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哈佛商学院财务分析案例Pine Street Capital

TEACHING NOTE

Pine Street Capital

Objectives

This case studies how a hedge fund utilizes options to deal with an empirical phenomenonassociated with stock returns in high volatility environments. Essentially, it is found that duringperiods of high volatility the betas of stocks vary inversely with the direction of the stock market, i.e.,betas of stocks decrease if the market increases and vice versa. As a result, the use of linearinstruments, such as a market index, is sub-optimal relative to using not linear instruments, such asoptions, for hedging purposes.

The hedge fund studied in this case is a technology hedge fund that invests primarily in smallcapitalization, semiconductor firms. Low cap stocks, it is discovered, are particularly susceptible tothis phenomenon.1 The case demonstrates that a simple, constant-beta hedging program does notwork very well during periods of high stock price volatility. An option-based hedging program isneeded to hedge gamma risk in a stock portfolio during these periods.

The case is ideally suited in a course on derivative securities, financial engineering, riskmanagement, or investment management to teach the concepts of delta-hedging a portfolio ofsecurities and the relevance of an option’s gamma in a hedging program. The case illustratesparticularly well the fact that options are nonlinear instruments and why this nonlinearity can beparticularly useful in hedging certain types of risks. Other concepts that the case brings out includethe empirical phenomena mentioned above, the institutional structure of hedge funds, and the valuecreated through the risk management function in a fund. The case is currently used in the CorporateFinancial Engineering course at HBS.Do No1 While Fischer Black’s leverage effect hypothesis is one explanation for this phenomenon, the stocks examined in this casehave no debt outstanding, making this explanation inapplicable.

________________________________________________________________________________________________________________This note was prepared by Research Associate Eli Peter Strick under the supervion of Professor George Chacko for the sole purpose of aidingclassroom instructors in the use of “Pine Street Capital,” HBS No. 201-071. It provides analysis and questions that are intended to presentalternative approaches to deepening students’ comprehension of business issues and energizing classroom discussion. HBS cases are developedsolely as the basis for class discussion. Cases are not intended to serve as endorsements, sources of primary data, or illustrations of effective orineffective management.

Copyright © 2002 President and Fellows of Harvard College. To order copies or request permission to reproduce materials, call 1-800-545-7685,write Harvard Business School Publishing, Boston, MA 02163, or go to http://www.hbsp.harvard.edu. No part of this publication may bereproduced, stored in a retrieval system, used in a spreadsheet, or transmitted in any form or by any means—electronic, mechanical,photocopying, recording, or otherwise—without the permission of Harvard Business School.

This document is authorized for use only by weu sun until September 2011. Copying or posting is an infringement of copyright. Permissions@hbsp.harvard.edu or 617.783.7860.t Copy or Post5-202-104 FEBRUARY 19, 2002

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