Case Number: 5-307-508, Year Published: 2007
HBS Number: KEL325
Portfolio Performance Attribution/Evaluation, Return-Based Style Analysis, Long-Short Investing, Use of Mean Variance Optimization
Sun Charities has an endowment of $100 million. Parker, the Chief Investment Officer of Sun Charities, has an opportunity to invest in Extraordinary Value Partners (EVP), a hedge fund. He is considering investing $10 million in EVP. How should he evaluate the investment opportunity? Learning Objective: Application of return-based style analysis to evaluate the performance of a long-short equities hedge fund. Use of mean-variance portfolio optimization for deciding how much to invest in the long-short fund.
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