Chapter 13 Structuring the Global Investment Process 197
Yale University Investments Office: July 2000
Publication Date: Nov 17, 2000
Revision Date: March 4, 2001
Author(s): Joshua Lerner
Product Number: 9-201-048
Description
David Swensen, chief investment officer at Yale University, reviews the $10 billion endowment strategy,
which places an unusually heavy emphasis on private equity and other illiquid securities. Changing market
conditions in July 2000 caused him to rethink historically successful approaches.
Teaching Purpose
To illustrate the broad range of private equity investments and the complex motives of investors. Often
used as an introductory case.
198 Solnik/McLeavey • Global Investments, Sixth Edition
Numeric Investors L.P.
Publication Date: July 10, 1997
Revision Date: Aug 19, 1997
Author(s): André F. Pérold, Brian Tierney
Product Number: 9-298-012
Description
Numeric Investors manages equity portfolios with the use of a momentum model and a value model. The
momentum model is based on earnings surprise and analysts’ revisions of their earnings estimates. The
firm offers long–short as well as long-only strategies, and its approach involves high portfolio turnover.
Setting
Cambridge, MA; investment management; 21 employees; 1997
Chapter 13 Structuring the Global Investment Process 199
Pension Policy at the Boots Co. PLC
Publication Date: June 25, 2003
Revision Date: Aug 27, 2003
Author(s): Luis M. Viceira, Akiko M. Mitsui
Product Number: 9-203-105
Description
In early 2000, the trustees of the pension scheme at Boots considered a proposal to move 100% of the
pension assets into a bond portfolio, which would be passively managed. The Boots Co. PLC was a
leading retailer of cosmetics and toiletries in the United Kingdom, and the company pension scheme was
one of the largest in the country, with 2.3 billion British pounds in assets. If implemented, Boots would
Setting
United Kingdom; retail; 5 million British pounds revenue; 75,000 employees; 2000
200 Solnik/McLeavey • Global Investments, Sixth Edition
California PERS (B)
Publication Date: Feb 5, 2001
Author(s): Jay O. Light, Jay W. Lorsch, James E. Sailer, Katharina Pick
Product Number: 9-201-091
Description
The largest state pension fund continues the evolution of its approach to corporate governance
Setting
Sacramento, CA; pension funds; 1993–2000
Chapter 13 Structuring the Global Investment Process 201
Global Equity Markets: The Case of Royal Dutch and Shell
Publication Date: March 4, 1996
Revision Date: July 29, 1997
Author(s): Kenneth A. Froot, André F. Pérold
Product Number: 9-296-077
Description
Royal Dutch and Shell common stocks are securities with linked cash flow, so that the ratio of their stock
prices should be fixed. In fact, the ratio is highly variable, moving with the markets where the securities
Subjects Covered
Assets, Capital markets, Finance, Financial instruments, International business, International finance,
Securities, and Valuation.
Setting
Global asset management firm
202 Solnik/McLeavey • Global Investments, Sixth Edition
Gaz de France
Publication Date: April 28, 1988
Revision Date: May 18, 1992
Author(s): W. Carl Kester, William B. Allen
Product Number: 9-288-030
Description
The treasurer of Gaz de France is an aggressive, proactive manager of his company’s liability structure,
running one of the largest swap books of any nonfinancial corporation in the world. Currency futures,
interbank forwards, and currency options are also frequently used to control the company’s multicurrency
Setting
France; natural gas; large; $8.5 billion revenues; 1986
Chapter 13 Structuring the Global Investment Process 203
The International Securities Exchange: New Ground in Options Markets
Publication Date: March 10, 2003
Revision Date: June 6, 2003
Author(s): George Chacko, Eli Peter Strick
Product Number: 9-203-063
Description
This is an article not a case.
Covers the equity options market and studies the major parties involved and the options trading process.
Teaching Purpose
Provides an introduction to securities markets. Students are exposed to concepts of liquidity and
Subjects Covered
Assets, Capital markets, Cash management, Derivatives, Finance, Financial instruments, Financial
Setting
New York, NY; financial; 2002
204 Solnik/McLeavey • Global Investments, Sixth Edition
For the Last Time: Stock Options Are an Expense
Publication Date: March 1, 2003
Author(s): Zvi Bodie, Robert S. Kaplan, Robert C. Merton
Product Number: R0303D
Description
This is an article not a case.
Should stock options be recorded as an expense on a company’s income statement and balance sheet, or
should they remain where they are, relegated to footnotes? The authors believe the case for expensing
Subjects Covered
Accounting and control, Accounting policies, Accounting procedures, Accounting standards, Corporate
Chapter 13 Structuring the Global Investment Process 205
Investing in Japan
Publication Date: March 24, 2003
Author(s): Luis M. Viceira, Peter A. Hecht
Product Number: 9-203-036
Description
This is an article not a case.
It describes the evolution of the macroeconomic environment, capital markets, financial institutions
(including banks, public and private pension funds, and mutual funds), and financial regulation in Japan
during the period 1980 to 2002. Presents long-term demographic projections for Japan.
Teaching Purpose
To discuss investing by pension funds, individual investing, and opportunities for financial innovation in a
deflationary environment with very low minimal interest rates, long-depressed equity and real estate
206 Solnik/McLeavey • Global Investments, Sixth Edition
IMD Cases
ATP Private Equity Partners (A): January 2002
Publication Date: 26 September 2002
Author(s): Barbara Scheel, Benoit Leleux, Stephan Schmidheiny
Source: IMD—International Institute for Management Development
Product Number: IMD147
Description
Focuses on the history of the ATP complementary pension fund system in Denmark—its genesis and
current stage of development. As a young pension fund system, it still faces large contributions relative to
Subjects Covered
Asset allocation, Asset management, Assets, Balance sheets, Corporate strategy, Economics, Entrepreneurial
Setting
Denmark, Europe, global; pension funds; 40 billion eurodollars in assets; 2002
Chapter 13 Structuring the Global Investment Process 207
ATP Private Equity Partners (B): Investment Strategy and Organisation
Publication Date: 26 September 2002
Author(s): Barbara Scheel, Benoit Leleux, Stephan Schmidheiny
Source: IMD—International Institute for Management Development
Product Number: IMD149
Description
Describes the organizational issues associated with the portfolio asset allocation shifts described in the
Subjects Covered
Asset allocation, Asset management, Assets, Balance sheets, Corporate strategy, Economics, Entrepreneurial
Setting
Denmark, Europe, global; pension funds; 40 billion eurodollars in assets; 2002
208 Solnik/McLeavey • Global Investments, Sixth Edition
ATP Private Equity Partners (C): The Scandinavian Sweetspot Strategy
Publication Date: Sep 26, 2002
Author(s): Benoit Leleux, Barbara Scheel
Type: Case (Field)
Product Number: IMD150
Source: IMD—International Institute for Management Development
Description
Investigates the issue of gaining access to private equity investment vehicles. Although it would instantly
Subjects Covered
Asset allocation, Asset management, Assets, Balance sheets, Corporate strategy, Economics, Entrepreneurial
Setting
Denmark, Europe, global; pension funds; 40 billion eurodollars in assets; 2002
Chapter 13 Structuring the Global Investment Process 209
Darden Cases
Henderson Global Investors
Publication Date: 2001
Version: 7.2
Author(s): Robert Bruner, Dennis Hall, Roger Mitchell, Craig Ruff
Product Number: UVA-F-1330
Description
Henderson Global Investors has emerged as a global player in the asset management industry after its
Subjects Covered
Assets, Capital markets, Investment management, Investment research, and Strategic and organizational
issues.
Setting
U.K. and Australia; money management firm; 2001.
210 Solnik/McLeavey • Global Investments, Sixth Edition
Global Research Platform at Allianz Dresdner Capital Management
Publication Date: 2002
Version: 6.2
Author(s): Robert Bruner, Craig Ruff
Product Number: UVA-F-1388
Description
This global asset management firm is the result of a number of acquisitions by Allianz Group, the leading
German insurance company, including the asset management arm of Dresdner bank (Dresdner RCM).
Subjects Covered
Assets, Capital markets, Investment management, Investment research, and Strategic and organizational
issues.
Chapter 13 Structuring the Global Investment Process 211
Others
Orange County
Publication Date: 1998, periodically updated
Author(s): Philippe Jorion
Product Number: Free access on Internet: http://www.gsm.uci.edu/~jorion/oc/case.html
Description
In December 1994, Orange County stunned the markets by announcing that its investment pool had
Subjects Covered
Assets, Capital markets, Investment management, Speculation, Value at risk, and Risk management.
Setting