Publications
Publications
- November 1992 (Revised December 1994)
- HBS Case Collection
BEA Associates: Enhanced Equity Index Funds
By: Andre F. Perold
Abstract
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.)