The Harvard Management Company and Inflation-Protected Bonds

HBS Case No.: 201-053; Teaching Note No.: 202-109

Posted: 22 Aug 2002

See all articles by Luis M. Viceira

Luis M. Viceira

Harvard Business School - Finance Unit; National Bureau of Economic Research (NBER)

Abstract

SUBJECT AREAS: Financial Instruments, Investments, Inflation Index Bonds, Investment Management, Portfolio Management

CASE SETTING: Boston, MA; perspective - local; focus - global; year 2000

In March 2000, the Board of the Harvard Management Company (HMC) approved significant changes in the policy portfolio determining the long-run allocation policy of the Harvard University endowment. These changes included a sharp reduction of the allocation of U.S. equities and U.S. nominal bonds and a significant investment in the new U.S. Treasury Inflation-Protected Securities (TIPS). The case focuses on the analysis that lead HMC management to recommend such changes to the Board.

Teaching Purpose: To provide students with ample opportunities to discuss historical versus forward-looking means, variances and covariances, portfolio theory, mean-variance portfolio analysis, the Capital Asset Pricing Model, nominal and inflation-indexed bonds, the role of long-term bonds in the portfolio of long-horizon investors, and the organization of investment companies (benchmarking, compensation, external versus internal management, etc.)

Suggested Citation

Viceira, Luis M., The Harvard Management Company and Inflation-Protected Bonds. HBS Case No.: 201-053; Teaching Note No.: 202-109. Available at SSRN: https://ssrn.com/abstract=325705

Luis M. Viceira (Contact Author)

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
617-495-6331 (Phone)
617-496-6592 (Fax)

HOME PAGE: http://www.people.hbs.edu/lviceira

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
5,344
PlumX Metrics