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

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
6,136
PlumX Metrics