaquoddy Tribe

    Keywords: Civil Society or Community;

    Citation:

    Perold, Andre F. "Penobscot Nation and Passamaquoddy Tribe." Harvard Business School Case 290-001, September 1989.
  89. Hatherly Foundation

    Citation:

    Perold, Andre F. "Hatherly Foundation." Harvard Business School Case 289-018, September 1988.
  90. Batterymarch Financial Management (A)

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Batterymarch Financial Management (A)." Harvard Business School Case 286-113, April 1986. (Revised February 1988.)
  91. Batterymarch Financial Management (B)

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Batterymarch Financial Management (B)." Harvard Business School Case 286-115, April 1986. (Revised February 1988.)
  92. Merrill Lynch & Co., Inc.--1986

    Keywords: Financial Services Industry;

    Citation:

    Perold, Andre F. "Merrill Lynch & Co., Inc.--1986." Harvard Business School Case 287-047, December 1986. (Revised August 1987.)
  93. Prudential Insurance Co. of America--1985

    Keywords: Insurance Industry; United States;

    Citation:

    Perold, Andre F. "Prudential Insurance Co. of America--1985." Harvard Business School Case 288-007, July 1987.
  94. Sanford C. Bernstein & Co., Inc.

    Keywords: Financial Management; Investment Portfolio; Management; Financial Services Industry;

    Citation:

    Perold, Andre F. "Sanford C. Bernstein & Co., Inc." Harvard Business School Case 184-194, June 1984. (Revised June 1987.)
  95. Wilshire Associates

    Citation:

    Perold, Andre F. "Wilshire Associates." Harvard Business School Case 286-003, September 1985. (Revised June 1987.)
  96. J.P. Morgan Investment Management, Inc.

    Keywords: Investment Banking; Banking Industry; Financial Services Industry;

    Citation:

    Perold, Andre F. "J.P. Morgan Investment Management, Inc." Harvard Business School Case 287-008, August 1986. (Revised June 1987.)
  97. Note on Accounting for Property and Casualty Insurance Companies

    Keywords: Accounting; Insurance; Insurance Industry;

    Citation:

    Perold, Andre F. "Note on Accounting for Property and Casualty Insurance Companies." Harvard Business School Background Note 287-082, April 1987.
  98. Progressive Corp.--1986

    Keywords: History;

    Citation:

    Perold, Andre F. "Progressive Corp.--1986." Harvard Business School Case 287-083, April 1987.
  99. Spear Securities, Inc.

    Keywords: Finance; Financial Services Industry;

    Citation:

    Perold, Andre F. "Spear Securities, Inc." Harvard Business School Case 286-049, March 1986. (Revised February 1987.)
  100. Instinet Corp. (A)

    Citation:

    Perold, Andre F. "Instinet Corp. (A)." Harvard Business School Case 286-116, April 1986. (Revised August 1986.)
  101. Note on Equity Trading

    Keywords: Equity;

    Citation:

    Perold, Andre F. "Note on Equity Trading." Harvard Business School Background Note 287-019, August 1986.
  102. IBM International Investment Management

    Keywords: Investment; Management;

    Citation:

    Perold, Andre F. "IBM International Investment Management." Harvard Business School Case 287-009, August 1986.
  103. Instinet Corp. (B)

    Citation:

    Perold, Andre F. "Instinet Corp. (B)." Harvard Business School Case 286-120, April 1986. (Revised July 1986.)
  104. GTE Corp. (B)

    Keywords: Telecommunications Industry;

    Citation:

    Perold, Andre F. "GTE Corp. (B)." Harvard Business School Case 286-101, February 1986. (Revised March 1986.)
  105. Gemini II

    Citation:

    Perold, Andre F. "Gemini II." Harvard Business School Case 286-039, November 1985.
  106. Lehman Management Co., Inc.

    Keywords: Investment Funds; Management; Financial Services Industry;

    Citation:

    Perold, Andre F. "Lehman Management Co., Inc." Harvard Business School Case 284-027, September 1983. (Revised October 1985.)
  107. Furman, Selz, Mager, Dietz & Birney, Inc.

    Citation:

    Perold, Andre F. "Furman, Selz, Mager, Dietz & Birney, Inc." Harvard Business School Case 286-001, September 1985.
  108. Citicorp Investment Management

    Keywords: Investment Funds; Management; Financial Services Industry;

    Citation:

    Perold, Andre F. "Citicorp Investment Management." Harvard Business School Case 286-002, September 1985.
  109. Black-Scholes Option Pricing Program for the HP 12C Calculator

    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;

    Citation:

    Perold, Andre F. "Black-Scholes Option Pricing Program for the HP 12C Calculator." Harvard Business School Background Note 285-057, November 1984.
  110. Note on Replicating Options with Position on Stock and Cash

    Keywords: Stocks; Cash;

    Citation:

    Perold, Andre F. "Note on Replicating Options with Position on Stock and Cash." Harvard Business School Background Note 284-006, August 1983.

Presentations

  1. Contracts Markets, Cash Markets, and Arbitrage

    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.
  2. Risk Sharing and Corporate Pension Policy

    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.

Other Publications and Materials

  1. Risk Stabilization in Asset Allocation

    Citation:

    Perold, Andre F. "Risk Stabilization in Asset Allocation."
  2. Short Selling in Practice--Intermediating Uncertain Share Availability

    Keywords: Stocks; Risk and Uncertainty;

    Citation:

    D'Avolio, Gene M., and André Perold. "Short Selling in Practice--Intermediating Uncertain Share Availability." October 2003.
  3. Capital Market Intermediaries: Summary Observations on a Workshop Held at Harvard Business School

    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.
  4. Is Enron a replay of LTCM?

    Keywords: History; Business History; Financial Institutions; Financial Services Industry;

    Citation:

    Perold, André. "Is Enron a replay of LTCM?" December 2001.
  5. 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.

    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." 2000.
  6. Constant Proportion Portfolio Insurance

    Keywords: Investment Portfolio; Strategy;

    Citation:

    Perold, André. "Constant Proportion Portfolio Insurance." August 1986.