Pine Street Capital

Harvard Business School Case No.: N9-201-071

Posted: 11 Oct 2001

See all articles by George Chacko

George Chacko

Santa Clara University - Finance Department

Eli Peter Strick

Harvard Business School

Date Written: 2000

Abstract

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

Chacko, George and Strick, Eli Peter, Pine Street Capital (2000). Harvard Business School Case No.: N9-201-071, Available at SSRN: https://ssrn.com/abstract=286919

George Chacko (Contact Author)

Santa Clara University - Finance Department ( email )

Santa Clara, CA 95053
United States

Eli Peter Strick

Harvard Business School

Soldiers Field Road
Morgan 270C
Boston, MA 02163
United States

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