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Harvard Management Company Investment Analysis

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This is a presentation my group and i put together for an investements class in my MBA program

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Case Study 2  The Harvard Management Company and Inflation Linked Bonds (2001)
HMC's Mission Statement ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
HMC Background ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
Policy Portfolio (goals) ,[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
Policy Portfolio (components) ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001) Type of Asset Policy Domestic Equity 32 Foreign Equity 15 Emerging Markets 9 Private Equity 15 Absolute Return 4 High Yield 2 Commodities 5 Real Estate 7 Domestic Bonds 11 Foreign Bonds 5 Cash -5
Policy portfolio (analysis) ,[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
TIPS performance ,[object Object],[object Object],[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
HMC’s final Recommendations ,[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
Recommended Policy Portfolio Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001) Type of Asset Old Policy Portfolio New Policy Portfolio Domestic Equity 32 22 Foreign Equity 15 15 Emerging Markets 9 9 Private Euqity 15 15 Absolute Return 4 5 High Yield 2 3 Commodities 5 6 Real Estate 7 7 Domestic Bonds 11 7 Foreign Bonds 5 4 Inflation-Indexed 0 7 Cash -5 0
What are TIPS? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
What are Inflation Linked Bonds? ,[object Object],[object Object],[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
Associated Risks ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001) ,[object Object],[object Object],[object Object],[object Object]
How do TIPS work? ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001) ,[object Object],[object Object],[object Object],[object Object],[object Object]
How do TIPS work? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
How do TIPS work? - Principal ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
How do TIPS work? - Coupon Payment ,[object Object],Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001)
When would TIPS OUTperform/ UNDERperform regular Treasuries?
what is a regular US treasury security? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Regular Treasuries vs. TIPS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
SO..What happens to TIPS if deflation occurs? ,[object Object],[object Object],[object Object]
 
example ,[object Object]
 
There are 4 criteria for determining an asset class: ,[object Object],[object Object],[object Object],[object Object]
Correlation between TIPS and the other securities in the portfolio
[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Asset class effect on Sharpe ratio
New portfolio ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

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Harvard Management Company Investment Analysis

  • 1. Case Study 2  The Harvard Management Company and Inflation Linked Bonds (2001)
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  • 9. Recommended Policy Portfolio Case Study 2: The Harvard Management Company and Inflation Linked Bonds (2001) Type of Asset Old Policy Portfolio New Policy Portfolio Domestic Equity 32 22 Foreign Equity 15 15 Emerging Markets 9 9 Private Euqity 15 15 Absolute Return 4 5 High Yield 2 3 Commodities 5 6 Real Estate 7 7 Domestic Bonds 11 7 Foreign Bonds 5 4 Inflation-Indexed 0 7 Cash -5 0
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  • 17. When would TIPS OUTperform/ UNDERperform regular Treasuries?
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  • 25. Correlation between TIPS and the other securities in the portfolio
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  • 28. Asset class effect on Sharpe ratio
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