Take Action

Home | Faculty & Research Overview | Research

Research Details

Arbor City Community Foundation (A): The Foundation

Abstract

The Arbor City Community Foundation (ACCF) was a medium-sized endowment established in the late 1970s through the hard work of several local families. The vision of the ACCF was to be a comprehensive center for philanthropy in the greater Arbor City region. ACCF had a fund balance (known collectively as "the Fund") of just under $240 million. The ACCF board of trustees had appointed a committee to oversee investment decisions relating to the foundation assets. The investment committee, under the guidance of the board, pursued an active risk-management policy for the Fund. The committee members were primarily concerned with the volatility and distribution of portfolio returns. They relied on the Value-at-Risk (VaR) methodology as a measurement of the risk of both short- and mid-term investment losses. 

The questions in part (A) of the case direct the students to analyze the risk inherent in both one particular asset and the entire ACCF portfolio. For this analysis the students need to calculate daily VaR and monthly VaR values and interpret these figures in the context of ACCF's risk management. 

In part (B) the foundation receives a major donation. As a result the risk inherent in its portfolio changes considerably. The students are asked to evaluate the risk of the fund's new portfolio and to perform a portfolio rebalancing analysis.

Type

Case

Author(s)

Karl Schmedders, Russell Walker, Michael Stritch

Date Published

06/11/2018

Citations

Schmedders, Karl, Russell Walker, and Michael Stritch. Arbor City Community Foundation (A): The Foundation. Case 5-310-502(A) (KEL585).

KELLOGG INSIGHT

Explore leading research and ideas

Find articles, podcast episodes, and videos that spark ideas in lifelong learners, and inspire those looking to advance in their careers.
learn more

COURSE CATALOG

Review Courses & Schedules

Access information about specific courses and their schedules by viewing the interactive course scheduler tool.
LEARN MORE

DEGREE PROGRAMS

Discover the path to your goals

Whether you choose our Full-Time, Part-Time or Executive MBA program, you’ll enjoy the same unparalleled education, exceptional faculty and distinctive culture.
learn more

Take Action