Pine Street Capital
Harvard Business School Case No.: N9-201-071
Posted: 11 Oct 2001
Date Written: 2000
SUBJECT AREAS: Derivatives; Financial strategy; Hedging; Investment management; Options; Risk management; Securities
CASE SETTING: 2000, U.S.
A technology hedge fund is trying to decide whether/how to hedge equity market risk. Its hedging choices are short-selling and options. The fund has just gone through one of the most volatile periods in Nasdaq's history, and they are trying to decide whether they should continue their risk management program of short-selling the Nasdaq index, or switch to a hedging program utilizing put options on the index.
Specific learning objectives of these cases include these:
- To introduce students to the use of equity derivatives in the context of money management, particularly the use of delta-hedging using options. Also teaches how/why risk management decisions are made in a simple levered hedge fund.
Suggested Citation: Suggested Citation